| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 885.41% |
| CAGR﹪ | 10.76% | 7.07% |
| Sharpe | 0.77 | 1.08 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.02 |
| Sortino | 1.18 | 1.88 |
| Smart Sortino | 1.11 | 1.76 |
| Sortino/√2 | 0.84 | 1.33 |
| Smart Sortino/√2 | 0.78 | 1.25 |
| Omega | 1.76 | 2.25 |
| Max Drawdown | -50.78% | -15.81% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-02-29 |
| Longest DD Days | 2223 | 760 |
| Volatility (ann.) | 14.76% | 6.51% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.45 |
| Skew | -0.55 | -0.29 |
| Kurtosis | 0.98 | 1.4 |
| Ulcer Performance Index | 211.25 | 291.5 |
| Risk-Adjusted Return | 754.56% | 319.63% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.59% |
| Avg. Win | 3.73% | 1.7% |
| Avg. Loss | -4.25% | -1.66% |
| Win/Loss Ratio | 0.88 | 1.02 |
| Profit Ratio | 0.5 | 0.66 |
| Expected Daily | 0.85% | 0.57% |
| Expected Monthly | 0.85% | 0.57% |
| Expected Yearly | 10.59% | 6.96% |
| Kelly Criterion | 25.32% | 30.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.5% |
| Expected Shortfall (cVaR) | -8.96% | -3.75% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.25 |
| Gain/Pain (1M) | 0.76 | 1.25 |
| Payoff Ratio | 0.88 | 1.02 |
| Profit Factor | 1.76 | 2.25 |
| Common Sense Ratio | 1.85 | 3.25 |
| CPC Index | 1.01 | 1.49 |
| Tail Ratio | 1.05 | 1.44 |
| Outlier Win Ratio | 2.95 | 3.22 |
| Outlier Loss Ratio | 2.93 | 3.28 |
| MTD | -1.05% | -0.77% |
| 3M | 13.91% | -0.56% |
| 6M | 8.94% | 1.08% |
| YTD | 8.94% | 1.08% |
| 1Y | 20.92% | 12.01% |
| 3Y (ann.) | 18.77% | 12.24% |
| 5Y (ann.) | 12.51% | 6.63% |
| 10Y (ann.) | 15.13% | 7.16% |
| All-time (ann.) | 10.76% | 7.07% |
| Best Day | 12.7% | 5.76% |
| Worst Day | -16.52% | -8.12% |
| Best Month | 12.7% | 5.76% |
| Worst Month | -16.52% | -8.12% |
| Best Year | 38.05% | 21.23% |
| Worst Year | -36.79% | -12.25% |
| Avg. Drawdown | -6.27% | -2.62% |
| Avg. Drawdown Days | 122 | 100 |
| Recovery Factor | 7.49 | 14.96 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 16.58 |
| Avg. Up Month | 3.73% | 1.7% |
| Avg. Down Month | -4.25% | -1.66% |
| Win Days | 65.09% | 64.93% |
| Win Month | 65.09% | 64.93% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.24 |
| Alpha | - | 0.04 |
| Correlation | - | 53.38% |
| Treynor Ratio | - | 3761.62% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.38 | 1.31 | + |
| 1994 | 0.40 | -0.99 | -2.49 | - |
| 1995 | 38.05 | 16.98 | 0.45 | - |
| 1996 | 22.50 | 5.73 | 0.25 | - |
| 1997 | 33.48 | 4.73 | 0.14 | - |
| 1998 | 28.69 | 10.81 | 0.38 | - |
| 1999 | 20.39 | 4.10 | 0.20 | - |
| 2000 | -9.74 | 2.88 | -0.30 | + |
| 2001 | -11.76 | 0.16 | -0.01 | + |
| 2002 | -21.58 | 5.06 | -0.23 | + |
| 2003 | 28.18 | 12.82 | 0.45 | - |
| 2004 | 10.70 | 6.85 | 0.64 | - |
| 2005 | 4.83 | 8.79 | 1.82 | + |
| 2006 | 15.85 | 11.34 | 0.72 | - |
| 2007 | 5.15 | 12.76 | 2.48 | + |
| 2008 | -36.79 | 0.46 | -0.01 | + |
| 2009 | 26.35 | 6.79 | 0.26 | - |
| 2010 | 15.06 | 13.84 | 0.92 | - |
| 2011 | 1.89 | 12.24 | 6.46 | + |
| 2012 | 15.99 | 6.73 | 0.42 | - |
| 2013 | 32.31 | -4.13 | -0.13 | - |
| 2014 | 13.46 | 9.54 | 0.71 | - |
| 2015 | 1.23 | -2.26 | -1.83 | - |
| 2016 | 12.00 | 5.88 | 0.49 | - |
| 2017 | 21.71 | 11.14 | 0.51 | - |
| 2018 | -4.57 | -1.12 | 0.25 | + |
| 2019 | 31.22 | 16.34 | 0.52 | - |
| 2020 | 18.33 | 17.30 | 0.94 | - |
| 2021 | 28.73 | 4.68 | 0.16 | - |
| 2022 | -18.18 | -12.25 | 0.67 | + |
| 2023 | 26.18 | 11.92 | 0.46 | - |
| 2024 | 24.89 | 11.69 | 0.47 | - |
| 2025 | 17.72 | 21.23 | 1.20 | + |
| 2026 | 8.94 | 1.08 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -15.81 | 760 |
| 2008-03-31 | 2009-07-31 | -11.75 | 488 |
| 2012-10-31 | 2014-05-31 | -7.70 | 578 |
| 2016-08-31 | 2017-07-31 | -6.67 | 335 |
| 2015-02-28 | 2016-02-29 | -6.00 | 367 |
| 2026-03-31 | 2026-07-31 | -5.47 | 123 |
| 2000-09-30 | 2002-02-28 | -5.12 | 517 |
| 2021-01-31 | 2021-04-30 | -4.66 | 90 |
| 2004-04-30 | 2004-09-30 | -4.40 | 154 |
| 2002-06-30 | 2002-11-30 | -4.30 | 154 |