| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 8,427.27% |
| CAGR﹪ | 10.76% | 14.19% |
| Sharpe | 0.77 | 0.82 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.78 |
| Sortino | 1.18 | 1.35 |
| Smart Sortino | 1.13 | 1.29 |
| Sortino/√2 | 0.84 | 0.96 |
| Smart Sortino/√2 | 0.8 | 0.91 |
| Omega | 1.76 | 1.85 |
| Max Drawdown | -50.78% | -52.96% |
| 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 | 2011-01-31 |
| Longest DD Days | 2223 | 1919 |
| Volatility (ann.) | 14.76% | 18.42% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | 0.21 | 0.27 |
| Skew | -0.55 | -0.15 |
| Kurtosis | 0.98 | 0.73 |
| Ulcer Performance Index | 211.25 | 546.13 |
| Risk-Adjusted Return | 754.56% | 1523.15% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.95% | 1.26% |
| Avg. Win | 3.53% | 4.63% |
| Avg. Loss | -4.01% | -4.63% |
| Win/Loss Ratio | 0.88 | 1.0 |
| Profit Ratio | 0.5 | 0.71 |
| Expected Daily | 0.85% | 1.11% |
| Expected Monthly | 0.85% | 1.11% |
| Expected Yearly | 10.59% | 13.97% |
| Kelly Criterion | 25.4% | 23.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -7.49% |
| Expected Shortfall (cVaR) | -8.96% | -10.04% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.85 |
| Gain/Pain (1M) | 0.76 | 0.85 |
| Payoff Ratio | 0.88 | 1.0 |
| Profit Factor | 1.76 | 1.85 |
| Common Sense Ratio | 1.85 | 2.36 |
| CPC Index | 1.01 | 1.14 |
| Tail Ratio | 1.05 | 1.28 |
| Outlier Win Ratio | 2.95 | 2.99 |
| Outlier Loss Ratio | 2.93 | 3.13 |
| MTD | -1.05% | -0.52% |
| 3M | 13.91% | 12.85% |
| 6M | 8.94% | 9.59% |
| YTD | 8.94% | 9.59% |
| 1Y | 20.92% | 29.01% |
| 3Y (ann.) | 18.77% | 21.81% |
| 5Y (ann.) | 12.51% | 12.65% |
| 10Y (ann.) | 15.13% | 17.15% |
| All-time (ann.) | 10.76% | 14.19% |
| Best Day | 12.7% | 18.16% |
| Worst Day | -16.52% | -19.94% |
| Best Month | 12.7% | 18.16% |
| Worst Month | -16.52% | -19.94% |
| Best Year | 38.05% | 60.83% |
| Worst Year | -36.79% | -35.94% |
| Avg. Drawdown | -6.27% | -8.26% |
| Avg. Drawdown Days | 122 | 154 |
| Recovery Factor | 7.49 | 9.51 |
| Ulcer Index | 0.14 | 0.15 |
| Serenity Index | 3.21 | 4.37 |
| Avg. Up Month | 3.53% | 4.63% |
| Avg. Down Month | -4.01% | -4.63% |
| Win Days | 65.09% | 61.69% |
| Win Month | 65.09% | 61.69% |
| Win Quarter | 73.33% | 68.15% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.98 |
| Alpha | - | 0.04 |
| Correlation | - | 78.45% |
| Treynor Ratio | - | 8608.35% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 21.98 | 2.52 | + |
| 1994 | 0.40 | -5.77 | -14.52 | - |
| 1995 | 38.05 | 60.83 | 1.60 | + |
| 1996 | 22.50 | 29.78 | 1.32 | + |
| 1997 | 33.48 | 25.53 | 0.76 | - |
| 1998 | 28.69 | 39.18 | 1.37 | + |
| 1999 | 20.39 | 10.10 | 0.50 | - |
| 2000 | -9.74 | -2.98 | 0.31 | + |
| 2001 | -11.76 | -15.65 | 1.33 | - |
| 2002 | -21.58 | -23.15 | 1.07 | - |
| 2003 | 28.18 | 38.19 | 1.35 | + |
| 2004 | 10.70 | 16.58 | 1.55 | + |
| 2005 | 4.83 | 10.88 | 2.25 | + |
| 2006 | 15.85 | 16.99 | 1.07 | + |
| 2007 | 5.15 | 10.13 | 1.97 | + |
| 2008 | -36.79 | -35.94 | 0.98 | + |
| 2009 | 26.35 | 21.55 | 0.82 | - |
| 2010 | 15.06 | 28.58 | 1.90 | + |
| 2011 | 1.89 | 16.95 | 8.95 | + |
| 2012 | 15.99 | 18.44 | 1.15 | + |
| 2013 | 32.31 | 24.37 | 0.75 | - |
| 2014 | 13.46 | 30.09 | 2.24 | + |
| 2015 | 1.23 | 0.54 | 0.44 | - |
| 2016 | 12.00 | 14.82 | 1.23 | + |
| 2017 | 21.71 | 28.46 | 1.31 | + |
| 2018 | -4.57 | -9.13 | 2.00 | - |
| 2019 | 31.22 | 43.98 | 1.41 | + |
| 2020 | 18.33 | 33.94 | 1.85 | + |
| 2021 | 28.73 | 34.10 | 1.19 | + |
| 2022 | -18.18 | -27.48 | 1.51 | - |
| 2023 | 26.18 | 28.50 | 1.09 | + |
| 2024 | 24.89 | 25.61 | 1.03 | + |
| 2025 | 17.72 | 27.30 | 1.54 | + |
| 2026 | 8.94 | 9.59 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2011-01-31 | -52.96 | 1159 |
| 2000-09-30 | 2005-12-31 | -49.80 | 1919 |
| 2022-01-31 | 2024-02-29 | -31.46 | 760 |
| 2020-02-29 | 2020-04-30 | -18.60 | 62 |
| 2018-02-28 | 2019-03-31 | -15.14 | 397 |
| 1994-02-28 | 1995-01-31 | -13.51 | 338 |
| 1998-07-31 | 1998-10-31 | -12.56 | 93 |
| 2015-03-31 | 2016-02-29 | -11.10 | 336 |
| 2011-05-31 | 2011-09-30 | -9.46 | 123 |
| 2024-12-31 | 2025-05-31 | -9.32 | 152 |