| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,616.46% | 5,429.71% |
| CAGR﹪ | 11.05% | 13.59% |
| Sharpe | 0.77 | 1.12 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 1.02 |
| Sortino | 1.19 | 1.89 |
| Smart Sortino | 1.08 | 1.71 |
| Sortino/√2 | 0.84 | 1.34 |
| Smart Sortino/√2 | 0.76 | 1.21 |
| Omega | 1.76 | 2.26 |
| Max Drawdown | -50.78% | -29.64% |
| 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 | 852 |
| Volatility (ann.) | 15.06% | 12.04% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.22 | 0.46 |
| Skew | -0.56 | -0.47 |
| Kurtosis | 0.9 | 1.03 |
| Ulcer Performance Index | 181.03 | 948.93 |
| Risk-Adjusted Return | 803.65% | 1351.45% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.98% | 1.13% |
| Avg. Win | 3.29% | 3.08% |
| Avg. Loss | -3.44% | -3.04% |
| Win/Loss Ratio | 0.96 | 1.01 |
| Profit Ratio | 0.5 | 0.48 |
| Expected Daily | 0.88% | 1.07% |
| Expected Monthly | 0.88% | 1.07% |
| Expected Yearly | 10.87% | 13.36% |
| Kelly Criterion | 28.88% | 37.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.18% | -4.59% |
| Expected Shortfall (cVaR) | -9.08% | -6.68% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.26 |
| Gain/Pain (1M) | 0.76 | 1.26 |
| Payoff Ratio | 0.96 | 1.01 |
| Profit Factor | 1.76 | 2.26 |
| Common Sense Ratio | 1.89 | 2.97 |
| CPC Index | 1.1 | 1.57 |
| Tail Ratio | 1.07 | 1.31 |
| Outlier Win Ratio | 2.93 | 2.92 |
| Outlier Loss Ratio | 2.87 | 2.98 |
| MTD | -1.05% | -0.76% |
| 3M | 13.91% | 3.03% |
| 6M | 8.94% | -1.47% |
| YTD | 8.94% | -1.47% |
| 1Y | 20.92% | 9.37% |
| 3Y (ann.) | 18.77% | 11.06% |
| 5Y (ann.) | 12.51% | 5.8% |
| 10Y (ann.) | 15.13% | 10.7% |
| All-time (ann.) | 11.05% | 13.59% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 33.56% | 33.56% |
| Worst Year | -36.79% | -24.32% |
| Avg. Drawdown | -6.85% | -4.45% |
| Avg. Drawdown Days | 137 | 76 |
| Recovery Factor | 7.24 | 14.38 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.01 | 14.0 |
| Avg. Up Month | 3.29% | 3.08% |
| Avg. Down Month | -3.44% | -3.04% |
| Win Days | 65.25% | 68.52% |
| Win Month | 65.25% | 68.52% |
| Win Quarter | 73.23% | 75.59% |
| Win Year | 81.25% | 90.62% |
| Beta | - | 0.56 |
| Alpha | - | 0.07 |
| Correlation | - | 69.99% |
| Treynor Ratio | - | 9708.78% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1995 | 33.56 | 33.56 | 1.00 | + |
| 1996 | 22.50 | 22.50 | 1.00 | - |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 25.14 | 0.88 | - |
| 1999 | 20.39 | 13.06 | 0.64 | - |
| 2000 | -9.74 | 3.87 | -0.40 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 4.87 | -0.23 | + |
| 2003 | 28.18 | 23.87 | 0.85 | - |
| 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 | 1.46 | 0.77 | - |
| 2012 | 15.99 | 15.88 | 0.99 | - |
| 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 | 19.17 | 0.61 | - |
| 2020 | 18.33 | 19.27 | 1.05 | + |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -24.32 | 1.34 | - |
| 2023 | 26.18 | 17.34 | 0.66 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 11.29 | 0.64 | - |
| 2026 | 8.94 | -1.47 | -0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -29.64 | 852 |
| 1998-07-31 | 1998-10-31 | -15.28 | 93 |
| 2018-10-31 | 2019-10-31 | -13.53 | 366 |
| 2011-05-31 | 2012-01-31 | -9.97 | 246 |
| 2001-11-30 | 2002-08-31 | -9.69 | 275 |
| 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 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |