| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,828.70% |
| CAGR﹪ | 10.76% | 11.58% |
| Sharpe | 0.77 | 1.13 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.04 |
| Sortino | 1.18 | 2.15 |
| Smart Sortino | 1.09 | 1.98 |
| Sortino/√2 | 0.84 | 1.52 |
| Smart Sortino/√2 | 0.77 | 1.4 |
| Omega | 1.76 | 2.42 |
| Max Drawdown | -50.78% | -14.89% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2008-11-30 |
| Longest DD Days | 2223 | 1096 |
| Volatility (ann.) | 14.76% | 10.23% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.21 | 0.78 |
| Skew | -0.55 | 0.33 |
| Kurtosis | 0.98 | 1.7 |
| Ulcer Performance Index | 211.25 | 882.72 |
| Risk-Adjusted Return | 754.56% | 898.57% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.96% |
| Avg. Win | 3.38% | 2.65% |
| Avg. Loss | -3.59% | -2.34% |
| Win/Loss Ratio | 0.94 | 1.13 |
| Profit Ratio | 0.5 | 0.68 |
| Expected Daily | 0.85% | 0.92% |
| Expected Monthly | 0.85% | 0.92% |
| Expected Yearly | 10.59% | 11.4% |
| Kelly Criterion | 27.93% | 34.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.9% |
| Expected Shortfall (cVaR) | -8.96% | -5.28% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.42 |
| Gain/Pain (1M) | 0.76 | 1.42 |
| Payoff Ratio | 0.94 | 1.13 |
| Profit Factor | 1.76 | 2.42 |
| Common Sense Ratio | 1.85 | 3.41 |
| CPC Index | 1.08 | 1.79 |
| Tail Ratio | 1.05 | 1.41 |
| Outlier Win Ratio | 2.95 | 3.3 |
| Outlier Loss Ratio | 2.93 | 3.2 |
| MTD | -1.05% | -3.47% |
| 3M | 13.91% | 1.7% |
| 6M | 8.94% | 1.98% |
| YTD | 8.94% | 1.98% |
| 1Y | 20.92% | 14.42% |
| 3Y (ann.) | 18.77% | 12.09% |
| 5Y (ann.) | 12.51% | 12.91% |
| 10Y (ann.) | 15.13% | 12.15% |
| All-time (ann.) | 10.76% | 11.58% |
| Best Day | 12.7% | 14.52% |
| Worst Day | -16.52% | -7.68% |
| Best Month | 12.7% | 14.52% |
| Worst Month | -16.52% | -7.68% |
| Best Year | 38.05% | 43.59% |
| Worst Year | -36.79% | -7.27% |
| Avg. Drawdown | -6.27% | -3.39% |
| Avg. Drawdown Days | 122 | 100 |
| Recovery Factor | 7.49 | 25.93 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 25.95 |
| Avg. Up Month | 3.38% | 2.65% |
| Avg. Down Month | -3.59% | -2.34% |
| Win Days | 65.09% | 65.42% |
| Win Month | 65.09% | 65.42% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.3 |
| Alpha | - | 0.08 |
| Correlation | - | 43.01% |
| Treynor Ratio | - | 12840.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.78 | 0.89 | - |
| 1994 | 0.40 | -4.50 | -11.32 | - |
| 1995 | 38.05 | 31.27 | 0.82 | - |
| 1996 | 22.50 | 28.77 | 1.28 | + |
| 1997 | 33.48 | 0.80 | 0.02 | - |
| 1998 | 28.69 | 29.87 | 1.04 | + |
| 1999 | 20.39 | 43.59 | 2.14 | + |
| 2000 | -9.74 | -7.27 | 0.75 | + |
| 2001 | -11.76 | 2.53 | -0.22 | + |
| 2002 | -21.58 | 1.90 | -0.09 | + |
| 2003 | 28.18 | 33.99 | 1.21 | + |
| 2004 | 10.70 | 3.68 | 0.34 | - |
| 2005 | 4.83 | -1.56 | -0.32 | - |
| 2006 | 15.85 | 13.66 | 0.86 | - |
| 2007 | 5.15 | 13.24 | 2.57 | + |
| 2008 | -36.79 | 6.97 | -0.19 | + |
| 2009 | 26.35 | 25.65 | 0.97 | - |
| 2010 | 15.06 | 1.93 | 0.13 | - |
| 2011 | 1.89 | 16.72 | 8.82 | + |
| 2012 | 15.99 | -3.75 | -0.23 | - |
| 2013 | 32.31 | 27.20 | 0.84 | - |
| 2014 | 13.46 | 13.04 | 0.97 | - |
| 2015 | 1.23 | 0.59 | 0.48 | - |
| 2016 | 12.00 | 1.49 | 0.12 | - |
| 2017 | 21.71 | 18.07 | 0.83 | - |
| 2018 | -4.57 | -3.60 | 0.79 | + |
| 2019 | 31.22 | 5.62 | 0.18 | - |
| 2020 | 18.33 | 23.71 | 1.29 | + |
| 2021 | 28.73 | 22.22 | 0.77 | - |
| 2022 | -18.18 | 2.84 | -0.16 | + |
| 2023 | 26.18 | 19.58 | 0.75 | - |
| 2024 | 24.89 | 16.14 | 0.65 | - |
| 2025 | 17.72 | 17.75 | 1.00 | + |
| 2026 | 8.94 | 1.98 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2008-11-30 | -14.89 | 367 |
| 2000-04-30 | 2003-04-30 | -14.35 | 1096 |
| 2010-05-31 | 2011-07-31 | -11.20 | 427 |
| 2018-10-31 | 2020-06-30 | -10.62 | 609 |
| 1993-09-30 | 1995-04-30 | -10.08 | 578 |
| 1997-10-31 | 1998-06-30 | -8.80 | 243 |
| 2023-08-31 | 2023-11-30 | -7.94 | 92 |
| 2012-04-30 | 2013-04-30 | -6.81 | 366 |
| 2020-09-30 | 2020-11-30 | -6.73 | 62 |
| 2015-08-31 | 2017-01-31 | -6.54 | 520 |