| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 4,022.27% |
| CAGR﹪ | 10.76% | 11.74% |
| Sharpe | 0.77 | 1.17 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.08 |
| Sortino | 1.18 | 2.19 |
| Smart Sortino | 1.09 | 2.03 |
| Sortino/√2 | 0.84 | 1.55 |
| Smart Sortino/√2 | 0.77 | 1.43 |
| Omega | 1.76 | 2.61 |
| Max Drawdown | -50.78% | -16.57% |
| Max DD Date | 2009-02-28 | 2010-06-30 |
| Max DD Period Start | 2007-11-30 | 2010-04-30 |
| Max DD Period End | 2012-02-29 | 2011-01-31 |
| Longest DD Days | 2223 | 671 |
| Volatility (ann.) | 14.76% | 9.94% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.21 | 0.71 |
| Skew | -0.55 | 0.08 |
| Kurtosis | 0.98 | 1.03 |
| Ulcer Performance Index | 211.25 | 1286.61 |
| Risk-Adjusted Return | 754.56% | 929.14% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 0.97% |
| Avg. Win | 3.56% | 2.56% |
| Avg. Loss | -3.34% | -2.55% |
| Win/Loss Ratio | 1.06 | 1.0 |
| Profit Ratio | 0.5 | 0.48 |
| Expected Daily | 0.85% | 0.93% |
| Expected Monthly | 0.85% | 0.93% |
| Expected Yearly | 10.59% | 11.56% |
| Kelly Criterion | 32.29% | 39.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.75% |
| Expected Shortfall (cVaR) | -8.96% | -5.3% |
| Max Consecutive Wins | 15 | 19 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.61 |
| Gain/Pain (1M) | 0.76 | 1.61 |
| Payoff Ratio | 1.06 | 1.0 |
| Profit Factor | 1.76 | 2.61 |
| Common Sense Ratio | 1.85 | 4.21 |
| CPC Index | 1.22 | 1.83 |
| Tail Ratio | 1.05 | 1.62 |
| Outlier Win Ratio | 2.95 | 3.52 |
| Outlier Loss Ratio | 2.93 | 3.41 |
| MTD | -1.05% | -1.21% |
| 3M | 13.91% | 6.03% |
| 6M | 8.94% | 7.3% |
| YTD | 8.94% | 7.3% |
| 1Y | 20.92% | 17.94% |
| 3Y (ann.) | 18.77% | 13.71% |
| 5Y (ann.) | 12.51% | 11.22% |
| 10Y (ann.) | 15.13% | 13.91% |
| All-time (ann.) | 10.76% | 11.74% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -8.49% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -8.49% |
| Best Year | 38.05% | 31.35% |
| Worst Year | -36.79% | -3.83% |
| Avg. Drawdown | -6.27% | -3.34% |
| Avg. Drawdown Days | 122 | 79 |
| Recovery Factor | 7.49 | 23.54 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 43.14 |
| Avg. Up Month | 3.56% | 2.56% |
| Avg. Down Month | -3.34% | -2.55% |
| Win Days | 65.09% | 69.9% |
| Win Month | 65.09% | 69.9% |
| Win Quarter | 73.33% | 80.74% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.36 |
| Alpha | - | 0.08 |
| Correlation | - | 53.08% |
| Treynor Ratio | - | 11255.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.14 | 1.05 | + |
| 1994 | 0.40 | 6.80 | 17.11 | + |
| 1995 | 38.05 | 12.37 | 0.33 | - |
| 1996 | 22.50 | 8.27 | 0.37 | - |
| 1997 | 33.48 | 31.35 | 0.94 | - |
| 1998 | 28.69 | 12.37 | 0.43 | - |
| 1999 | 20.39 | 11.25 | 0.55 | - |
| 2000 | -9.74 | -3.83 | 0.39 | + |
| 2001 | -11.76 | 8.66 | -0.74 | + |
| 2002 | -21.58 | -3.62 | 0.17 | + |
| 2003 | 28.18 | 29.64 | 1.05 | + |
| 2004 | 10.70 | 21.79 | 2.04 | + |
| 2005 | 4.83 | 11.47 | 2.38 | + |
| 2006 | 15.85 | 25.81 | 1.63 | + |
| 2007 | 5.15 | 8.37 | 1.63 | + |
| 2008 | -36.79 | 1.14 | -0.03 | + |
| 2009 | 26.35 | 28.05 | 1.06 | + |
| 2010 | 15.06 | -2.17 | -0.14 | - |
| 2011 | 1.89 | 9.39 | 4.95 | + |
| 2012 | 15.99 | 3.19 | 0.20 | - |
| 2013 | 32.31 | 20.95 | 0.65 | - |
| 2014 | 13.46 | 14.90 | 1.11 | + |
| 2015 | 1.23 | 2.88 | 2.33 | + |
| 2016 | 12.00 | 0.22 | 0.02 | - |
| 2017 | 21.71 | 20.83 | 0.96 | - |
| 2018 | -4.57 | 3.36 | -0.73 | + |
| 2019 | 31.22 | 7.63 | 0.24 | - |
| 2020 | 18.33 | 30.66 | 1.67 | + |
| 2021 | 28.73 | 27.83 | 0.97 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 2.76 | 0.11 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 13.40 | 0.76 | - |
| 2026 | 8.94 | 7.30 | 0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-04-30 | 2011-01-31 | -16.57 | 277 |
| 2023-08-31 | 2024-01-31 | -10.34 | 154 |
| 2001-11-30 | 2003-05-31 | -9.93 | 548 |
| 1993-11-30 | 1993-12-31 | -8.49 | 32 |
| 1999-07-31 | 2001-05-31 | -8.12 | 671 |
| 2026-03-31 | 2026-07-31 | -7.92 | 123 |
| 2015-11-30 | 2016-12-31 | -7.15 | 398 |
| 2025-02-28 | 2025-05-31 | -6.77 | 93 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |
| 2013-05-31 | 2013-08-31 | -5.87 | 93 |