| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,057.61% |
| CAGR﹪ | 10.76% | 10.86% |
| Sharpe | 0.77 | 0.82 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.79 |
| Sortino | 1.18 | 1.5 |
| Smart Sortino | 1.14 | 1.45 |
| Sortino/√2 | 0.84 | 1.06 |
| Smart Sortino/√2 | 0.81 | 1.02 |
| Omega | 1.76 | 2.3 |
| Max Drawdown | -50.78% | -29.76% |
| Max DD Date | 2009-02-28 | 2020-10-31 |
| Max DD Period Start | 2007-11-30 | 2020-01-31 |
| Max DD Period End | 2012-02-29 | 2022-02-28 |
| Longest DD Days | 2223 | 1490 |
| Volatility (ann.) | 14.76% | 13.78% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.21 | 0.36 |
| Skew | -0.55 | 0.42 |
| Kurtosis | 0.98 | 7.38 |
| Ulcer Performance Index | 211.25 | 441.11 |
| Risk-Adjusted Return | 754.56% | 770.76% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.95% | 0.95% |
| Avg. Win | 3.47% | 2.69% |
| Avg. Loss | -3.96% | -3.78% |
| Win/Loss Ratio | 0.88 | 0.71 |
| Profit Ratio | 0.5 | 0.23 |
| Expected Daily | 0.85% | 0.86% |
| Expected Monthly | 0.85% | 0.86% |
| Expected Yearly | 10.59% | 10.69% |
| Kelly Criterion | 25.28% | 42.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.6% |
| Expected Shortfall (cVaR) | -8.96% | -9.69% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.3 |
| Gain/Pain (1M) | 0.76 | 1.3 |
| Payoff Ratio | 0.88 | 0.71 |
| Profit Factor | 1.76 | 2.3 |
| Common Sense Ratio | 1.85 | 4.06 |
| CPC Index | 1.0 | 1.24 |
| Tail Ratio | 1.05 | 1.77 |
| Outlier Win Ratio | 2.95 | 7.3 |
| Outlier Loss Ratio | 2.93 | 2.94 |
| MTD | -1.05% | 0.28% |
| 3M | 13.91% | 5.49% |
| 6M | 8.94% | 7.51% |
| YTD | 8.94% | 7.51% |
| 1Y | 20.92% | 10.25% |
| 3Y (ann.) | 18.77% | 10.38% |
| 5Y (ann.) | 12.51% | 9.45% |
| 10Y (ann.) | 15.13% | 6.16% |
| All-time (ann.) | 10.76% | 10.86% |
| Best Day | 12.7% | 18.38% |
| Worst Day | -16.52% | -24.28% |
| Best Month | 12.7% | 18.38% |
| Worst Month | -16.52% | -24.28% |
| Best Year | 38.05% | 56.6% |
| Worst Year | -36.79% | -13.7% |
| Avg. Drawdown | -6.27% | -5.63% |
| Avg. Drawdown Days | 122 | 175 |
| Recovery Factor | 7.49 | 12.71 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 11.74 |
| Avg. Up Month | 3.47% | 2.69% |
| Avg. Down Month | -3.96% | -3.78% |
| Win Days | 65.09% | 76.12% |
| Win Month | 65.09% | 76.12% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 73.53% |
| Beta | - | 0.5 |
| Alpha | - | 0.06 |
| Correlation | - | 53.7% |
| Treynor Ratio | - | 6101.5% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 30.73 | 3.53 | + |
| 1994 | 0.40 | -13.70 | -34.49 | - |
| 1995 | 38.05 | -0.41 | -0.01 | - |
| 1996 | 22.50 | 11.73 | 0.52 | - |
| 1997 | 33.48 | -3.42 | -0.10 | - |
| 1998 | 28.69 | 31.38 | 1.09 | + |
| 1999 | 20.39 | 56.60 | 2.78 | + |
| 2000 | -9.74 | -10.89 | 1.12 | - |
| 2001 | -11.76 | 16.95 | -1.44 | + |
| 2002 | -21.58 | 9.41 | -0.44 | + |
| 2003 | 28.18 | 41.93 | 1.49 | + |
| 2004 | 10.70 | 9.77 | 0.91 | - |
| 2005 | 4.83 | 4.54 | 0.94 | - |
| 2006 | 15.85 | 37.93 | 2.39 | + |
| 2007 | 5.15 | 18.07 | 3.51 | + |
| 2008 | -36.79 | -1.93 | 0.05 | + |
| 2009 | 26.35 | 38.52 | 1.46 | + |
| 2010 | 15.06 | 9.97 | 0.66 | - |
| 2011 | 1.89 | 10.38 | 5.48 | + |
| 2012 | 15.99 | 14.21 | 0.89 | - |
| 2013 | 32.31 | 5.92 | 0.18 | - |
| 2014 | 13.46 | -0.51 | -0.04 | - |
| 2015 | 1.23 | 0.46 | 0.38 | - |
| 2016 | 12.00 | 13.63 | 1.14 | + |
| 2017 | 21.71 | 14.25 | 0.66 | - |
| 2018 | -4.57 | -4.95 | 1.08 | - |
| 2019 | 31.22 | 15.44 | 0.49 | - |
| 2020 | 18.33 | -11.88 | -0.65 | - |
| 2021 | 28.73 | 5.16 | 0.18 | - |
| 2022 | -18.18 | 9.59 | -0.53 | + |
| 2023 | 26.18 | 24.99 | 0.95 | - |
| 2024 | 24.89 | -5.56 | -0.22 | - |
| 2025 | 17.72 | 14.32 | 0.81 | - |
| 2026 | 8.94 | 7.51 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-31 | 2022-02-28 | -29.76 | 760 |
| 2000-01-31 | 2001-11-30 | -20.76 | 670 |
| 1994-01-31 | 1998-02-28 | -18.67 | 1490 |
| 2008-10-31 | 2009-03-31 | -18.36 | 152 |
| 2018-02-28 | 2019-09-30 | -10.01 | 580 |
| 2022-04-30 | 2022-10-31 | -9.94 | 185 |
| 2015-11-30 | 2016-02-29 | -9.65 | 92 |
| 2014-12-31 | 2015-09-30 | -9.44 | 274 |
| 2004-03-31 | 2004-10-31 | -8.13 | 215 |
| 2011-11-30 | 2011-12-31 | -7.15 | 32 |