| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,865.64% | 1,497.36% |
| CAGR﹪ | 10.7% | 8.67% |
| Sharpe | 0.76 | 0.95 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 0.87 |
| Sortino | 1.18 | 1.49 |
| Smart Sortino | 1.07 | 1.36 |
| Sortino/√2 | 0.83 | 1.05 |
| Smart Sortino/√2 | 0.76 | 0.96 |
| Omega | 1.75 | 1.97 |
| Max Drawdown | -50.78% | -20.77% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-05-31 |
| Longest DD Days | 2223 | 1127 |
| Volatility (ann.) | 14.8% | 9.23% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.21 | 0.42 |
| Skew | -0.55 | -0.66 |
| Kurtosis | 0.96 | 0.8 |
| Ulcer Performance Index | 203.71 | 300.3 |
| Risk-Adjusted Return | 746.12% | 472.99% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.95% | 0.74% |
| Avg. Win | 3.52% | 2.37% |
| Avg. Loss | -3.87% | -2.38% |
| Win/Loss Ratio | 0.91 | 1.0 |
| Profit Ratio | 0.51 | 0.6 |
| Expected Daily | 0.85% | 0.7% |
| Expected Monthly | 0.85% | 0.7% |
| Expected Yearly | 10.48% | 8.49% |
| Kelly Criterion | 26.25% | 28.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.08% | -3.65% |
| Expected Shortfall (cVaR) | -8.96% | -5.41% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.75 | 0.97 |
| Gain/Pain (1M) | 0.75 | 0.97 |
| Payoff Ratio | 0.91 | 1.0 |
| Profit Factor | 1.75 | 1.97 |
| Common Sense Ratio | 1.84 | 2.36 |
| CPC Index | 1.03 | 1.26 |
| Tail Ratio | 1.05 | 1.2 |
| Outlier Win Ratio | 2.94 | 2.61 |
| Outlier Loss Ratio | 2.93 | 2.99 |
| MTD | -1.05% | -0.89% |
| 3M | 13.91% | 6.71% |
| 6M | 8.94% | 6.35% |
| YTD | 8.94% | 6.35% |
| 1Y | 20.92% | 13.58% |
| 3Y (ann.) | 18.77% | 12.03% |
| 5Y (ann.) | 12.51% | 6.23% |
| 10Y (ann.) | 15.13% | 7.45% |
| All-time (ann.) | 10.7% | 8.67% |
| Best Day | 12.7% | 7.04% |
| Worst Day | -16.52% | -9.91% |
| Best Month | 12.7% | 7.04% |
| Worst Month | -16.52% | -9.91% |
| Best Year | 38.05% | 23.3% |
| Worst Year | -36.79% | -15.45% |
| Avg. Drawdown | -6.27% | -3.79% |
| Avg. Drawdown Days | 122 | 107 |
| Recovery Factor | 7.43 | 14.07 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.18 | 12.53 |
| Avg. Up Month | 3.52% | 2.37% |
| Avg. Down Month | -3.87% | -2.38% |
| Win Days | 64.91% | 64.5% |
| Win Month | 64.91% | 64.5% |
| Win Quarter | 73.13% | 73.88% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.53 |
| Alpha | - | 0.03 |
| Correlation | - | 85.43% |
| Treynor Ratio | - | 2811.17% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 5.21 | 8.07 | 1.55 | + |
| 1994 | 0.40 | 3.42 | 8.60 | + |
| 1995 | 38.05 | 22.44 | 0.59 | - |
| 1996 | 22.50 | 13.50 | 0.60 | - |
| 1997 | 33.48 | 18.48 | 0.55 | - |
| 1998 | 28.69 | 18.11 | 0.63 | - |
| 1999 | 20.39 | 17.27 | 0.85 | - |
| 2000 | -9.74 | -4.32 | 0.44 | + |
| 2001 | -11.76 | -2.60 | 0.22 | + |
| 2002 | -21.58 | 3.38 | -0.16 | + |
| 2003 | 28.18 | 23.30 | 0.83 | - |
| 2004 | 10.70 | 13.84 | 1.29 | + |
| 2005 | 4.83 | 8.60 | 1.78 | + |
| 2006 | 15.85 | 17.03 | 1.07 | + |
| 2007 | 5.15 | 10.00 | 1.94 | + |
| 2008 | -36.79 | -5.10 | 0.14 | + |
| 2009 | 26.35 | 6.76 | 0.26 | - |
| 2010 | 15.06 | 12.44 | 0.83 | - |
| 2011 | 1.89 | -0.88 | -0.46 | - |
| 2012 | 15.99 | 14.19 | 0.89 | - |
| 2013 | 32.31 | 14.07 | 0.44 | - |
| 2014 | 13.46 | 6.67 | 0.50 | - |
| 2015 | 1.23 | -0.48 | -0.39 | - |
| 2016 | 12.00 | 5.52 | 0.46 | - |
| 2017 | 21.71 | 16.77 | 0.77 | - |
| 2018 | -4.57 | -6.69 | 1.46 | - |
| 2019 | 31.22 | 17.00 | 0.54 | - |
| 2020 | 18.33 | 4.25 | 0.23 | - |
| 2021 | 28.73 | 17.15 | 0.60 | - |
| 2022 | -18.18 | -15.45 | 0.85 | + |
| 2023 | 26.18 | 10.94 | 0.42 | - |
| 2024 | 24.89 | 11.02 | 0.44 | - |
| 2025 | 17.72 | 16.69 | 0.94 | - |
| 2026 | 8.94 | 6.35 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -20.77 | 852 |
| 2007-11-30 | 2010-02-28 | -16.10 | 822 |
| 2020-01-31 | 2020-10-31 | -14.02 | 275 |
| 2011-05-31 | 2012-02-29 | -11.97 | 275 |
| 2000-04-30 | 2003-05-31 | -10.46 | 1127 |
| 1998-07-31 | 1998-11-30 | -10.29 | 123 |
| 2018-02-28 | 2019-09-30 | -9.96 | 580 |
| 2010-05-31 | 2010-08-31 | -8.73 | 93 |
| 2015-06-30 | 2016-06-30 | -7.88 | 367 |
| 2026-03-31 | 2026-04-30 | -5.62 | 31 |