| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,263.49% |
| CAGR﹪ | 10.76% | 11.06% |
| Sharpe | 0.77 | 1.22 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.15 |
| Sortino | 1.18 | 2.53 |
| Smart Sortino | 1.12 | 2.39 |
| Sortino/√2 | 0.84 | 1.79 |
| Smart Sortino/√2 | 0.79 | 1.69 |
| Omega | 1.76 | 3.0 |
| Max Drawdown | -50.78% | -11.27% |
| Max DD Date | 2009-02-28 | 2010-06-30 |
| Max DD Period Start | 2007-11-30 | 2010-05-31 |
| Max DD Period End | 2012-02-29 | 2010-11-30 |
| Longest DD Days | 2223 | 642 |
| Volatility (ann.) | 14.76% | 8.95% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.98 |
| Skew | -0.55 | 0.53 |
| Kurtosis | 0.98 | 1.54 |
| Ulcer Performance Index | 211.25 | 1182.48 |
| Risk-Adjusted Return | 754.56% | 805.92% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 0.91% |
| Avg. Win | 3.44% | 2.1% |
| Avg. Loss | -2.55% | -2.42% |
| Win/Loss Ratio | 1.35 | 0.87 |
| Profit Ratio | 0.5 | 0.18 |
| Expected Daily | 0.85% | 0.88% |
| Expected Monthly | 0.85% | 0.88% |
| Expected Yearly | 10.59% | 10.89% |
| Kelly Criterion | 39.17% | 57.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.34% |
| Expected Shortfall (cVaR) | -8.96% | -4.58% |
| Max Consecutive Wins | 15 | 30 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.76 | 2.0 |
| Gain/Pain (1M) | 0.76 | 2.0 |
| Payoff Ratio | 1.35 | 0.87 |
| Profit Factor | 1.76 | 3.0 |
| Common Sense Ratio | 1.85 | 5.58 |
| CPC Index | 1.54 | 2.09 |
| Tail Ratio | 1.05 | 1.86 |
| Outlier Win Ratio | 2.95 | 4.52 |
| Outlier Loss Ratio | 2.93 | 2.15 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 16.46% |
| 6M | 8.94% | 11.37% |
| YTD | 8.94% | 11.37% |
| 1Y | 20.92% | 23.63% |
| 3Y (ann.) | 18.77% | 17.92% |
| 5Y (ann.) | 12.51% | 15.11% |
| 10Y (ann.) | 15.13% | 15.14% |
| All-time (ann.) | 10.76% | 11.06% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -7.44% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -7.44% |
| Best Year | 38.05% | 32.8% |
| Worst Year | -36.79% | -8.62% |
| Avg. Drawdown | -6.27% | -3.51% |
| Avg. Drawdown Days | 122 | 100 |
| Recovery Factor | 7.49 | 32.5 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 46.72 |
| Avg. Up Month | 3.44% | 2.1% |
| Avg. Down Month | -2.55% | -2.42% |
| Win Days | 65.09% | 80.35% |
| Win Month | 65.09% | 80.35% |
| Win Quarter | 73.33% | 87.41% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.37 |
| Alpha | - | 0.07 |
| Correlation | - | 61.26% |
| Treynor Ratio | - | 8786.66% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.71 | 1.00 | + |
| 1994 | 0.40 | 0.48 | 1.22 | + |
| 1995 | 38.05 | 5.48 | 0.14 | - |
| 1996 | 22.50 | 13.82 | 0.61 | - |
| 1997 | 33.48 | 28.03 | 0.84 | - |
| 1998 | 28.69 | 12.98 | 0.45 | - |
| 1999 | 20.39 | 20.39 | 1.00 | + |
| 2000 | -9.74 | 4.32 | -0.44 | + |
| 2001 | -11.76 | 3.32 | -0.28 | + |
| 2002 | -21.58 | -8.62 | 0.40 | + |
| 2003 | 28.18 | 18.87 | 0.67 | - |
| 2004 | 10.70 | 13.28 | 1.24 | + |
| 2005 | 4.83 | 2.41 | 0.50 | - |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 6.42 | 1.25 | + |
| 2008 | -36.79 | 1.34 | -0.04 | + |
| 2009 | 26.35 | 32.80 | 1.24 | + |
| 2010 | 15.06 | 8.34 | 0.55 | - |
| 2011 | 1.89 | 2.20 | 1.16 | + |
| 2012 | 15.99 | -0.22 | -0.01 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 11.50 | 0.85 | - |
| 2015 | 1.23 | 2.14 | 1.74 | + |
| 2016 | 12.00 | 3.02 | 0.25 | - |
| 2017 | 21.71 | 21.71 | 1.00 | - |
| 2018 | -4.57 | 4.03 | -0.88 | + |
| 2019 | 31.22 | 2.04 | 0.07 | - |
| 2020 | 18.33 | 23.60 | 1.29 | + |
| 2021 | 28.73 | 26.19 | 0.91 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 13.26 | 0.51 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 17.72 | 1.00 | - |
| 2026 | 8.94 | 11.37 | 1.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-05-31 | 2010-11-30 | -11.27 | 184 |
| 2002-01-31 | 2003-09-30 | -9.30 | 608 |
| 2023-08-31 | 2023-11-30 | -8.33 | 92 |
| 2015-06-30 | 2016-11-30 | -7.88 | 520 |
| 2025-02-28 | 2025-05-31 | -7.58 | 93 |
| 1994-02-28 | 1994-07-31 | -6.98 | 154 |
| 2000-01-31 | 2000-02-29 | -6.43 | 30 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |
| 2026-02-28 | 2026-03-31 | -5.76 | 32 |
| 1999-07-31 | 1999-09-30 | -5.76 | 62 |