| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,069.51% |
| CAGR﹪ | 10.76% | 7.62% |
| Sharpe | 0.77 | 0.76 |
| Prob. Sharpe Ratio | 100.0% | 99.99% |
| Smart Sharpe | 0.75 | 0.74 |
| Sortino | 1.18 | 1.12 |
| Smart Sortino | 1.15 | 1.08 |
| Sortino/√2 | 0.84 | 0.79 |
| Smart Sortino/√2 | 0.81 | 0.77 |
| Omega | 1.76 | 1.79 |
| Max Drawdown | -50.78% | -41.94% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2010-12-31 |
| Longest DD Days | 2223 | 1035 |
| Volatility (ann.) | 14.76% | 10.41% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.21 | 0.18 |
| Skew | -0.55 | -1.11 |
| Kurtosis | 0.98 | 5.21 |
| Ulcer Performance Index | 211.25 | 152.0 |
| Risk-Adjusted Return | 754.56% | 367.19% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.95% | 0.67% |
| Avg. Win | 3.57% | 2.38% |
| Avg. Loss | -4.03% | -2.73% |
| Win/Loss Ratio | 0.89 | 0.87 |
| Profit Ratio | 0.5 | 0.5 |
| Expected Daily | 0.85% | 0.61% |
| Expected Monthly | 0.85% | 0.61% |
| Expected Yearly | 10.59% | 7.5% |
| Kelly Criterion | 25.64% | 25.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.28% |
| Expected Shortfall (cVaR) | -8.96% | -7.69% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.79 |
| Gain/Pain (1M) | 0.76 | 0.79 |
| Payoff Ratio | 0.89 | 0.87 |
| Profit Factor | 1.76 | 1.79 |
| Common Sense Ratio | 1.85 | 2.14 |
| CPC Index | 1.01 | 1.03 |
| Tail Ratio | 1.05 | 1.19 |
| Outlier Win Ratio | 2.95 | 3.09 |
| Outlier Loss Ratio | 2.93 | 3.59 |
| MTD | -1.05% | 2.41% |
| 3M | 13.91% | 7.46% |
| 6M | 8.94% | 13.18% |
| YTD | 8.94% | 13.18% |
| 1Y | 20.92% | 20.03% |
| 3Y (ann.) | 18.77% | 11.95% |
| 5Y (ann.) | 12.51% | 7.29% |
| 10Y (ann.) | 15.13% | 8.38% |
| All-time (ann.) | 10.76% | 7.62% |
| Best Day | 12.7% | 9.85% |
| Worst Day | -16.52% | -18.69% |
| Best Month | 12.7% | 9.85% |
| Worst Month | -16.52% | -18.69% |
| Best Year | 38.05% | 23.22% |
| Worst Year | -36.79% | -24.46% |
| Avg. Drawdown | -6.27% | -4.37% |
| Avg. Drawdown Days | 122 | 121 |
| Recovery Factor | 7.49 | 6.32 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 4.71 |
| Avg. Up Month | 3.57% | 2.38% |
| Avg. Down Month | -4.03% | -2.73% |
| Win Days | 65.09% | 65.42% |
| Win Month | 65.09% | 65.42% |
| Win Quarter | 73.33% | 77.04% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.6 |
| Alpha | - | 0.01 |
| Correlation | - | 85.57% |
| Treynor Ratio | - | 1772.31% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.79 | 1.47 | + |
| 1994 | 0.40 | 2.34 | 5.88 | + |
| 1995 | 38.05 | 17.99 | 0.47 | - |
| 1996 | 22.50 | 12.52 | 0.56 | - |
| 1997 | 33.48 | 12.34 | 0.37 | - |
| 1998 | 28.69 | 3.58 | 0.12 | - |
| 1999 | 20.39 | 9.96 | 0.49 | - |
| 2000 | -9.74 | 4.79 | -0.49 | + |
| 2001 | -11.76 | -6.34 | 0.54 | + |
| 2002 | -21.58 | -0.41 | 0.02 | + |
| 2003 | 28.18 | 23.05 | 0.82 | - |
| 2004 | 10.70 | 14.10 | 1.32 | + |
| 2005 | 4.83 | 9.88 | 2.05 | + |
| 2006 | 15.85 | 16.93 | 1.07 | + |
| 2007 | 5.15 | 8.07 | 1.57 | + |
| 2008 | -36.79 | -24.46 | 0.66 | + |
| 2009 | 26.35 | 21.61 | 0.82 | - |
| 2010 | 15.06 | 15.37 | 1.02 | + |
| 2011 | 1.89 | 3.11 | 1.64 | + |
| 2012 | 15.99 | 12.13 | 0.76 | - |
| 2013 | 32.31 | 7.89 | 0.24 | - |
| 2014 | 13.46 | 2.17 | 0.16 | - |
| 2015 | 1.23 | -4.28 | -3.47 | - |
| 2016 | 12.00 | 8.74 | 0.73 | - |
| 2017 | 21.71 | 12.01 | 0.55 | - |
| 2018 | -4.57 | -6.97 | 1.53 | - |
| 2019 | 31.22 | 20.56 | 0.66 | - |
| 2020 | 18.33 | 6.33 | 0.35 | - |
| 2021 | 28.73 | 23.22 | 0.81 | - |
| 2022 | -18.18 | -11.24 | 0.62 | + |
| 2023 | 26.18 | 10.75 | 0.41 | - |
| 2024 | 24.89 | 7.03 | 0.28 | - |
| 2025 | 17.72 | 13.61 | 0.77 | - |
| 2026 | 8.94 | 13.18 | 1.47 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2010-12-31 | -41.94 | 915 |
| 2020-01-31 | 2020-10-31 | -17.19 | 275 |
| 2022-04-30 | 2024-02-29 | -16.95 | 671 |
| 2011-05-31 | 2012-01-31 | -12.72 | 246 |
| 2014-07-31 | 2017-01-31 | -12.31 | 916 |
| 2000-09-30 | 2003-07-31 | -11.92 | 1035 |
| 1998-04-30 | 1999-03-31 | -10.48 | 336 |
| 2018-10-31 | 2019-02-28 | -9.74 | 121 |
| 2012-05-31 | 2012-07-31 | -6.09 | 62 |
| 2004-04-30 | 2004-09-30 | -4.74 | 154 |