| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 8,690.62% |
| CAGR﹪ | 10.76% | 14.3% |
| Sharpe | 0.77 | 1.24 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.22 |
| Sortino | 1.18 | 2.29 |
| Smart Sortino | 1.17 | 2.26 |
| Sortino/√2 | 0.84 | 1.62 |
| Smart Sortino/√2 | 0.83 | 1.6 |
| Omega | 1.76 | 2.57 |
| Max Drawdown | -50.78% | -20.23% |
| Max DD Date | 2009-02-28 | 2009-04-30 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2009-10-31 |
| Longest DD Days | 2223 | 793 |
| Volatility (ann.) | 14.76% | 11.36% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.21 | 0.71 |
| Skew | -0.55 | -0.06 |
| Kurtosis | 0.98 | 0.74 |
| Ulcer Performance Index | 211.25 | 1752.85 |
| Risk-Adjusted Return | 754.56% | 1554.4% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 1.18% |
| Avg. Win | 3.53% | 3.01% |
| Avg. Loss | -3.87% | -2.9% |
| Win/Loss Ratio | 0.91 | 1.04 |
| Profit Ratio | 0.5 | 0.48 |
| Expected Daily | 0.85% | 1.12% |
| Expected Monthly | 0.85% | 1.12% |
| Expected Yearly | 10.59% | 14.07% |
| Kelly Criterion | 26.89% | 40.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.22% |
| Expected Shortfall (cVaR) | -8.96% | -6.23% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.57 |
| Gain/Pain (1M) | 0.76 | 1.57 |
| Payoff Ratio | 0.91 | 1.04 |
| Profit Factor | 1.76 | 2.57 |
| Common Sense Ratio | 1.85 | 4.36 |
| CPC Index | 1.05 | 1.87 |
| Tail Ratio | 1.05 | 1.7 |
| Outlier Win Ratio | 2.95 | 3.26 |
| Outlier Loss Ratio | 2.93 | 3.07 |
| MTD | -1.05% | 3.19% |
| 3M | 13.91% | 7.23% |
| 6M | 8.94% | 13.73% |
| YTD | 8.94% | 13.73% |
| 1Y | 20.92% | 31.44% |
| 3Y (ann.) | 18.77% | 18.14% |
| 5Y (ann.) | 12.51% | 13.77% |
| 10Y (ann.) | 15.13% | 15.07% |
| All-time (ann.) | 10.76% | 14.3% |
| Best Day | 12.7% | 12.58% |
| Worst Day | -16.52% | -9.52% |
| Best Month | 12.7% | 12.58% |
| Worst Month | -16.52% | -9.52% |
| Best Year | 38.05% | 54.83% |
| Worst Year | -36.79% | -4.47% |
| Avg. Drawdown | -6.27% | -4.38% |
| Avg. Drawdown Days | 122 | 97 |
| Recovery Factor | 7.49 | 23.31 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 23.53 |
| Avg. Up Month | 3.53% | 3.01% |
| Avg. Down Month | -3.87% | -2.9% |
| Win Days | 65.09% | 69.83% |
| Win Month | 65.09% | 69.83% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.35 |
| Alpha | - | 0.1 |
| Correlation | - | 45.88% |
| Treynor Ratio | - | 24619.66% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.74 | 1.58 | + |
| 1994 | 0.40 | -3.16 | -7.95 | - |
| 1995 | 38.05 | 9.57 | 0.25 | - |
| 1996 | 22.50 | 22.72 | 1.01 | + |
| 1997 | 33.48 | 14.89 | 0.44 | - |
| 1998 | 28.69 | 26.68 | 0.93 | - |
| 1999 | 20.39 | 54.83 | 2.69 | + |
| 2000 | -9.74 | -1.58 | 0.16 | + |
| 2001 | -11.76 | 1.63 | -0.14 | + |
| 2002 | -21.58 | 14.88 | -0.69 | + |
| 2003 | 28.18 | 25.59 | 0.91 | - |
| 2004 | 10.70 | 17.16 | 1.60 | + |
| 2005 | 4.83 | 12.05 | 2.50 | + |
| 2006 | 15.85 | 26.52 | 1.67 | + |
| 2007 | 5.15 | 24.77 | 4.81 | + |
| 2008 | -36.79 | -4.21 | 0.11 | + |
| 2009 | 26.35 | 15.00 | 0.57 | - |
| 2010 | 15.06 | 17.45 | 1.16 | + |
| 2011 | 1.89 | 11.23 | 5.93 | + |
| 2012 | 15.99 | 16.11 | 1.01 | + |
| 2013 | 32.31 | 27.71 | 0.86 | - |
| 2014 | 13.46 | 7.21 | 0.54 | - |
| 2015 | 1.23 | -4.47 | -3.62 | - |
| 2016 | 12.00 | 0.37 | 0.03 | - |
| 2017 | 21.71 | 23.61 | 1.09 | + |
| 2018 | -4.57 | 3.10 | -0.68 | + |
| 2019 | 31.22 | 12.04 | 0.39 | - |
| 2020 | 18.33 | 27.32 | 1.49 | + |
| 2021 | 28.73 | 26.14 | 0.91 | - |
| 2022 | -18.18 | -2.40 | 0.13 | + |
| 2023 | 26.18 | 8.74 | 0.33 | - |
| 2024 | 24.89 | 15.61 | 0.63 | - |
| 2025 | 17.72 | 25.45 | 1.44 | + |
| 2026 | 8.94 | 13.73 | 1.54 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-10-31 | -20.23 | 489 |
| 1994-03-31 | 1995-12-31 | -16.53 | 641 |
| 2000-04-30 | 2002-04-30 | -14.42 | 731 |
| 2015-02-28 | 2017-04-30 | -13.16 | 793 |
| 2004-04-30 | 2004-10-31 | -9.87 | 185 |
| 2026-03-31 | 2026-07-31 | -9.52 | 123 |
| 2023-08-31 | 2024-01-31 | -9.37 | 154 |
| 2010-05-31 | 2010-09-30 | -8.41 | 123 |
| 1997-11-30 | 1998-02-28 | -7.30 | 91 |
| 2002-06-30 | 2002-11-30 | -7.04 | 154 |