| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 328.98% |
| CAGR﹪ | 10.76% | 4.44% |
| Sharpe | 0.77 | 1.51 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.44 |
| Sortino | 1.18 | 3.03 |
| Smart Sortino | 1.13 | 2.9 |
| Sortino/√2 | 0.84 | 2.15 |
| Smart Sortino/√2 | 0.8 | 2.05 |
| Omega | 1.76 | 3.42 |
| Max Drawdown | -50.78% | -6.56% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2009-07-31 |
| Longest DD Days | 2223 | 1034 |
| Volatility (ann.) | 14.76% | 2.92% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 0.21 | 0.68 |
| Skew | -0.55 | 0.29 |
| Kurtosis | 0.98 | 5.33 |
| Ulcer Performance Index | 211.25 | 254.67 |
| Risk-Adjusted Return | 754.56% | 149.15% |
| Risk-Return Ratio | 0.22 | 0.43 |
| Avg. Return | 0.95% | 0.37% |
| Avg. Win | 3.51% | 0.76% |
| Avg. Loss | -4.0% | -0.69% |
| Win/Loss Ratio | 0.88 | 1.09 |
| Profit Ratio | 0.5 | 0.54 |
| Expected Daily | 0.85% | 0.36% |
| Expected Monthly | 0.85% | 0.36% |
| Expected Yearly | 10.59% | 4.38% |
| Kelly Criterion | 25.36% | 45.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.02% |
| Expected Shortfall (cVaR) | -8.96% | -1.59% |
| Max Consecutive Wins | 15 | 17 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.76 | 2.42 |
| Gain/Pain (1M) | 0.76 | 2.42 |
| Payoff Ratio | 0.88 | 1.09 |
| Profit Factor | 1.76 | 3.42 |
| Common Sense Ratio | 1.85 | 6.58 |
| CPC Index | 1.01 | 2.68 |
| Tail Ratio | 1.05 | 1.92 |
| Outlier Win Ratio | 2.95 | 3.61 |
| Outlier Loss Ratio | 2.93 | 3.04 |
| MTD | -1.05% | -0.31% |
| 3M | 13.91% | 0.96% |
| 6M | 8.94% | 0.8% |
| YTD | 8.94% | 0.8% |
| 1Y | 20.92% | 3.78% |
| 3Y (ann.) | 18.77% | 5.21% |
| 5Y (ann.) | 12.51% | 2.62% |
| 10Y (ann.) | 15.13% | 2.83% |
| All-time (ann.) | 10.76% | 4.44% |
| Best Day | 12.7% | 4.71% |
| Worst Day | -16.52% | -4.2% |
| Best Month | 12.7% | 4.71% |
| Worst Month | -16.52% | -4.2% |
| Best Year | 38.05% | 16.08% |
| Worst Year | -36.79% | -4.11% |
| Avg. Drawdown | -6.27% | -0.84% |
| Avg. Drawdown Days | 122 | 61 |
| Recovery Factor | 7.49 | 22.47 |
| Ulcer Index | 0.14 | 0.01 |
| Serenity Index | 3.21 | 23.91 |
| Avg. Up Month | 3.51% | 0.76% |
| Avg. Down Month | -4.0% | -0.69% |
| Win Days | 65.09% | 71.64% |
| Win Month | 65.09% | 71.64% |
| Win Quarter | 73.33% | 80.0% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.07 |
| Alpha | - | 0.04 |
| Correlation | - | 35.23% |
| Treynor Ratio | - | 4719.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 4.96 | 0.57 | - |
| 1994 | 0.40 | -0.56 | -1.40 | - |
| 1995 | 38.05 | 16.08 | 0.42 | - |
| 1996 | 22.50 | 6.19 | 0.28 | - |
| 1997 | 33.48 | 8.74 | 0.26 | - |
| 1998 | 28.69 | 10.17 | 0.35 | - |
| 1999 | 20.39 | 2.08 | 0.10 | - |
| 2000 | -9.74 | 8.59 | -0.88 | + |
| 2001 | -11.76 | 6.21 | -0.53 | + |
| 2002 | -21.58 | 4.96 | -0.23 | + |
| 2003 | 28.18 | 5.81 | 0.21 | - |
| 2004 | 10.70 | 2.04 | 0.19 | - |
| 2005 | 4.83 | 1.71 | 0.35 | - |
| 2006 | 15.85 | 4.90 | 0.31 | - |
| 2007 | 5.15 | 7.84 | 1.52 | + |
| 2008 | -36.79 | 7.04 | -0.19 | + |
| 2009 | 26.35 | 2.81 | 0.11 | - |
| 2010 | 15.06 | 5.72 | 0.38 | - |
| 2011 | 1.89 | 4.10 | 2.16 | + |
| 2012 | 15.99 | 2.07 | 0.13 | - |
| 2013 | 32.31 | 1.96 | 0.06 | - |
| 2014 | 13.46 | 3.89 | 0.29 | - |
| 2015 | 1.23 | 0.80 | 0.65 | - |
| 2016 | 12.00 | 2.42 | 0.20 | - |
| 2017 | 21.71 | 2.84 | 0.13 | - |
| 2018 | -4.57 | 1.33 | -0.29 | + |
| 2019 | 31.22 | 6.73 | 0.22 | - |
| 2020 | 18.33 | 6.85 | 0.37 | - |
| 2021 | 28.73 | -1.58 | -0.05 | - |
| 2022 | -18.18 | -4.11 | 0.23 | + |
| 2023 | 26.18 | 6.11 | 0.23 | - |
| 2024 | 24.89 | 5.15 | 0.21 | - |
| 2025 | 17.72 | 6.32 | 0.36 | - |
| 2026 | 8.94 | 0.80 | 0.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-07-31 | -6.56 | 182 |
| 2021-01-31 | 2023-11-30 | -6.16 | 1034 |
| 2008-04-30 | 2008-10-31 | -3.77 | 185 |
| 1994-02-28 | 1995-01-31 | -3.43 | 338 |
| 2016-08-31 | 2017-04-30 | -1.97 | 243 |
| 2013-05-31 | 2013-09-30 | -1.88 | 123 |
| 2009-12-31 | 2010-04-30 | -1.85 | 121 |
| 2004-04-30 | 2004-09-30 | -1.53 | 154 |
| 2003-07-31 | 2003-08-31 | -1.34 | 32 |
| 2024-10-31 | 2025-01-31 | -1.30 | 93 |