| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 6,063.53% |
| CAGR﹪ | 10.76% | 13.09% |
| Sharpe | 0.77 | 0.83 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 0.78 |
| Sortino | 1.18 | 1.36 |
| Smart Sortino | 1.11 | 1.28 |
| Sortino/√2 | 0.84 | 0.96 |
| Smart Sortino/√2 | 0.79 | 0.9 |
| Omega | 1.76 | 1.88 |
| Max Drawdown | -50.78% | -44.89% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2010-09-30 |
| Longest DD Days | 2223 | 1523 |
| Volatility (ann.) | 14.76% | 16.46% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.21 | 0.29 |
| Skew | -0.55 | -0.32 |
| Kurtosis | 0.98 | 1.2 |
| Ulcer Performance Index | 211.25 | 486.87 |
| Risk-Adjusted Return | 754.56% | 1224.29% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.95% | 1.15% |
| Avg. Win | 3.57% | 4.17% |
| Avg. Loss | -4.16% | -4.39% |
| Win/Loss Ratio | 0.86 | 0.95 |
| Profit Ratio | 0.5 | 0.64 |
| Expected Daily | 0.85% | 1.03% |
| Expected Monthly | 0.85% | 1.03% |
| Expected Yearly | 10.59% | 12.89% |
| Kelly Criterion | 24.46% | 24.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -6.67% |
| Expected Shortfall (cVaR) | -8.96% | -9.21% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.88 |
| Gain/Pain (1M) | 0.76 | 0.88 |
| Payoff Ratio | 0.86 | 0.95 |
| Profit Factor | 1.76 | 1.88 |
| Common Sense Ratio | 1.85 | 2.31 |
| CPC Index | 0.98 | 1.13 |
| Tail Ratio | 1.05 | 1.23 |
| Outlier Win Ratio | 2.95 | 3.04 |
| Outlier Loss Ratio | 2.93 | 3.12 |
| MTD | -1.05% | -2.1% |
| 3M | 13.91% | 8.08% |
| 6M | 8.94% | 5.06% |
| YTD | 8.94% | 5.06% |
| 1Y | 20.92% | 22.92% |
| 3Y (ann.) | 18.77% | 20.56% |
| 5Y (ann.) | 12.51% | 10.57% |
| 10Y (ann.) | 15.13% | 15.41% |
| All-time (ann.) | 10.76% | 13.09% |
| Best Day | 12.7% | 15.5% |
| Worst Day | -16.52% | -20.96% |
| Best Month | 12.7% | 15.5% |
| Worst Month | -16.52% | -20.96% |
| Best Year | 38.05% | 53.88% |
| Worst Year | -36.79% | -29.19% |
| Avg. Drawdown | -6.27% | -7.01% |
| Avg. Drawdown Days | 122 | 140 |
| Recovery Factor | 7.49 | 10.24 |
| Ulcer Index | 0.14 | 0.12 |
| Serenity Index | 3.21 | 5.7 |
| Avg. Up Month | 3.57% | 4.17% |
| Avg. Down Month | -4.16% | -4.39% |
| Win Days | 65.09% | 63.18% |
| Win Month | 65.09% | 63.18% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.84 |
| Alpha | - | 0.04 |
| Correlation | - | 75.48% |
| Treynor Ratio | - | 7204.2% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 21.83 | 2.51 | + |
| 1994 | 0.40 | -11.55 | -29.08 | - |
| 1995 | 38.05 | 53.88 | 1.42 | + |
| 1996 | 22.50 | 21.71 | 0.96 | - |
| 1997 | 33.48 | 20.89 | 0.62 | - |
| 1998 | 28.69 | 28.81 | 1.00 | + |
| 1999 | 20.39 | 8.96 | 0.44 | - |
| 2000 | -9.74 | -3.20 | 0.33 | + |
| 2001 | -11.76 | -11.80 | 1.00 | - |
| 2002 | -21.58 | -13.97 | 0.65 | + |
| 2003 | 28.18 | 32.64 | 1.16 | + |
| 2004 | 10.70 | 15.04 | 1.41 | + |
| 2005 | 4.83 | 10.88 | 2.25 | + |
| 2006 | 15.85 | 19.95 | 1.26 | + |
| 2007 | 5.15 | 13.25 | 2.57 | + |
| 2008 | -36.79 | -28.19 | 0.77 | + |
| 2009 | 26.35 | 19.98 | 0.76 | - |
| 2010 | 15.06 | 26.86 | 1.78 | + |
| 2011 | 1.89 | 19.83 | 10.46 | + |
| 2012 | 15.99 | 18.80 | 1.18 | + |
| 2013 | 32.31 | 14.96 | 0.46 | - |
| 2014 | 13.46 | 24.54 | 1.82 | + |
| 2015 | 1.23 | -2.70 | -2.18 | - |
| 2016 | 12.00 | 14.75 | 1.23 | + |
| 2017 | 21.71 | 28.92 | 1.33 | + |
| 2018 | -4.57 | -7.35 | 1.61 | - |
| 2019 | 31.22 | 41.93 | 1.34 | + |
| 2020 | 18.33 | 33.52 | 1.83 | + |
| 2021 | 28.73 | 25.45 | 0.89 | - |
| 2022 | -18.18 | -29.19 | 1.61 | - |
| 2023 | 26.18 | 27.13 | 1.04 | + |
| 2024 | 24.89 | 23.24 | 0.93 | - |
| 2025 | 17.72 | 29.54 | 1.67 | + |
| 2026 | 8.94 | 5.06 | 0.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-09-30 | -44.89 | 1036 |
| 2000-09-30 | 2004-11-30 | -39.87 | 1523 |
| 2022-01-31 | 2024-05-31 | -34.43 | 852 |
| 1994-02-28 | 1995-04-30 | -15.75 | 427 |
| 2020-02-29 | 2020-04-30 | -15.44 | 62 |
| 1998-07-31 | 1998-10-31 | -12.99 | 93 |
| 2018-09-30 | 2019-02-28 | -11.90 | 152 |
| 2015-03-31 | 2016-02-29 | -11.16 | 336 |
| 2026-03-31 | 2026-04-30 | -9.37 | 31 |
| 2020-09-30 | 2020-10-31 | -8.37 | 32 |