| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 612.12% |
| CAGR﹪ | 10.76% | 6.04% |
| Sharpe | 0.77 | 1.08 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.07 |
| Sortino | 1.18 | 1.94 |
| Smart Sortino | 1.17 | 1.92 |
| Sortino/√2 | 0.84 | 1.37 |
| Smart Sortino/√2 | 0.83 | 1.36 |
| Omega | 1.76 | 2.36 |
| Max Drawdown | -50.78% | -8.49% |
| Max DD Date | 2009-02-28 | 2015-12-31 |
| Max DD Period Start | 2007-11-30 | 2015-02-28 |
| Max DD Period End | 2012-02-29 | 2016-05-31 |
| Longest DD Days | 2223 | 912 |
| Volatility (ann.) | 14.76% | 5.56% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.71 |
| Skew | -0.55 | 0.01 |
| Kurtosis | 0.98 | 1.37 |
| Ulcer Performance Index | 211.25 | 262.66 |
| Risk-Adjusted Return | 754.56% | 242.32% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.51% |
| Avg. Win | 3.29% | 1.21% |
| Avg. Loss | -3.68% | -1.27% |
| Win/Loss Ratio | 0.89 | 0.96 |
| Profit Ratio | 0.5 | 0.55 |
| Expected Daily | 0.85% | 0.49% |
| Expected Monthly | 0.85% | 0.49% |
| Expected Yearly | 10.59% | 5.94% |
| Kelly Criterion | 26.04% | 33.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.14% |
| Expected Shortfall (cVaR) | -8.96% | -2.95% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.76 | 1.36 |
| Gain/Pain (1M) | 0.76 | 1.36 |
| Payoff Ratio | 0.89 | 0.96 |
| Profit Factor | 1.76 | 2.36 |
| Common Sense Ratio | 1.85 | 3.15 |
| CPC Index | 1.02 | 1.52 |
| Tail Ratio | 1.05 | 1.33 |
| Outlier Win Ratio | 2.95 | 3.67 |
| Outlier Loss Ratio | 2.93 | 2.99 |
| MTD | -1.05% | -0.34% |
| 3M | 13.91% | 0.48% |
| 6M | 8.94% | -1.48% |
| YTD | 8.94% | -1.48% |
| 1Y | 20.92% | 1.34% |
| 3Y (ann.) | 18.77% | 0.88% |
| 5Y (ann.) | 12.51% | 0.54% |
| 10Y (ann.) | 15.13% | 2.46% |
| All-time (ann.) | 10.76% | 6.04% |
| Best Day | 12.7% | 6.15% |
| Worst Day | -16.52% | -5.77% |
| Best Month | 12.7% | 6.15% |
| Worst Month | -16.52% | -5.77% |
| Best Year | 38.05% | 18.66% |
| Worst Year | -36.79% | -3.74% |
| Avg. Drawdown | -6.27% | -2.24% |
| Avg. Drawdown Days | 122 | 115 |
| Recovery Factor | 7.49 | 23.8 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 22.28 |
| Avg. Up Month | 3.29% | 1.21% |
| Avg. Down Month | -3.68% | -1.27% |
| Win Days | 65.09% | 67.41% |
| Win Month | 65.09% | 67.41% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.03 |
| Alpha | - | 0.06 |
| Correlation | - | 8.65% |
| Treynor Ratio | - | 18786.16% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 14.08 | 1.62 | + |
| 1994 | 0.40 | -0.26 | -0.66 | - |
| 1995 | 38.05 | 18.66 | 0.49 | - |
| 1996 | 22.50 | 4.34 | 0.19 | - |
| 1997 | 33.48 | 9.42 | 0.28 | - |
| 1998 | 28.69 | 5.10 | 0.18 | - |
| 1999 | 20.39 | 7.16 | 0.35 | - |
| 2000 | -9.74 | 14.16 | -1.45 | + |
| 2001 | -11.76 | 2.54 | -0.22 | + |
| 2002 | -21.58 | 10.61 | -0.49 | + |
| 2003 | 28.18 | 13.84 | 0.49 | - |
| 2004 | 10.70 | 6.04 | 0.56 | - |
| 2005 | 4.83 | 5.01 | 1.04 | + |
| 2006 | 15.85 | 5.03 | 0.32 | - |
| 2007 | 5.15 | 7.96 | 1.55 | + |
| 2008 | -36.79 | 10.11 | -0.27 | + |
| 2009 | 26.35 | 8.76 | 0.33 | - |
| 2010 | 15.06 | 6.03 | 0.40 | - |
| 2011 | 1.89 | 16.62 | 8.77 | + |
| 2012 | 15.99 | 0.71 | 0.04 | - |
| 2013 | 32.31 | -1.90 | -0.06 | - |
| 2014 | 13.46 | 10.41 | 0.77 | - |
| 2015 | 1.23 | -3.74 | -3.03 | - |
| 2016 | 12.00 | 7.66 | 0.64 | - |
| 2017 | 21.71 | 5.25 | 0.24 | - |
| 2018 | -4.57 | -3.34 | 0.73 | + |
| 2019 | 31.22 | 10.60 | 0.34 | - |
| 2020 | 18.33 | 12.50 | 0.68 | - |
| 2021 | 28.73 | 1.07 | 0.04 | - |
| 2022 | -18.18 | -1.69 | 0.09 | + |
| 2023 | 26.18 | 3.60 | 0.14 | - |
| 2024 | 24.89 | -1.82 | -0.07 | - |
| 2025 | 17.72 | 4.45 | 0.25 | - |
| 2026 | 8.94 | -1.48 | -0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2016-05-31 | -8.49 | 459 |
| 2016-10-31 | 2019-04-30 | -6.49 | 912 |
| 2009-01-31 | 2009-06-30 | -6.44 | 151 |
| 2008-04-30 | 2008-11-30 | -5.54 | 215 |
| 1994-02-28 | 1995-01-31 | -4.59 | 338 |
| 2012-02-29 | 2013-03-31 | -4.40 | 397 |
| 2003-06-30 | 2003-08-31 | -4.21 | 63 |
| 2023-05-31 | 2024-08-31 | -4.17 | 459 |
| 2013-05-31 | 2014-04-30 | -4.16 | 335 |
| 2021-12-31 | 2022-12-31 | -4.03 | 366 |