| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,885.19% |
| CAGR﹪ | 10.76% | 9.33% |
| Sharpe | 0.77 | 1.29 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.2 |
| Sortino | 1.18 | 2.56 |
| Smart Sortino | 1.1 | 2.38 |
| Sortino/√2 | 0.84 | 1.81 |
| Smart Sortino/√2 | 0.78 | 1.69 |
| Omega | 1.76 | 2.77 |
| Max Drawdown | -50.78% | -7.77% |
| Max DD Date | 2009-02-28 | 2004-07-31 |
| Max DD Period Start | 2007-11-30 | 2004-04-30 |
| Max DD Period End | 2012-02-29 | 2004-10-31 |
| Longest DD Days | 2223 | 578 |
| Volatility (ann.) | 14.76% | 7.13% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 1.2 |
| Skew | -0.55 | 0.26 |
| Kurtosis | 0.98 | 1.04 |
| Ulcer Performance Index | 211.25 | 830.97 |
| Risk-Adjusted Return | 754.56% | 550.95% |
| Risk-Return Ratio | 0.22 | 0.37 |
| Avg. Return | 0.95% | 0.77% |
| Avg. Win | 3.32% | 1.8% |
| Avg. Loss | -3.43% | -1.79% |
| Win/Loss Ratio | 0.97 | 1.0 |
| Profit Ratio | 0.5 | 0.48 |
| Expected Daily | 0.85% | 0.75% |
| Expected Monthly | 0.85% | 0.75% |
| Expected Yearly | 10.59% | 9.19% |
| Kelly Criterion | 28.94% | 41.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.62% |
| Expected Shortfall (cVaR) | -8.96% | -3.41% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.77 |
| Gain/Pain (1M) | 0.76 | 1.77 |
| Payoff Ratio | 0.97 | 1.0 |
| Profit Factor | 1.76 | 2.77 |
| Common Sense Ratio | 1.85 | 4.5 |
| CPC Index | 1.11 | 1.96 |
| Tail Ratio | 1.05 | 1.63 |
| Outlier Win Ratio | 2.95 | 3.92 |
| Outlier Loss Ratio | 2.93 | 2.84 |
| MTD | -1.05% | -0.65% |
| 3M | 13.91% | 8.42% |
| 6M | 8.94% | 15.4% |
| YTD | 8.94% | 15.4% |
| 1Y | 20.92% | 29.7% |
| 3Y (ann.) | 18.77% | 11.22% |
| 5Y (ann.) | 12.51% | 7.29% |
| 10Y (ann.) | 15.13% | 8.11% |
| All-time (ann.) | 10.76% | 9.33% |
| Best Day | 12.7% | 7.75% |
| Worst Day | -16.52% | -6.16% |
| Best Month | 12.7% | 7.75% |
| Worst Month | -16.52% | -6.16% |
| Best Year | 38.05% | 26.94% |
| Worst Year | -36.79% | -1.3% |
| Avg. Drawdown | -6.27% | -2.59% |
| Avg. Drawdown Days | 122 | 102 |
| Recovery Factor | 7.49 | 39.69 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 52.81 |
| Avg. Up Month | 3.32% | 1.8% |
| Avg. Down Month | -3.43% | -1.79% |
| Win Days | 65.09% | 70.65% |
| Win Month | 65.09% | 70.65% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.15 |
| Alpha | - | 0.08 |
| Correlation | - | 30.06% |
| Treynor Ratio | - | 12977.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.18 | 1.40 | + |
| 1994 | 0.40 | 0.03 | 0.08 | - |
| 1995 | 38.05 | 17.45 | 0.46 | - |
| 1996 | 22.50 | 9.43 | 0.42 | - |
| 1997 | 33.48 | 13.44 | 0.40 | - |
| 1998 | 28.69 | 13.50 | 0.47 | - |
| 1999 | 20.39 | 11.51 | 0.56 | - |
| 2000 | -9.74 | 5.84 | -0.60 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 8.21 | -0.38 | + |
| 2003 | 28.18 | 26.94 | 0.96 | - |
| 2004 | 10.70 | 10.82 | 1.01 | + |
| 2005 | 4.83 | 6.12 | 1.27 | + |
| 2006 | 15.85 | 20.63 | 1.30 | + |
| 2007 | 5.15 | 16.13 | 3.14 | + |
| 2008 | -36.79 | 13.68 | -0.37 | + |
| 2009 | 26.35 | 0.52 | 0.02 | - |
| 2010 | 15.06 | 13.64 | 0.91 | - |
| 2011 | 1.89 | 3.68 | 1.94 | + |
| 2012 | 15.99 | 5.98 | 0.37 | - |
| 2013 | 32.31 | 6.83 | 0.21 | - |
| 2014 | 13.46 | 5.99 | 0.44 | - |
| 2015 | 1.23 | 0.35 | 0.28 | - |
| 2016 | 12.00 | -0.23 | -0.02 | - |
| 2017 | 21.71 | 14.54 | 0.67 | - |
| 2018 | -4.57 | 4.13 | -0.90 | + |
| 2019 | 31.22 | 10.94 | 0.35 | - |
| 2020 | 18.33 | 11.39 | 0.62 | - |
| 2021 | 28.73 | 10.98 | 0.38 | - |
| 2022 | -18.18 | -1.30 | 0.07 | + |
| 2023 | 26.18 | 0.49 | 0.02 | - |
| 2024 | 24.89 | 9.07 | 0.36 | - |
| 2025 | 17.72 | 12.59 | 0.71 | - |
| 2026 | 8.94 | 15.40 | 1.72 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2004-10-31 | -7.77 | 185 |
| 2009-01-31 | 2009-11-30 | -6.65 | 304 |
| 2000-04-30 | 2000-12-31 | -6.13 | 246 |
| 2023-08-31 | 2024-02-29 | -5.77 | 183 |
| 1994-02-28 | 1995-04-30 | -5.73 | 427 |
| 2016-08-31 | 2017-05-31 | -5.49 | 274 |
| 2011-05-31 | 2012-04-30 | -5.48 | 336 |
| 2010-01-31 | 2010-02-28 | -4.64 | 29 |
| 2026-03-31 | 2026-03-31 | -4.60 | 1 |
| 2005-01-31 | 2005-06-30 | -4.39 | 151 |