| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,010.02% |
| CAGR﹪ | 10.76% | 9.53% |
| Sharpe | 0.77 | 1.22 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.16 |
| Sortino | 1.18 | 2.3 |
| Smart Sortino | 1.12 | 2.18 |
| Sortino/√2 | 0.84 | 1.63 |
| Smart Sortino/√2 | 0.79 | 1.54 |
| Omega | 1.76 | 2.48 |
| Max Drawdown | -50.78% | -20.21% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2025-08-31 |
| Longest DD Days | 2223 | 1309 |
| Volatility (ann.) | 14.76% | 7.72% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 0.47 |
| Skew | -0.55 | 0.05 |
| Kurtosis | 0.98 | 0.41 |
| Ulcer Performance Index | 211.25 | 456.54 |
| Risk-Adjusted Return | 754.56% | 576.32% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 0.79% |
| Avg. Win | 3.32% | 2.05% |
| Avg. Loss | -3.66% | -2.06% |
| Win/Loss Ratio | 0.91 | 1.0 |
| Profit Ratio | 0.5 | 0.58 |
| Expected Daily | 0.85% | 0.76% |
| Expected Monthly | 0.85% | 0.76% |
| Expected Yearly | 10.59% | 9.38% |
| Kelly Criterion | 26.61% | 34.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.88% |
| Expected Shortfall (cVaR) | -8.96% | -3.82% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.48 |
| Gain/Pain (1M) | 0.76 | 1.48 |
| Payoff Ratio | 0.91 | 1.0 |
| Profit Factor | 1.76 | 2.48 |
| Common Sense Ratio | 1.85 | 3.74 |
| CPC Index | 1.04 | 1.67 |
| Tail Ratio | 1.05 | 1.51 |
| Outlier Win Ratio | 2.95 | 3.41 |
| Outlier Loss Ratio | 2.93 | 2.6 |
| MTD | -1.05% | -0.94% |
| 3M | 13.91% | 8.03% |
| 6M | 8.94% | 14.98% |
| YTD | 8.94% | 14.98% |
| 1Y | 20.92% | 29.82% |
| 3Y (ann.) | 18.77% | 12.0% |
| 5Y (ann.) | 12.51% | 4.53% |
| 10Y (ann.) | 15.13% | 7.06% |
| All-time (ann.) | 10.76% | 9.53% |
| 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% | 28.11% |
| Worst Year | -36.79% | -16.43% |
| Avg. Drawdown | -6.27% | -2.76% |
| Avg. Drawdown Days | 122 | 100 |
| Recovery Factor | 7.49 | 15.63 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 11.62 |
| Avg. Up Month | 3.32% | 2.05% |
| Avg. Down Month | -3.66% | -2.06% |
| Win Days | 65.09% | 67.41% |
| Win Month | 65.09% | 67.41% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.17 |
| Alpha | - | 0.07 |
| Correlation | - | 33.41% |
| Treynor Ratio | - | 11501.14% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.18 | 1.40 | + |
| 1994 | 0.40 | -1.05 | -2.64 | - |
| 1995 | 38.05 | 22.68 | 0.60 | - |
| 1996 | 22.50 | 11.61 | 0.52 | - |
| 1997 | 33.48 | 14.85 | 0.44 | - |
| 1998 | 28.69 | 13.50 | 0.47 | - |
| 1999 | 20.39 | 9.34 | 0.46 | - |
| 2000 | -9.74 | 6.31 | -0.65 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 10.93 | -0.51 | + |
| 2003 | 28.18 | 28.11 | 1.00 | - |
| 2004 | 10.70 | 11.15 | 1.04 | + |
| 2005 | 4.83 | 6.35 | 1.32 | + |
| 2006 | 15.85 | 21.23 | 1.34 | + |
| 2007 | 5.15 | 18.63 | 3.62 | + |
| 2008 | -36.79 | 13.68 | -0.37 | + |
| 2009 | 26.35 | 0.52 | 0.02 | - |
| 2010 | 15.06 | 14.45 | 0.96 | - |
| 2011 | 1.89 | 4.02 | 2.12 | + |
| 2012 | 15.99 | 5.98 | 0.37 | - |
| 2013 | 32.31 | 3.62 | 0.11 | - |
| 2014 | 13.46 | 9.28 | 0.69 | - |
| 2015 | 1.23 | 0.35 | 0.28 | - |
| 2016 | 12.00 | 3.02 | 0.25 | - |
| 2017 | 21.71 | 15.90 | 0.73 | - |
| 2018 | -4.57 | 5.87 | -1.29 | + |
| 2019 | 31.22 | 11.00 | 0.35 | - |
| 2020 | 18.33 | 11.39 | 0.62 | - |
| 2021 | 28.73 | 11.74 | 0.41 | - |
| 2022 | -18.18 | -16.43 | 0.90 | + |
| 2023 | 26.18 | 3.65 | 0.14 | - |
| 2024 | 24.89 | 7.76 | 0.31 | - |
| 2025 | 17.72 | 14.73 | 0.83 | - |
| 2026 | 8.94 | 14.98 | 1.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-08-31 | -20.21 | 1309 |
| 2004-04-30 | 2004-10-31 | -7.51 | 185 |
| 2009-01-31 | 2009-11-30 | -6.65 | 304 |
| 1994-02-28 | 1995-03-31 | -6.60 | 397 |
| 2000-04-30 | 2000-12-31 | -6.31 | 246 |
| 2016-08-31 | 2017-04-30 | -5.49 | 243 |
| 2011-05-31 | 2012-04-30 | -5.48 | 336 |
| 2013-05-31 | 2014-04-30 | -4.96 | 335 |
| 2026-03-31 | 2026-03-31 | -4.60 | 1 |
| 2005-01-31 | 2005-06-30 | -4.39 | 151 |