| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,865.64% | 7,821.14% |
| CAGR﹪ | 10.7% | 14.02% |
| Sharpe | 0.76 | 1.13 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.68 | 1.01 |
| Sortino | 1.18 | 1.93 |
| Smart Sortino | 1.05 | 1.71 |
| Sortino/√2 | 0.83 | 1.36 |
| Smart Sortino/√2 | 0.74 | 1.21 |
| Omega | 1.75 | 2.27 |
| Max Drawdown | -50.78% | -23.76% |
| 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 | 2024-01-31 |
| Longest DD Days | 2223 | 731 |
| Volatility (ann.) | 14.8% | 12.33% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 0.21 | 0.59 |
| Skew | -0.55 | -0.41 |
| Kurtosis | 0.96 | 0.88 |
| Ulcer Performance Index | 203.71 | 1611.33 |
| Risk-Adjusted Return | 746.12% | 1471.22% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 1.17% |
| Avg. Win | 3.29% | 3.15% |
| Avg. Loss | -3.37% | -3.01% |
| Win/Loss Ratio | 0.98 | 1.05 |
| Profit Ratio | 0.51 | 0.49 |
| Expected Daily | 0.85% | 1.1% |
| Expected Monthly | 0.85% | 1.1% |
| Expected Yearly | 10.48% | 13.72% |
| Kelly Criterion | 29.0% | 37.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.08% | -4.69% |
| Expected Shortfall (cVaR) | -8.96% | -6.81% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.75 | 1.27 |
| Gain/Pain (1M) | 0.75 | 1.27 |
| Payoff Ratio | 0.98 | 1.05 |
| Profit Factor | 1.75 | 2.27 |
| Common Sense Ratio | 1.84 | 3.05 |
| CPC Index | 1.11 | 1.62 |
| Tail Ratio | 1.05 | 1.34 |
| Outlier Win Ratio | 2.94 | 2.95 |
| Outlier Loss Ratio | 2.93 | 2.9 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 2.72% |
| 6M | 8.94% | -1.76% |
| YTD | 8.94% | -1.76% |
| 1Y | 20.92% | 9.04% |
| 3Y (ann.) | 18.77% | 10.95% |
| 5Y (ann.) | 12.51% | 7.45% |
| 10Y (ann.) | 15.13% | 12.19% |
| All-time (ann.) | 10.7% | 14.02% |
| Best Day | 12.7% | 10.91% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.91% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 38.05% |
| Worst Year | -36.79% | -17.99% |
| Avg. Drawdown | -6.27% | -4.42% |
| Avg. Drawdown Days | 122 | 74 |
| Recovery Factor | 7.43 | 19.57 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.18 | 25.04 |
| Avg. Up Month | 3.29% | 3.15% |
| Avg. Down Month | -3.37% | -3.01% |
| Win Days | 64.91% | 68.25% |
| Win Month | 64.91% | 68.25% |
| Win Quarter | 73.13% | 75.37% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.64 |
| Alpha | - | 0.07 |
| Correlation | - | 76.47% |
| Treynor Ratio | - | 12271.71% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 5.21 | 5.21 | 1.00 | - |
| 1994 | 0.40 | 0.40 | 1.00 | - |
| 1995 | 38.05 | 38.05 | 1.00 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 33.48 | 1.00 | - |
| 1998 | 28.69 | 28.69 | 1.00 | + |
| 1999 | 20.39 | 20.39 | 1.00 | - |
| 2000 | -9.74 | -9.74 | 1.00 | - |
| 2001 | -11.76 | 7.51 | -0.64 | + |
| 2002 | -21.58 | 24.38 | -1.13 | + |
| 2003 | 28.18 | 24.36 | 0.86 | - |
| 2004 | 10.70 | 10.70 | 1.00 | - |
| 2005 | 4.83 | 4.83 | 1.00 | + |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 5.15 | 1.00 | + |
| 2008 | -36.79 | 17.80 | -0.48 | + |
| 2009 | 26.35 | 14.74 | 0.56 | - |
| 2010 | 15.06 | 24.78 | 1.65 | + |
| 2011 | 1.89 | 2.70 | 1.42 | + |
| 2012 | 15.99 | 15.99 | 1.00 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | 1.23 | 1.00 | - |
| 2016 | 12.00 | 12.00 | 1.00 | - |
| 2017 | 21.71 | 21.71 | 1.00 | - |
| 2018 | -4.57 | -4.57 | 1.00 | - |
| 2019 | 31.22 | 26.18 | 0.84 | - |
| 2020 | 18.33 | 19.27 | 1.05 | + |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -17.99 | 0.99 | + |
| 2023 | 26.18 | 17.34 | 0.66 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 11.29 | 0.64 | - |
| 2026 | 8.94 | -1.76 | -0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-01-31 | -23.76 | 731 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 1998-07-31 | 1998-10-31 | -15.28 | 93 |
| 2018-10-31 | 2019-08-31 | -13.53 | 305 |
| 2000-09-30 | 2002-09-30 | -13.41 | 731 |
| 2015-08-31 | 2016-04-30 | -8.49 | 244 |
| 2020-01-31 | 2020-06-30 | -7.95 | 152 |
| 2010-05-31 | 2010-06-30 | -7.95 | 31 |
| 2025-02-28 | 2025-07-31 | -7.05 | 154 |
| 1994-02-28 | 1994-07-31 | -6.98 | 154 |