| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,591.08% |
| CAGR﹪ | 10.76% | 10.33% |
| Sharpe | 0.77 | 1.21 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 1.1 |
| Sortino | 1.18 | 2.16 |
| Smart Sortino | 1.07 | 1.97 |
| Sortino/√2 | 0.84 | 1.53 |
| Smart Sortino/√2 | 0.76 | 1.39 |
| Omega | 1.76 | 2.42 |
| Max Drawdown | -50.78% | -18.6% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-11-30 |
| Longest DD Days | 2223 | 792 |
| Volatility (ann.) | 14.76% | 8.45% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.56 |
| Skew | -0.55 | -0.29 |
| Kurtosis | 0.98 | 0.44 |
| Ulcer Performance Index | 211.25 | 733.48 |
| Risk-Adjusted Return | 754.56% | 687.72% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 0.85% |
| Avg. Win | 3.67% | 2.42% |
| Avg. Loss | -4.15% | -2.15% |
| Win/Loss Ratio | 0.88 | 1.13 |
| Profit Ratio | 0.5 | 0.68 |
| Expected Daily | 0.85% | 0.82% |
| Expected Monthly | 0.85% | 0.82% |
| Expected Yearly | 10.59% | 10.17% |
| Kelly Criterion | 25.58% | 34.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.16% |
| Expected Shortfall (cVaR) | -8.96% | -4.61% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.76 | 1.42 |
| Gain/Pain (1M) | 0.76 | 1.42 |
| Payoff Ratio | 0.88 | 1.13 |
| Profit Factor | 1.76 | 2.42 |
| Common Sense Ratio | 1.85 | 3.58 |
| CPC Index | 1.01 | 1.78 |
| Tail Ratio | 1.05 | 1.48 |
| Outlier Win Ratio | 2.95 | 2.84 |
| Outlier Loss Ratio | 2.93 | 3.45 |
| MTD | -1.05% | -1.27% |
| 3M | 13.91% | 4.15% |
| 6M | 8.94% | 4.94% |
| YTD | 8.94% | 4.94% |
| 1Y | 20.92% | 18.91% |
| 3Y (ann.) | 18.77% | 16.21% |
| 5Y (ann.) | 12.51% | 9.63% |
| 10Y (ann.) | 15.13% | 10.18% |
| All-time (ann.) | 10.76% | 10.33% |
| Best Day | 12.7% | 6.71% |
| Worst Day | -16.52% | -8.11% |
| Best Month | 12.7% | 6.71% |
| Worst Month | -16.52% | -8.11% |
| Best Year | 38.05% | 25.05% |
| Worst Year | -36.79% | -13.98% |
| Avg. Drawdown | -6.27% | -2.91% |
| Avg. Drawdown Days | 122 | 79 |
| Recovery Factor | 7.49 | 18.42 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 23.72 |
| Avg. Up Month | 3.67% | 2.42% |
| Avg. Down Month | -4.15% | -2.15% |
| Win Days | 65.09% | 65.42% |
| Win Month | 65.09% | 65.42% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.41 |
| Alpha | - | 0.06 |
| Correlation | - | 71.94% |
| Treynor Ratio | - | 6289.83% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.18 | 1.40 | + |
| 1994 | 0.40 | -2.67 | -6.73 | - |
| 1995 | 38.05 | 23.20 | 0.61 | - |
| 1996 | 22.50 | 14.40 | 0.64 | - |
| 1997 | 33.48 | 5.98 | 0.18 | - |
| 1998 | 28.69 | 25.05 | 0.87 | - |
| 1999 | 20.39 | 21.41 | 1.05 | + |
| 2000 | -9.74 | -2.48 | 0.25 | + |
| 2001 | -11.76 | 5.38 | -0.46 | + |
| 2002 | -21.58 | 6.59 | -0.31 | + |
| 2003 | 28.18 | 23.74 | 0.84 | - |
| 2004 | 10.70 | 9.46 | 0.88 | - |
| 2005 | 4.83 | 7.37 | 1.53 | + |
| 2006 | 15.85 | 14.15 | 0.89 | - |
| 2007 | 5.15 | 12.10 | 2.35 | + |
| 2008 | -36.79 | -3.14 | 0.09 | + |
| 2009 | 26.35 | 14.39 | 0.55 | - |
| 2010 | 15.06 | 18.50 | 1.23 | + |
| 2011 | 1.89 | 8.53 | 4.50 | + |
| 2012 | 15.99 | 11.83 | 0.74 | - |
| 2013 | 32.31 | 5.63 | 0.17 | - |
| 2014 | 13.46 | 10.06 | 0.75 | - |
| 2015 | 1.23 | -0.57 | -0.46 | - |
| 2016 | 12.00 | 8.95 | 0.75 | - |
| 2017 | 21.71 | 15.16 | 0.70 | - |
| 2018 | -4.57 | -1.81 | 0.40 | + |
| 2019 | 31.22 | 19.57 | 0.63 | - |
| 2020 | 18.33 | 16.06 | 0.88 | - |
| 2021 | 28.73 | 10.81 | 0.38 | - |
| 2022 | -18.18 | -13.98 | 0.77 | + |
| 2023 | 26.18 | 17.51 | 0.67 | - |
| 2024 | 24.89 | 16.50 | 0.66 | - |
| 2025 | 17.72 | 23.62 | 1.33 | + |
| 2026 | 8.94 | 4.94 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-11-30 | -18.60 | 669 |
| 2008-03-31 | 2009-08-31 | -12.71 | 519 |
| 2000-09-30 | 2002-11-30 | -10.56 | 792 |
| 2020-02-29 | 2020-06-30 | -7.72 | 123 |
| 2026-03-31 | 2026-04-30 | -6.33 | 31 |
| 1994-02-28 | 1995-01-31 | -6.09 | 338 |
| 2013-04-30 | 2013-09-30 | -5.42 | 154 |
| 1997-11-30 | 1998-01-31 | -5.40 | 63 |
| 2015-06-30 | 2016-02-29 | -5.38 | 245 |
| 2011-09-30 | 2011-09-30 | -5.14 | 1 |