| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,030.32% |
| CAGR﹪ | 10.76% | 7.51% |
| Sharpe | 0.77 | 0.88 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.8 |
| Sortino | 1.18 | 1.34 |
| Smart Sortino | 1.09 | 1.23 |
| Sortino/√2 | 0.84 | 0.95 |
| Smart Sortino/√2 | 0.77 | 0.87 |
| Omega | 1.76 | 2.13 |
| Max Drawdown | -50.78% | -14.11% |
| Max DD Date | 2009-02-28 | 1997-09-30 |
| Max DD Period Start | 2007-11-30 | 1997-08-31 |
| Max DD Period End | 2012-02-29 | 1998-08-31 |
| Longest DD Days | 2223 | 1005 |
| Volatility (ann.) | 14.76% | 8.72% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 0.53 |
| Skew | -0.55 | -1.04 |
| Kurtosis | 0.98 | 6.76 |
| Ulcer Performance Index | 211.25 | 234.32 |
| Risk-Adjusted Return | 754.56% | 357.32% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.95% | 0.64% |
| Avg. Win | 3.35% | 1.85% |
| Avg. Loss | -3.5% | -2.28% |
| Win/Loss Ratio | 0.96 | 0.81 |
| Profit Ratio | 0.5 | 0.39 |
| Expected Daily | 0.85% | 0.61% |
| Expected Monthly | 0.85% | 0.61% |
| Expected Yearly | 10.59% | 7.39% |
| Kelly Criterion | 28.67% | 32.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.51% |
| Expected Shortfall (cVaR) | -8.96% | -7.35% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.13 |
| Gain/Pain (1M) | 0.76 | 1.13 |
| Payoff Ratio | 0.96 | 0.81 |
| Profit Factor | 1.76 | 2.13 |
| Common Sense Ratio | 1.85 | 3.38 |
| CPC Index | 1.1 | 1.2 |
| Tail Ratio | 1.05 | 1.59 |
| Outlier Win Ratio | 2.95 | 3.46 |
| Outlier Loss Ratio | 2.93 | 4.47 |
| MTD | -1.05% | 0.42% |
| 3M | 13.91% | -1.76% |
| 6M | 8.94% | -4.19% |
| YTD | 8.94% | -4.19% |
| 1Y | 20.92% | 10.6% |
| 3Y (ann.) | 18.77% | 9.57% |
| 5Y (ann.) | 12.51% | 4.05% |
| 10Y (ann.) | 15.13% | 5.95% |
| All-time (ann.) | 10.76% | 7.51% |
| Best Day | 12.7% | 11.83% |
| Worst Day | -16.52% | -13.77% |
| Best Month | 12.7% | 11.83% |
| Worst Month | -16.52% | -13.77% |
| Best Year | 38.05% | 26.12% |
| Worst Year | -36.79% | -4.19% |
| Avg. Drawdown | -6.27% | -3.37% |
| Avg. Drawdown Days | 122 | 123 |
| Recovery Factor | 7.49 | 18.15 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 14.01 |
| Avg. Up Month | 3.35% | 1.85% |
| Avg. Down Month | -3.5% | -2.28% |
| Win Days | 65.09% | 69.9% |
| Win Month | 65.09% | 69.9% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.14 |
| Alpha | - | 0.06 |
| Correlation | - | 24.02% |
| Treynor Ratio | - | 7257.97% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.13 | 0.82 | - |
| 1994 | 0.40 | -4.09 | -10.29 | - |
| 1995 | 38.05 | 19.67 | 0.52 | - |
| 1996 | 22.50 | 8.06 | 0.36 | - |
| 1997 | 33.48 | 1.15 | 0.03 | - |
| 1998 | 28.69 | 11.25 | 0.39 | - |
| 1999 | 20.39 | 2.64 | 0.13 | - |
| 2000 | -9.74 | -2.11 | 0.22 | + |
| 2001 | -11.76 | 7.39 | -0.63 | + |
| 2002 | -21.58 | 8.93 | -0.41 | + |
| 2003 | 28.18 | 14.71 | 0.52 | - |
| 2004 | 10.70 | 5.88 | 0.55 | - |
| 2005 | 4.83 | -1.37 | -0.28 | - |
| 2006 | 15.85 | 26.12 | 1.65 | + |
| 2007 | 5.15 | 12.29 | 2.39 | + |
| 2008 | -36.79 | 10.16 | -0.28 | + |
| 2009 | 26.35 | 16.11 | 0.61 | - |
| 2010 | 15.06 | 10.04 | 0.67 | - |
| 2011 | 1.89 | 13.43 | 7.09 | + |
| 2012 | 15.99 | 9.39 | 0.59 | - |
| 2013 | 32.31 | 13.48 | 0.42 | - |
| 2014 | 13.46 | 6.23 | 0.46 | - |
| 2015 | 1.23 | -1.61 | -1.31 | - |
| 2016 | 12.00 | -0.23 | -0.02 | - |
| 2017 | 21.71 | 11.94 | 0.55 | - |
| 2018 | -4.57 | 6.67 | -1.46 | + |
| 2019 | 31.22 | 0.34 | 0.01 | - |
| 2020 | 18.33 | 15.77 | 0.86 | - |
| 2021 | 28.73 | 4.57 | 0.16 | - |
| 2022 | -18.18 | -0.24 | 0.01 | + |
| 2023 | 26.18 | 0.25 | 0.01 | - |
| 2024 | 24.89 | 10.13 | 0.41 | - |
| 2025 | 17.72 | 19.86 | 1.12 | + |
| 2026 | 8.94 | -4.19 | -0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1997-08-31 | 1998-08-31 | -14.11 | 366 |
| 2000-04-30 | 2001-09-30 | -14.03 | 519 |
| 2004-04-30 | 2005-12-31 | -13.29 | 611 |
| 2026-03-31 | 2026-07-31 | -11.93 | 123 |
| 1993-11-30 | 1995-07-31 | -11.73 | 609 |
| 2021-09-30 | 2024-06-30 | -9.75 | 1005 |
| 2009-12-31 | 2010-03-31 | -6.92 | 91 |
| 2015-02-28 | 2017-06-30 | -5.92 | 854 |
| 2019-05-31 | 2020-01-31 | -5.88 | 246 |
| 2020-08-31 | 2020-11-30 | -4.75 | 92 |