| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,865.64% | 709.93% |
| CAGR﹪ | 10.7% | 6.48% |
| Sharpe | 0.76 | 1.11 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.1 |
| Sortino | 1.18 | 1.96 |
| Smart Sortino | 1.17 | 1.95 |
| Sortino/√2 | 0.83 | 1.39 |
| Smart Sortino/√2 | 0.83 | 1.38 |
| Omega | 1.75 | 2.42 |
| Max Drawdown | -50.78% | -20.58% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2025-08-31 |
| Longest DD Days | 2223 | 1432 |
| Volatility (ann.) | 14.8% | 5.84% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.31 |
| Skew | -0.55 | 0.0 |
| Kurtosis | 0.96 | 3.4 |
| Ulcer Performance Index | 203.71 | 174.28 |
| Risk-Adjusted Return | 746.12% | 273.53% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.55% |
| Avg. Win | 3.4% | 1.36% |
| Avg. Loss | -4.05% | -1.35% |
| Win/Loss Ratio | 0.84 | 1.01 |
| Profit Ratio | 0.51 | 0.63 |
| Expected Daily | 0.85% | 0.52% |
| Expected Monthly | 0.85% | 0.52% |
| Expected Yearly | 10.48% | 6.35% |
| Kelly Criterion | 23.15% | 32.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.08% | -2.24% |
| Expected Shortfall (cVaR) | -8.96% | -3.49% |
| Max Consecutive Wins | 15 | 16 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.75 | 1.42 |
| Gain/Pain (1M) | 0.75 | 1.42 |
| Payoff Ratio | 0.84 | 1.01 |
| Profit Factor | 1.75 | 2.42 |
| Common Sense Ratio | 1.84 | 3.54 |
| CPC Index | 0.96 | 1.62 |
| Tail Ratio | 1.05 | 1.46 |
| Outlier Win Ratio | 2.94 | 3.31 |
| Outlier Loss Ratio | 2.93 | 4.23 |
| MTD | -1.05% | -1.25% |
| 3M | 13.91% | -0.89% |
| 6M | 8.94% | -1.5% |
| YTD | 8.94% | -1.5% |
| 1Y | 20.92% | 2.12% |
| 3Y (ann.) | 18.77% | 4.57% |
| 5Y (ann.) | 12.51% | 0.04% |
| 10Y (ann.) | 15.13% | 2.97% |
| All-time (ann.) | 10.7% | 6.48% |
| Best Day | 12.7% | 8.73% |
| Worst Day | -16.52% | -7.45% |
| Best Month | 12.7% | 8.73% |
| Worst Month | -16.52% | -7.45% |
| Best Year | 38.05% | 18.81% |
| Worst Year | -36.79% | -16.17% |
| Avg. Drawdown | -6.27% | -2.13% |
| Avg. Drawdown Days | 122 | 101 |
| Recovery Factor | 7.43 | 10.46 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.18 | 6.68 |
| Avg. Up Month | 3.4% | 1.36% |
| Avg. Down Month | -4.05% | -1.35% |
| Win Days | 64.91% | 66.25% |
| Win Month | 64.91% | 66.25% |
| Win Quarter | 73.13% | 72.39% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.11 |
| Alpha | - | 0.05 |
| Correlation | - | 27.03% |
| Treynor Ratio | - | 6652.7% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 5.21 | 7.75 | 1.49 | + |
| 1994 | 0.40 | -1.06 | -2.67 | - |
| 1995 | 38.05 | 17.38 | 0.46 | - |
| 1996 | 22.50 | 9.22 | 0.41 | - |
| 1997 | 33.48 | 9.47 | 0.28 | - |
| 1998 | 28.69 | 3.54 | 0.12 | - |
| 1999 | 20.39 | 4.52 | 0.22 | - |
| 2000 | -9.74 | 10.14 | -1.04 | + |
| 2001 | -11.76 | 4.61 | -0.39 | + |
| 2002 | -21.58 | 18.81 | -0.87 | + |
| 2003 | 28.18 | 9.02 | 0.32 | - |
| 2004 | 10.70 | 8.83 | 0.83 | - |
| 2005 | 4.83 | 5.04 | 1.04 | + |
| 2006 | 15.85 | 6.74 | 0.43 | - |
| 2007 | 5.15 | 4.67 | 0.91 | - |
| 2008 | -36.79 | 15.17 | -0.41 | + |
| 2009 | 26.35 | 8.89 | 0.34 | - |
| 2010 | 15.06 | 10.67 | 0.71 | - |
| 2011 | 1.89 | 11.49 | 6.07 | + |
| 2012 | 15.99 | 11.89 | 0.74 | - |
| 2013 | 32.31 | -1.19 | -0.04 | - |
| 2014 | 13.46 | 6.33 | 0.47 | - |
| 2015 | 1.23 | -1.00 | -0.81 | - |
| 2016 | 12.00 | 8.43 | 0.70 | - |
| 2017 | 21.71 | 6.45 | 0.30 | - |
| 2018 | -4.57 | -2.11 | 0.46 | + |
| 2019 | 31.22 | 12.33 | 0.39 | - |
| 2020 | 18.33 | 14.31 | 0.78 | - |
| 2021 | 28.73 | -0.56 | -0.02 | - |
| 2022 | -18.18 | -16.17 | 0.89 | + |
| 2023 | 26.18 | 9.06 | 0.35 | - |
| 2024 | 24.89 | 4.49 | 0.18 | - |
| 2025 | 17.72 | 7.35 | 0.41 | - |
| 2026 | 8.94 | -1.50 | -0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-08-31 | -20.58 | 1432 |
| 1998-06-30 | 1999-02-28 | -8.92 | 244 |
| 2008-03-31 | 2008-10-31 | -6.03 | 215 |
| 2013-05-31 | 2014-03-31 | -5.98 | 305 |
| 2009-01-31 | 2009-06-30 | -5.08 | 151 |
| 1994-02-28 | 1995-01-31 | -4.80 | 338 |
| 2016-10-31 | 2017-03-31 | -3.57 | 152 |
| 2003-07-31 | 2003-08-31 | -3.35 | 32 |
| 2015-04-30 | 2016-02-29 | -3.33 | 306 |
| 2021-01-31 | 2021-06-30 | -3.17 | 151 |