| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 4,876.05% |
| CAGR﹪ | 10.76% | 12.37% |
| Sharpe | 0.77 | 1.19 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.14 |
| Sortino | 1.18 | 2.1 |
| Smart Sortino | 1.13 | 2.0 |
| Sortino/√2 | 0.84 | 1.48 |
| Smart Sortino/√2 | 0.8 | 1.42 |
| Omega | 1.76 | 2.54 |
| Max Drawdown | -50.78% | -16.13% |
| Max DD Date | 2009-02-28 | 2010-09-30 |
| Max DD Period Start | 2007-11-30 | 2010-05-31 |
| Max DD Period End | 2012-02-29 | 2011-03-31 |
| Longest DD Days | 2223 | 701 |
| Volatility (ann.) | 14.76% | 10.28% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.21 | 0.77 |
| Skew | -0.55 | -0.34 |
| Kurtosis | 0.98 | 2.05 |
| Ulcer Performance Index | 211.25 | 1312.57 |
| Risk-Adjusted Return | 754.56% | 1058.03% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 1.02% |
| Avg. Win | 3.2% | 2.58% |
| Avg. Loss | -3.09% | -2.6% |
| Win/Loss Ratio | 1.04 | 0.99 |
| Profit Ratio | 0.5 | 0.41 |
| Expected Daily | 0.85% | 0.98% |
| Expected Monthly | 0.85% | 0.98% |
| Expected Yearly | 10.59% | 12.18% |
| Kelly Criterion | 31.38% | 42.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.86% |
| Expected Shortfall (cVaR) | -8.96% | -5.74% |
| Max Consecutive Wins | 15 | 25 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.54 |
| Gain/Pain (1M) | 0.76 | 1.54 |
| Payoff Ratio | 1.04 | 0.99 |
| Profit Factor | 1.76 | 2.54 |
| Common Sense Ratio | 1.85 | 3.61 |
| CPC Index | 1.19 | 1.8 |
| Tail Ratio | 1.05 | 1.42 |
| Outlier Win Ratio | 2.95 | 3.29 |
| Outlier Loss Ratio | 2.93 | 2.76 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 13.91% |
| 6M | 8.94% | 8.94% |
| YTD | 8.94% | 8.94% |
| 1Y | 20.92% | 20.92% |
| 3Y (ann.) | 18.77% | 17.11% |
| 5Y (ann.) | 12.51% | 12.73% |
| 10Y (ann.) | 15.13% | 15.61% |
| All-time (ann.) | 10.76% | 12.37% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 37.98% |
| Worst Year | -36.79% | -7.19% |
| Avg. Drawdown | -6.27% | -3.9% |
| Avg. Drawdown Days | 122 | 81 |
| Recovery Factor | 7.49 | 25.44 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 31.47 |
| Avg. Up Month | 3.2% | 2.58% |
| Avg. Down Month | -3.09% | -2.6% |
| Win Days | 65.09% | 71.32% |
| Win Month | 65.09% | 71.32% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.41 |
| Alpha | - | 0.08 |
| Correlation | - | 58.44% |
| Treynor Ratio | - | 11976.34% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.71 | 1.00 | - |
| 1994 | 0.40 | 5.17 | 13.01 | + |
| 1995 | 38.05 | 37.98 | 1.00 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 26.04 | 0.78 | - |
| 1998 | 28.69 | 14.88 | 0.52 | - |
| 1999 | 20.39 | 20.39 | 1.00 | - |
| 2000 | -9.74 | -7.19 | 0.74 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 4.87 | -0.23 | + |
| 2003 | 28.18 | 23.87 | 0.85 | - |
| 2004 | 10.70 | 10.70 | 1.00 | - |
| 2005 | 4.83 | 4.83 | 1.00 | + |
| 2006 | 15.85 | 18.81 | 1.19 | + |
| 2007 | 5.15 | 3.88 | 0.75 | - |
| 2008 | -36.79 | 17.80 | -0.48 | + |
| 2009 | 26.35 | 6.68 | 0.25 | - |
| 2010 | 15.06 | -0.65 | -0.04 | - |
| 2011 | 1.89 | -0.57 | -0.30 | - |
| 2012 | 15.99 | 10.78 | 0.67 | - |
| 2013 | 32.31 | 15.25 | 0.47 | - |
| 2014 | 13.46 | 6.83 | 0.51 | - |
| 2015 | 1.23 | 1.42 | 1.15 | + |
| 2016 | 12.00 | 15.72 | 1.31 | + |
| 2017 | 21.71 | 16.25 | 0.75 | - |
| 2018 | -4.57 | 11.47 | -2.51 | + |
| 2019 | 31.22 | 15.32 | 0.49 | - |
| 2020 | 18.33 | 24.54 | 1.34 | + |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | 0.03 | -0.00 | + |
| 2023 | 26.18 | 10.57 | 0.40 | - |
| 2024 | 24.89 | 19.29 | 0.77 | - |
| 2025 | 17.72 | 16.19 | 0.91 | - |
| 2026 | 8.94 | 8.94 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-05-31 | 2011-03-31 | -16.13 | 305 |
| 1998-07-31 | 1998-12-31 | -15.28 | 154 |
| 2000-09-30 | 2002-08-31 | -12.95 | 701 |
| 2011-05-31 | 2012-02-29 | -9.97 | 275 |
| 2024-12-31 | 2025-05-31 | -8.81 | 152 |
| 2020-01-31 | 2020-04-30 | -7.95 | 91 |
| 2012-04-30 | 2012-12-31 | -7.11 | 246 |
| 1994-02-28 | 1994-09-30 | -6.98 | 215 |
| 2000-01-31 | 2000-02-29 | -6.43 | 30 |
| 2019-05-31 | 2019-10-31 | -6.38 | 154 |