| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,288.76% |
| CAGR﹪ | 10.76% | 8.17% |
| Sharpe | 0.77 | 1.03 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.0 |
| Sortino | 1.18 | 1.83 |
| Smart Sortino | 1.15 | 1.78 |
| Sortino/√2 | 0.84 | 1.3 |
| Smart Sortino/√2 | 0.81 | 1.26 |
| Omega | 1.76 | 2.15 |
| Max Drawdown | -50.78% | -18.94% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2025-08-31 |
| Longest DD Days | 2223 | 1432 |
| Volatility (ann.) | 14.76% | 7.98% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 0.43 |
| Skew | -0.55 | 0.02 |
| Kurtosis | 0.98 | 0.5 |
| Ulcer Performance Index | 211.25 | 272.7 |
| Risk-Adjusted Return | 754.56% | 420.32% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.69% |
| Avg. Win | 3.48% | 2.09% |
| Avg. Loss | -3.65% | -2.06% |
| Win/Loss Ratio | 0.95 | 1.01 |
| Profit Ratio | 0.5 | 0.68 |
| Expected Daily | 0.85% | 0.66% |
| Expected Monthly | 0.85% | 0.66% |
| Expected Yearly | 10.59% | 8.05% |
| Kelly Criterion | 28.42% | 28.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.1% |
| Expected Shortfall (cVaR) | -8.96% | -4.01% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.15 |
| Gain/Pain (1M) | 0.76 | 1.15 |
| Payoff Ratio | 0.95 | 1.01 |
| Profit Factor | 1.76 | 2.15 |
| Common Sense Ratio | 1.85 | 2.97 |
| CPC Index | 1.09 | 1.39 |
| Tail Ratio | 1.05 | 1.38 |
| Outlier Win Ratio | 2.95 | 3.28 |
| Outlier Loss Ratio | 2.93 | 2.87 |
| MTD | -1.05% | -2.08% |
| 3M | 13.91% | 6.41% |
| 6M | 8.94% | 10.65% |
| YTD | 8.94% | 10.65% |
| 1Y | 20.92% | 24.32% |
| 3Y (ann.) | 18.77% | 9.93% |
| 5Y (ann.) | 12.51% | 3.36% |
| 10Y (ann.) | 15.13% | 6.2% |
| All-time (ann.) | 10.76% | 8.17% |
| Best Day | 12.7% | 7.75% |
| Worst Day | -16.52% | -6.23% |
| Best Month | 12.7% | 7.75% |
| Worst Month | -16.52% | -6.23% |
| Best Year | 38.05% | 27.43% |
| Worst Year | -36.79% | -16.18% |
| Avg. Drawdown | -6.27% | -3.66% |
| Avg. Drawdown Days | 122 | 156 |
| Recovery Factor | 7.49 | 14.5 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 9.46 |
| Avg. Up Month | 3.48% | 2.09% |
| Avg. Down Month | -3.65% | -2.06% |
| Win Days | 65.09% | 63.93% |
| Win Month | 65.09% | 63.93% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.19 |
| Alpha | - | 0.06 |
| Correlation | - | 34.74% |
| Treynor Ratio | - | 6864.7% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.88 | 1.36 | + |
| 1994 | 0.40 | 3.79 | 9.54 | + |
| 1995 | 38.05 | 22.34 | 0.59 | - |
| 1996 | 22.50 | 13.65 | 0.61 | - |
| 1997 | 33.48 | 13.46 | 0.40 | - |
| 1998 | 28.69 | 14.72 | 0.51 | - |
| 1999 | 20.39 | 9.08 | 0.45 | - |
| 2000 | -9.74 | 9.34 | -0.96 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 13.22 | -0.61 | + |
| 2003 | 28.18 | 27.43 | 0.97 | - |
| 2004 | 10.70 | 6.26 | 0.59 | - |
| 2005 | 4.83 | 3.99 | 0.83 | - |
| 2006 | 15.85 | 11.06 | 0.70 | - |
| 2007 | 5.15 | 5.92 | 1.15 | + |
| 2008 | -36.79 | 15.28 | -0.42 | + |
| 2009 | 26.35 | 2.79 | 0.11 | - |
| 2010 | 15.06 | 7.44 | 0.49 | - |
| 2011 | 1.89 | -0.88 | -0.46 | - |
| 2012 | 15.99 | 2.05 | 0.13 | - |
| 2013 | 32.31 | -0.03 | -0.00 | - |
| 2014 | 13.46 | 8.15 | 0.61 | - |
| 2015 | 1.23 | 0.78 | 0.64 | - |
| 2016 | 12.00 | 1.33 | 0.11 | - |
| 2017 | 21.71 | 15.36 | 0.71 | - |
| 2018 | -4.57 | 2.44 | -0.53 | + |
| 2019 | 31.22 | 9.46 | 0.30 | - |
| 2020 | 18.33 | 14.95 | 0.82 | - |
| 2021 | 28.73 | 10.44 | 0.36 | - |
| 2022 | -18.18 | -16.18 | 0.89 | + |
| 2023 | 26.18 | 6.98 | 0.27 | - |
| 2024 | 24.89 | 5.77 | 0.23 | - |
| 2025 | 17.72 | 12.04 | 0.68 | - |
| 2026 | 8.94 | 10.65 | 1.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-08-31 | -18.94 | 1432 |
| 2004-04-30 | 2005-08-31 | -9.01 | 489 |
| 2011-05-31 | 2013-03-31 | -8.14 | 671 |
| 2016-08-31 | 2017-06-30 | -6.70 | 304 |
| 2009-01-31 | 2009-10-31 | -6.65 | 274 |
| 2018-02-28 | 2019-04-30 | -6.58 | 427 |
| 2010-05-31 | 2010-11-30 | -6.48 | 184 |
| 2013-05-31 | 2014-07-31 | -6.39 | 427 |
| 2000-04-30 | 2000-11-30 | -6.21 | 215 |
| 2006-05-31 | 2006-12-31 | -5.62 | 215 |