| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,951.58% |
| CAGR﹪ | 10.76% | 9.44% |
| Sharpe | 0.77 | 1.39 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.29 |
| Sortino | 1.18 | 2.65 |
| Smart Sortino | 1.1 | 2.46 |
| Sortino/√2 | 0.84 | 1.87 |
| Smart Sortino/√2 | 0.78 | 1.74 |
| Omega | 1.76 | 2.91 |
| Max Drawdown | -50.78% | -8.06% |
| Max DD Date | 2009-02-28 | 1998-08-31 |
| Max DD Period Start | 2007-11-30 | 1998-07-31 |
| Max DD Period End | 2012-02-29 | 1998-11-30 |
| Longest DD Days | 2223 | 425 |
| Volatility (ann.) | 14.76% | 6.68% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.21 | 1.17 |
| Skew | -0.55 | -0.08 |
| Kurtosis | 0.98 | 1.16 |
| Ulcer Performance Index | 211.25 | 1004.89 |
| Risk-Adjusted Return | 754.56% | 564.51% |
| Risk-Return Ratio | 0.22 | 0.4 |
| Avg. Return | 0.95% | 0.78% |
| Avg. Win | 3.33% | 1.78% |
| Avg. Loss | -3.46% | -1.67% |
| Win/Loss Ratio | 0.96 | 1.07 |
| Profit Ratio | 0.5 | 0.46 |
| Expected Daily | 0.85% | 0.75% |
| Expected Monthly | 0.85% | 0.75% |
| Expected Yearly | 10.59% | 9.29% |
| Kelly Criterion | 28.77% | 45.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.4% |
| Expected Shortfall (cVaR) | -8.96% | -3.34% |
| Max Consecutive Wins | 15 | 22 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.91 |
| Gain/Pain (1M) | 0.76 | 1.91 |
| Payoff Ratio | 0.96 | 1.07 |
| Profit Factor | 1.76 | 2.91 |
| Common Sense Ratio | 1.85 | 4.27 |
| CPC Index | 1.1 | 2.23 |
| Tail Ratio | 1.05 | 1.46 |
| Outlier Win Ratio | 2.95 | 3.58 |
| Outlier Loss Ratio | 2.93 | 2.58 |
| MTD | -1.05% | -1.15% |
| 3M | 13.91% | 7.65% |
| 6M | 8.94% | 4.81% |
| YTD | 8.94% | 4.81% |
| 1Y | 20.92% | 12.85% |
| 3Y (ann.) | 18.77% | 11.4% |
| 5Y (ann.) | 12.51% | 7.93% |
| 10Y (ann.) | 15.13% | 9.7% |
| All-time (ann.) | 10.76% | 9.44% |
| Best Day | 12.7% | 7.75% |
| Worst Day | -16.52% | -7.42% |
| Best Month | 12.7% | 7.75% |
| Worst Month | -16.52% | -7.42% |
| Best Year | 38.05% | 30.78% |
| Worst Year | -36.79% | -1.65% |
| Avg. Drawdown | -6.27% | -2.32% |
| Avg. Drawdown Days | 122 | 73 |
| Recovery Factor | 7.49 | 38.55 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 60.7 |
| Avg. Up Month | 3.33% | 1.78% |
| Avg. Down Month | -3.46% | -1.67% |
| Win Days | 65.09% | 71.64% |
| Win Month | 65.09% | 71.64% |
| Win Quarter | 73.33% | 79.26% |
| Win Year | 82.35% | 97.06% |
| Beta | - | 0.22 |
| Alpha | - | 0.07 |
| Correlation | - | 47.93% |
| Treynor Ratio | - | 8997.7% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.09 | 0.81 | - |
| 1994 | 0.40 | 2.46 | 6.20 | + |
| 1995 | 38.05 | 30.78 | 0.81 | - |
| 1996 | 22.50 | 13.99 | 0.62 | - |
| 1997 | 33.48 | 18.85 | 0.56 | - |
| 1998 | 28.69 | 13.69 | 0.48 | - |
| 1999 | 20.39 | 10.62 | 0.52 | - |
| 2000 | -9.74 | 1.45 | -0.15 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 8.64 | -0.40 | + |
| 2003 | 28.18 | 16.33 | 0.58 | - |
| 2004 | 10.70 | 8.24 | 0.77 | - |
| 2005 | 4.83 | 4.11 | 0.85 | - |
| 2006 | 15.85 | 12.20 | 0.77 | - |
| 2007 | 5.15 | 7.21 | 1.40 | + |
| 2008 | -36.79 | 17.85 | -0.49 | + |
| 2009 | 26.35 | 1.06 | 0.04 | - |
| 2010 | 15.06 | 3.78 | 0.25 | - |
| 2011 | 1.89 | 6.42 | 3.39 | + |
| 2012 | 15.99 | 8.16 | 0.51 | - |
| 2013 | 32.31 | 8.33 | 0.26 | - |
| 2014 | 13.46 | 5.38 | 0.40 | - |
| 2015 | 1.23 | 0.93 | 0.75 | - |
| 2016 | 12.00 | 9.77 | 0.81 | - |
| 2017 | 21.71 | 9.96 | 0.46 | - |
| 2018 | -4.57 | 5.07 | -1.11 | + |
| 2019 | 31.22 | 12.59 | 0.40 | - |
| 2020 | 18.33 | 19.05 | 1.04 | + |
| 2021 | 28.73 | 15.09 | 0.53 | - |
| 2022 | -18.18 | -1.65 | 0.09 | + |
| 2023 | 26.18 | 9.14 | 0.35 | - |
| 2024 | 24.89 | 10.49 | 0.42 | - |
| 2025 | 17.72 | 12.56 | 0.71 | - |
| 2026 | 8.94 | 4.81 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-07-31 | 1998-11-30 | -8.06 | 123 |
| 2001-11-30 | 2002-07-31 | -6.48 | 244 |
| 2009-01-31 | 2009-10-31 | -6.40 | 274 |
| 2000-09-30 | 2001-06-30 | -6.38 | 274 |
| 1994-02-28 | 1994-12-31 | -6.28 | 307 |
| 2010-05-31 | 2011-01-31 | -6.01 | 246 |
| 2024-12-31 | 2025-05-31 | -4.90 | 152 |
| 2008-04-30 | 2008-10-31 | -4.15 | 185 |
| 2020-09-30 | 2020-10-31 | -4.04 | 32 |
| 2022-01-31 | 2023-03-31 | -4.01 | 425 |