| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 12,585.04% |
| CAGR﹪ | 10.76% | 15.55% |
| Sharpe | 0.77 | 0.85 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.81 |
| Sortino | 1.18 | 1.54 |
| Smart Sortino | 1.13 | 1.48 |
| Sortino/√2 | 0.84 | 1.09 |
| Smart Sortino/√2 | 0.8 | 1.04 |
| Omega | 1.76 | 2.04 |
| Max Drawdown | -50.78% | -53.21% |
| Max DD Date | 2009-02-28 | 2003-04-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2011-01-31 |
| Longest DD Days | 2223 | 3929 |
| Volatility (ann.) | 14.76% | 19.34% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 0.21 | 0.29 |
| Skew | -0.55 | 0.71 |
| Kurtosis | 0.98 | 5.71 |
| Ulcer Performance Index | 211.25 | 643.18 |
| Risk-Adjusted Return | 754.56% | 1982.0% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.95% | 1.38% |
| Avg. Win | 3.61% | 4.74% |
| Avg. Loss | -3.81% | -3.99% |
| Win/Loss Ratio | 0.95 | 1.19 |
| Profit Ratio | 0.5 | 0.84 |
| Expected Daily | 0.85% | 1.21% |
| Expected Monthly | 0.85% | 1.21% |
| Expected Yearly | 10.59% | 15.31% |
| Kelly Criterion | 28.24% | 27.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -7.82% |
| Expected Shortfall (cVaR) | -8.96% | -11.94% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.76 | 1.04 |
| Gain/Pain (1M) | 0.76 | 1.04 |
| Payoff Ratio | 0.95 | 1.19 |
| Profit Factor | 1.76 | 2.04 |
| Common Sense Ratio | 1.85 | 2.94 |
| CPC Index | 1.08 | 1.47 |
| Tail Ratio | 1.05 | 1.44 |
| Outlier Win Ratio | 2.95 | 4.1 |
| Outlier Loss Ratio | 2.93 | 3.86 |
| MTD | -1.05% | -8.61% |
| 3M | 13.91% | 23.62% |
| 6M | 8.94% | 10.94% |
| YTD | 8.94% | 10.94% |
| 1Y | 20.92% | 22.72% |
| 3Y (ann.) | 18.77% | 19.04% |
| 5Y (ann.) | 12.51% | 17.79% |
| 10Y (ann.) | 15.13% | 21.98% |
| All-time (ann.) | 10.76% | 15.55% |
| Best Day | 12.7% | 35.94% |
| Worst Day | -16.52% | -20.68% |
| Best Month | 12.7% | 35.94% |
| Worst Month | -16.52% | -20.68% |
| Best Year | 38.05% | 150.66% |
| Worst Year | -36.79% | -20.48% |
| Avg. Drawdown | -6.27% | -5.27% |
| Avg. Drawdown Days | 122 | 120 |
| Recovery Factor | 7.49 | 10.3 |
| Ulcer Index | 0.14 | 0.2 |
| Serenity Index | 3.21 | 3.59 |
| Avg. Up Month | 3.61% | 4.74% |
| Avg. Down Month | -3.81% | -3.99% |
| Win Days | 65.09% | 60.75% |
| Win Month | 65.09% | 60.75% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.64 |
| Alpha | - | 0.09 |
| Correlation | - | 49.16% |
| Treynor Ratio | - | 19540.7% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 6.04 | 0.69 | - |
| 1994 | 0.40 | 1.23 | 3.09 | + |
| 1995 | 38.05 | 31.15 | 0.82 | - |
| 1996 | 22.50 | 23.13 | 1.03 | + |
| 1997 | 33.48 | 16.37 | 0.49 | - |
| 1998 | 28.69 | 25.43 | 0.89 | - |
| 1999 | 20.39 | 150.66 | 7.39 | + |
| 2000 | -9.74 | -20.48 | 2.10 | - |
| 2001 | -11.76 | -12.14 | 1.03 | - |
| 2002 | -21.58 | -17.88 | 0.83 | + |
| 2003 | 28.18 | 43.95 | 1.56 | + |
| 2004 | 10.70 | 4.39 | 0.41 | - |
| 2005 | 4.83 | -3.92 | -0.81 | - |
| 2006 | 15.85 | -6.40 | -0.40 | - |
| 2007 | 5.15 | 16.02 | 3.11 | + |
| 2008 | -36.79 | -5.02 | 0.14 | + |
| 2009 | 26.35 | 29.79 | 1.13 | + |
| 2010 | 15.06 | 5.56 | 0.37 | - |
| 2011 | 1.89 | 0.55 | 0.29 | - |
| 2012 | 15.99 | 9.81 | 0.61 | - |
| 2013 | 32.31 | 43.36 | 1.34 | + |
| 2014 | 13.46 | 21.55 | 1.60 | + |
| 2015 | 1.23 | 10.95 | 8.87 | + |
| 2016 | 12.00 | 1.10 | 0.09 | - |
| 2017 | 21.71 | 50.27 | 2.32 | + |
| 2018 | -4.57 | 18.23 | -3.99 | + |
| 2019 | 31.22 | 24.92 | 0.80 | - |
| 2020 | 18.33 | 29.97 | 1.63 | + |
| 2021 | 28.73 | 38.54 | 1.34 | + |
| 2022 | -18.18 | -3.00 | 0.17 | + |
| 2023 | 26.18 | 16.41 | 0.63 | - |
| 2024 | 24.89 | 32.59 | 1.31 | + |
| 2025 | 17.72 | 19.30 | 1.09 | + |
| 2026 | 8.94 | 10.94 | 1.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2011-01-31 | -53.21 | 3929 |
| 2020-09-30 | 2020-11-30 | -13.92 | 62 |
| 2025-11-30 | 2026-03-31 | -13.61 | 122 |
| 2011-08-31 | 2012-02-29 | -12.96 | 183 |
| 1998-08-31 | 1998-11-30 | -11.70 | 92 |
| 2026-06-30 | 2026-07-31 | -9.92 | 32 |
| 2023-08-31 | 2023-12-31 | -9.72 | 123 |
| 1994-02-28 | 1995-01-31 | -9.42 | 338 |
| 2012-10-31 | 2013-03-31 | -9.39 | 152 |
| 1997-02-28 | 1997-04-30 | -9.14 | 62 |