| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,624.46% |
| CAGR﹪ | 10.76% | 8.87% |
| Sharpe | 0.77 | 0.78 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.77 |
| Sortino | 1.18 | 1.18 |
| Smart Sortino | 1.16 | 1.16 |
| Sortino/√2 | 0.84 | 0.83 |
| Smart Sortino/√2 | 0.82 | 0.82 |
| Omega | 1.76 | 1.78 |
| Max Drawdown | -50.78% | -41.37% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2010-12-31 |
| Longest DD Days | 2223 | 1157 |
| Volatility (ann.) | 14.76% | 11.87% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.21 |
| Skew | -0.55 | -0.68 |
| Kurtosis | 0.98 | 1.79 |
| Ulcer Performance Index | 211.25 | 195.55 |
| Risk-Adjusted Return | 754.56% | 495.96% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.95% | 0.77% |
| Avg. Win | 3.46% | 2.72% |
| Avg. Loss | -3.78% | -3.06% |
| Win/Loss Ratio | 0.92 | 0.89 |
| Profit Ratio | 0.5 | 0.48 |
| Expected Daily | 0.85% | 0.71% |
| Expected Monthly | 0.85% | 0.71% |
| Expected Yearly | 10.59% | 8.74% |
| Kelly Criterion | 26.95% | 27.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.86% |
| Expected Shortfall (cVaR) | -8.96% | -7.47% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.78 |
| Gain/Pain (1M) | 0.76 | 0.78 |
| Payoff Ratio | 0.92 | 0.89 |
| Profit Factor | 1.76 | 1.78 |
| Common Sense Ratio | 1.85 | 2.07 |
| CPC Index | 1.05 | 1.04 |
| Tail Ratio | 1.05 | 1.16 |
| Outlier Win Ratio | 2.95 | 2.98 |
| Outlier Loss Ratio | 2.93 | 2.9 |
| MTD | -1.05% | -1.74% |
| 3M | 13.91% | 8.94% |
| 6M | 8.94% | 9.08% |
| YTD | 8.94% | 9.08% |
| 1Y | 20.92% | 18.84% |
| 3Y (ann.) | 18.77% | 13.64% |
| 5Y (ann.) | 12.51% | 7.61% |
| 10Y (ann.) | 15.13% | 9.89% |
| All-time (ann.) | 10.76% | 8.87% |
| Best Day | 12.7% | 10.46% |
| Worst Day | -16.52% | -15.22% |
| Best Month | 12.7% | 10.46% |
| Worst Month | -16.52% | -15.22% |
| Best Year | 38.05% | 28.95% |
| Worst Year | -36.79% | -27.28% |
| Avg. Drawdown | -6.27% | -5.1% |
| Avg. Drawdown Days | 122 | 109 |
| Recovery Factor | 7.49 | 7.48 |
| Ulcer Index | 0.14 | 0.08 |
| Serenity Index | 3.21 | 5.32 |
| Avg. Up Month | 3.46% | 2.72% |
| Avg. Down Month | -3.78% | -3.06% |
| Win Days | 65.09% | 65.92% |
| Win Month | 65.09% | 65.92% |
| Win Quarter | 73.33% | 68.89% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.76 |
| Alpha | - | 0.01 |
| Correlation | - | 94.03% |
| Treynor Ratio | - | 2148.94% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 16.14 | 1.85 | + |
| 1994 | 0.40 | 1.26 | 3.16 | + |
| 1995 | 38.05 | 24.54 | 0.64 | - |
| 1996 | 22.50 | 12.64 | 0.56 | - |
| 1997 | 33.48 | 17.70 | 0.53 | - |
| 1998 | 28.69 | 15.32 | 0.53 | - |
| 1999 | 20.39 | 18.04 | 0.88 | - |
| 2000 | -9.74 | -1.42 | 0.15 | + |
| 2001 | -11.76 | -5.47 | 0.47 | + |
| 2002 | -21.58 | -11.35 | 0.53 | + |
| 2003 | 28.18 | 28.95 | 1.03 | + |
| 2004 | 10.70 | 14.12 | 1.32 | + |
| 2005 | 4.83 | 7.35 | 1.52 | + |
| 2006 | 15.85 | 15.76 | 0.99 | - |
| 2007 | 5.15 | 7.32 | 1.42 | + |
| 2008 | -36.79 | -27.28 | 0.74 | + |
| 2009 | 26.35 | 24.31 | 0.92 | - |
| 2010 | 15.06 | 14.91 | 0.99 | - |
| 2011 | 1.89 | -0.60 | -0.31 | - |
| 2012 | 15.99 | 14.13 | 0.88 | - |
| 2013 | 32.31 | 21.68 | 0.67 | - |
| 2014 | 13.46 | 5.11 | 0.38 | - |
| 2015 | 1.23 | -0.24 | -0.20 | - |
| 2016 | 12.00 | 9.12 | 0.76 | - |
| 2017 | 21.71 | 16.94 | 0.78 | - |
| 2018 | -4.57 | -6.97 | 1.53 | - |
| 2019 | 31.22 | 22.53 | 0.72 | - |
| 2020 | 18.33 | 15.11 | 0.82 | - |
| 2021 | 28.73 | 13.88 | 0.48 | - |
| 2022 | -18.18 | -15.52 | 0.85 | + |
| 2023 | 26.18 | 17.19 | 0.66 | - |
| 2024 | 24.89 | 10.85 | 0.44 | - |
| 2025 | 17.72 | 17.26 | 0.97 | - |
| 2026 | 8.94 | 9.08 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-12-31 | -41.37 | 1128 |
| 2000-09-30 | 2003-11-30 | -25.52 | 1157 |
| 2022-01-31 | 2024-01-31 | -22.15 | 731 |
| 2020-01-31 | 2020-07-31 | -18.10 | 183 |
| 2011-05-31 | 2012-02-29 | -15.26 | 275 |
| 1998-05-31 | 1998-11-30 | -12.86 | 184 |
| 2018-09-30 | 2019-03-31 | -11.21 | 183 |
| 2015-06-30 | 2016-06-30 | -9.10 | 367 |
| 2012-04-30 | 2012-07-31 | -6.47 | 93 |
| 2000-04-30 | 2000-07-31 | -5.30 | 93 |