| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 4,943.77% |
| CAGR﹪ | 10.76% | 12.42% |
| Sharpe | 0.77 | 1.26 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 1.13 |
| Sortino | 1.18 | 2.41 |
| Smart Sortino | 1.07 | 2.17 |
| Sortino/√2 | 0.84 | 1.71 |
| Smart Sortino/√2 | 0.75 | 1.54 |
| Omega | 1.76 | 2.84 |
| Max Drawdown | -50.78% | -10.62% |
| Max DD Date | 2009-02-28 | 2010-05-31 |
| Max DD Period Start | 2007-11-30 | 2010-04-30 |
| Max DD Period End | 2012-02-29 | 2010-11-30 |
| Longest DD Days | 2223 | 520 |
| Volatility (ann.) | 14.76% | 9.7% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.21 | 1.17 |
| Skew | -0.55 | 0.09 |
| Kurtosis | 0.98 | 1.11 |
| Ulcer Performance Index | 211.25 | 1793.97 |
| Risk-Adjusted Return | 754.56% | 1067.88% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 1.02% |
| Avg. Win | 3.49% | 2.52% |
| Avg. Loss | -3.4% | -2.52% |
| Win/Loss Ratio | 1.03 | 1.0 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.98% |
| Expected Monthly | 0.85% | 0.98% |
| Expected Yearly | 10.59% | 12.22% |
| Kelly Criterion | 31.14% | 42.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.59% |
| Expected Shortfall (cVaR) | -8.96% | -5.2% |
| Max Consecutive Wins | 15 | 19 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.84 |
| Gain/Pain (1M) | 0.76 | 1.84 |
| Payoff Ratio | 1.03 | 1.0 |
| Profit Factor | 1.76 | 2.84 |
| Common Sense Ratio | 1.85 | 4.62 |
| CPC Index | 1.18 | 2.02 |
| Tail Ratio | 1.05 | 1.63 |
| Outlier Win Ratio | 2.95 | 3.76 |
| Outlier Loss Ratio | 2.93 | 3.03 |
| MTD | -1.05% | 0.2% |
| 3M | 13.91% | 10.05% |
| 6M | 8.94% | 11.37% |
| YTD | 8.94% | 11.37% |
| 1Y | 20.92% | 21.97% |
| 3Y (ann.) | 18.77% | 15.69% |
| 5Y (ann.) | 12.51% | 13.0% |
| 10Y (ann.) | 15.13% | 14.26% |
| All-time (ann.) | 10.76% | 12.42% |
| 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% | 32.56% |
| Worst Year | -36.79% | -3.08% |
| Avg. Drawdown | -6.27% | -3.24% |
| Avg. Drawdown Days | 122 | 71 |
| Recovery Factor | 7.49 | 38.58 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 58.46 |
| Avg. Up Month | 3.49% | 2.52% |
| Avg. Down Month | -3.4% | -2.52% |
| Win Days | 65.09% | 71.14% |
| Win Month | 65.09% | 71.14% |
| Win Quarter | 73.33% | 83.7% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.36 |
| Alpha | - | 0.08 |
| Correlation | - | 54.6% |
| Treynor Ratio | - | 13775.12% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.83 | 1.01 | + |
| 1994 | 0.40 | 7.35 | 18.49 | + |
| 1995 | 38.05 | 12.05 | 0.32 | - |
| 1996 | 22.50 | 14.62 | 0.65 | - |
| 1997 | 33.48 | 32.56 | 0.97 | - |
| 1998 | 28.69 | 10.30 | 0.36 | - |
| 1999 | 20.39 | 21.02 | 1.03 | + |
| 2000 | -9.74 | 0.69 | -0.07 | + |
| 2001 | -11.76 | 8.66 | -0.74 | + |
| 2002 | -21.58 | -3.08 | 0.14 | + |
| 2003 | 28.18 | 27.59 | 0.98 | - |
| 2004 | 10.70 | 19.22 | 1.80 | + |
| 2005 | 4.83 | 9.20 | 1.91 | + |
| 2006 | 15.85 | 25.81 | 1.63 | + |
| 2007 | 5.15 | 15.86 | 3.08 | + |
| 2008 | -36.79 | -1.84 | 0.05 | + |
| 2009 | 26.35 | 22.69 | 0.86 | - |
| 2010 | 15.06 | 6.08 | 0.40 | - |
| 2011 | 1.89 | 13.96 | 7.36 | + |
| 2012 | 15.99 | 3.75 | 0.23 | - |
| 2013 | 32.31 | 16.57 | 0.51 | - |
| 2014 | 13.46 | 10.11 | 0.75 | - |
| 2015 | 1.23 | 1.81 | 1.47 | + |
| 2016 | 12.00 | 2.53 | 0.21 | - |
| 2017 | 21.71 | 19.70 | 0.91 | - |
| 2018 | -4.57 | 0.50 | -0.11 | + |
| 2019 | 31.22 | 7.63 | 0.24 | - |
| 2020 | 18.33 | 29.79 | 1.63 | + |
| 2021 | 28.73 | 22.98 | 0.80 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 9.07 | 0.35 | - |
| 2024 | 24.89 | 24.82 | 1.00 | - |
| 2025 | 17.72 | 14.39 | 0.81 | - |
| 2026 | 8.94 | 11.37 | 1.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-04-30 | 2010-11-30 | -10.62 | 215 |
| 2023-08-31 | 2024-01-31 | -10.43 | 154 |
| 2002-04-30 | 2003-06-30 | -10.36 | 427 |
| 1993-11-30 | 1993-12-31 | -8.49 | 32 |
| 2026-03-31 | 2026-04-30 | -7.92 | 31 |
| 2025-02-28 | 2025-05-31 | -7.58 | 93 |
| 2000-04-30 | 2000-11-30 | -7.48 | 215 |
| 2008-05-31 | 2009-06-30 | -7.28 | 396 |
| 2015-06-30 | 2016-11-30 | -6.41 | 520 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |