| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,468.98% |
| CAGR﹪ | 10.76% | 10.17% |
| Sharpe | 0.77 | 0.91 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.88 |
| Sortino | 1.18 | 1.55 |
| Smart Sortino | 1.14 | 1.49 |
| Sortino/√2 | 0.84 | 1.1 |
| Smart Sortino/√2 | 0.81 | 1.06 |
| Omega | 1.76 | 2.0 |
| Max Drawdown | -50.78% | -17.1% |
| Max DD Date | 2009-02-28 | 2024-04-30 |
| Max DD Period Start | 2007-11-30 | 2022-06-30 |
| Max DD Period End | 2012-02-29 | 2025-07-31 |
| Longest DD Days | 2223 | 1128 |
| Volatility (ann.) | 14.76% | 11.36% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.59 |
| Skew | -0.55 | -0.06 |
| Kurtosis | 0.98 | 0.75 |
| Ulcer Performance Index | 211.25 | 429.81 |
| Risk-Adjusted Return | 754.56% | 665.12% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.91% | 0.88% |
| Avg. Win | 3.47% | 2.82% |
| Avg. Loss | -3.99% | -3.28% |
| Win/Loss Ratio | 0.87 | 0.86 |
| Profit Ratio | 0.5 | 0.57 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 10.02% |
| Kelly Criterion | 25.03% | 24.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.53% |
| Expected Shortfall (cVaR) | -8.96% | -6.17% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.0 |
| Gain/Pain (1M) | 0.76 | 1.0 |
| Payoff Ratio | 0.87 | 0.86 |
| Profit Factor | 1.76 | 2.0 |
| Common Sense Ratio | 1.85 | 2.3 |
| CPC Index | 1.0 | 1.12 |
| Tail Ratio | 1.05 | 1.15 |
| Outlier Win Ratio | 2.95 | 3.45 |
| Outlier Loss Ratio | 2.93 | 2.79 |
| MTD | -1.05% | 1.54% |
| 3M | 13.91% | 5.58% |
| 6M | 8.94% | 19.02% |
| YTD | 8.94% | 19.02% |
| 1Y | 20.92% | 35.67% |
| 3Y (ann.) | 18.77% | 13.9% |
| 5Y (ann.) | 12.51% | 8.07% |
| 10Y (ann.) | 15.13% | 8.05% |
| All-time (ann.) | 10.76% | 10.17% |
| Best Day | 12.7% | 12.65% |
| Worst Day | -16.52% | -9.41% |
| Best Month | 12.7% | 12.65% |
| Worst Month | -16.52% | -9.41% |
| Best Year | 38.05% | 36.15% |
| Worst Year | -36.79% | -8.07% |
| Avg. Drawdown | -6.27% | -4.83% |
| Avg. Drawdown Days | 122 | 146 |
| Recovery Factor | 7.49 | 20.31 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 15.03 |
| Avg. Up Month | 3.47% | 2.82% |
| Avg. Down Month | -3.99% | -3.28% |
| Win Days | 65.09% | 65.0% |
| Win Month | 65.09% | 65.0% |
| Win Quarter | 73.33% | 67.41% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.34 |
| Alpha | - | 0.06 |
| Correlation | - | 44.77% |
| Treynor Ratio | - | 7164.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 23.20 | 2.66 | + |
| 1994 | 0.40 | -0.87 | -2.18 | - |
| 1995 | 38.05 | 13.18 | 0.35 | - |
| 1996 | 22.50 | 11.00 | 0.49 | - |
| 1997 | 33.48 | 8.76 | 0.26 | - |
| 1998 | 28.69 | -0.24 | -0.01 | - |
| 1999 | 20.39 | 7.52 | 0.37 | - |
| 2000 | -9.74 | 9.75 | -1.00 | + |
| 2001 | -11.76 | -5.63 | 0.48 | + |
| 2002 | -21.58 | 9.90 | -0.46 | + |
| 2003 | 28.18 | 36.15 | 1.28 | + |
| 2004 | 10.70 | 5.78 | 0.54 | - |
| 2005 | 4.83 | 9.72 | 2.01 | + |
| 2006 | 15.85 | 21.54 | 1.36 | + |
| 2007 | 5.15 | 29.98 | 5.83 | + |
| 2008 | -36.79 | 7.06 | -0.19 | + |
| 2009 | 26.35 | 29.40 | 1.12 | + |
| 2010 | 15.06 | 10.61 | 0.70 | - |
| 2011 | 1.89 | 8.40 | 4.43 | + |
| 2012 | 15.99 | 1.21 | 0.08 | - |
| 2013 | 32.31 | 22.01 | 0.68 | - |
| 2014 | 13.46 | 9.75 | 0.72 | - |
| 2015 | 1.23 | -7.83 | -6.35 | - |
| 2016 | 12.00 | 8.60 | 0.72 | - |
| 2017 | 21.71 | 15.96 | 0.74 | - |
| 2018 | -4.57 | -8.07 | 1.77 | - |
| 2019 | 31.22 | 10.06 | 0.32 | - |
| 2020 | 18.33 | 9.77 | 0.53 | - |
| 2021 | 28.73 | 23.28 | 0.81 | - |
| 2022 | -18.18 | -7.17 | 0.39 | + |
| 2023 | 26.18 | -4.54 | -0.17 | - |
| 2024 | 24.89 | 4.65 | 0.19 | - |
| 2025 | 17.72 | 27.90 | 1.57 | + |
| 2026 | 8.94 | 19.02 | 2.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-30 | 2025-07-31 | -17.10 | 1128 |
| 2018-02-28 | 2020-11-30 | -16.89 | 1007 |
| 2008-07-31 | 2009-04-30 | -16.05 | 274 |
| 1994-04-30 | 1995-10-31 | -15.11 | 550 |
| 2004-04-30 | 2005-01-31 | -13.07 | 277 |
| 2015-04-30 | 2017-04-30 | -12.77 | 732 |
| 2001-07-31 | 2002-12-31 | -10.05 | 519 |
| 1998-06-30 | 1999-05-31 | -9.61 | 336 |
| 2000-04-30 | 2001-05-31 | -8.45 | 397 |
| 2010-05-31 | 2010-11-30 | -6.92 | 184 |