| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,948.12% |
| CAGR﹪ | 10.76% | 10.74% |
| Sharpe | 0.77 | 0.87 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.85 |
| Sortino | 1.18 | 1.44 |
| Smart Sortino | 1.16 | 1.42 |
| Sortino/√2 | 0.84 | 1.02 |
| Smart Sortino/√2 | 0.82 | 1.0 |
| Omega | 1.76 | 2.0 |
| Max Drawdown | -50.78% | -24.98% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2011-02-28 |
| Longest DD Days | 2223 | 1310 |
| Volatility (ann.) | 14.76% | 12.7% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.43 |
| Skew | -0.55 | -0.17 |
| Kurtosis | 0.98 | 1.86 |
| Ulcer Performance Index | 211.25 | 323.1 |
| Risk-Adjusted Return | 754.56% | 751.7% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.96% | 0.93% |
| Avg. Win | 3.54% | 3.04% |
| Avg. Loss | -4.15% | -3.06% |
| Win/Loss Ratio | 0.85 | 0.99 |
| Profit Ratio | 0.5 | 0.55 |
| Expected Daily | 0.85% | 0.85% |
| Expected Monthly | 0.85% | 0.85% |
| Expected Yearly | 10.59% | 10.57% |
| Kelly Criterion | 24.12% | 30.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.11% |
| Expected Shortfall (cVaR) | -8.96% | -7.62% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.0 |
| Gain/Pain (1M) | 0.76 | 1.0 |
| Payoff Ratio | 0.85 | 0.99 |
| Profit Factor | 1.76 | 2.0 |
| Common Sense Ratio | 1.85 | 2.44 |
| CPC Index | 0.98 | 1.3 |
| Tail Ratio | 1.05 | 1.22 |
| Outlier Win Ratio | 2.95 | 3.86 |
| Outlier Loss Ratio | 2.93 | 3.84 |
| MTD | -1.05% | -2.77% |
| 3M | 13.91% | 3.41% |
| 6M | 8.94% | 5.03% |
| YTD | 8.94% | 5.03% |
| 1Y | 20.92% | 18.5% |
| 3Y (ann.) | 18.77% | 13.82% |
| 5Y (ann.) | 12.51% | 5.48% |
| 10Y (ann.) | 15.13% | 10.05% |
| All-time (ann.) | 10.76% | 10.74% |
| Best Day | 12.7% | 13.44% |
| Worst Day | -16.52% | -13.22% |
| Best Month | 12.7% | 13.44% |
| Worst Month | -16.52% | -13.22% |
| Best Year | 38.05% | 54.29% |
| Worst Year | -36.79% | -17.9% |
| Avg. Drawdown | -6.27% | -5.26% |
| Avg. Drawdown Days | 122 | 141 |
| Recovery Factor | 7.49 | 14.81 |
| Ulcer Index | 0.14 | 0.09 |
| Serenity Index | 3.21 | 7.38 |
| Avg. Up Month | 3.54% | 3.04% |
| Avg. Down Month | -4.15% | -3.06% |
| Win Days | 65.09% | 65.5% |
| Win Month | 65.09% | 65.5% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.52 |
| Alpha | - | 0.05 |
| Correlation | - | 60.28% |
| Treynor Ratio | - | 5684.86% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 10.94 | 1.26 | + |
| 1994 | 0.40 | 7.00 | 17.63 | + |
| 1995 | 38.05 | -5.03 | -0.13 | - |
| 1996 | 22.50 | 27.68 | 1.23 | + |
| 1997 | 33.48 | 8.51 | 0.25 | - |
| 1998 | 28.69 | 18.59 | 0.65 | - |
| 1999 | 20.39 | 54.29 | 2.66 | + |
| 2000 | -9.74 | -11.90 | 1.22 | - |
| 2001 | -11.76 | 6.00 | -0.51 | + |
| 2002 | -21.58 | 6.43 | -0.30 | + |
| 2003 | 28.18 | 17.43 | 0.62 | - |
| 2004 | 10.70 | 17.48 | 1.63 | + |
| 2005 | 4.83 | 22.75 | 4.71 | + |
| 2006 | 15.85 | 26.08 | 1.65 | + |
| 2007 | 5.15 | 17.44 | 3.39 | + |
| 2008 | -36.79 | -15.66 | 0.43 | + |
| 2009 | 26.35 | 4.39 | 0.17 | - |
| 2010 | 15.06 | 17.80 | 1.18 | + |
| 2011 | 1.89 | -2.38 | -1.26 | - |
| 2012 | 15.99 | 7.81 | 0.49 | - |
| 2013 | 32.31 | 25.19 | 0.78 | - |
| 2014 | 13.46 | 10.81 | 0.80 | - |
| 2015 | 1.23 | 5.28 | 4.28 | + |
| 2016 | 12.00 | 3.68 | 0.31 | - |
| 2017 | 21.71 | 30.63 | 1.41 | + |
| 2018 | -4.57 | -4.08 | 0.89 | + |
| 2019 | 31.22 | 14.75 | 0.47 | - |
| 2020 | 18.33 | 28.84 | 1.57 | + |
| 2021 | 28.73 | 10.78 | 0.38 | - |
| 2022 | -18.18 | -17.90 | 0.98 | + |
| 2023 | 26.18 | 7.21 | 0.28 | - |
| 2024 | 24.89 | 16.06 | 0.65 | - |
| 2025 | 17.72 | 17.62 | 0.99 | - |
| 2026 | 8.94 | 5.03 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2011-02-28 | -24.98 | 974 |
| 2000-04-30 | 2003-11-30 | -24.20 | 1310 |
| 2022-01-31 | 2024-10-31 | -21.05 | 1005 |
| 2011-05-31 | 2012-12-31 | -17.63 | 581 |
| 1994-10-31 | 1996-03-31 | -16.03 | 518 |
| 1997-08-31 | 1998-11-30 | -13.08 | 457 |
| 2018-02-28 | 2019-09-30 | -11.18 | 580 |
| 2015-08-31 | 2016-02-29 | -9.43 | 183 |
| 1994-02-28 | 1994-07-31 | -8.09 | 154 |
| 2006-05-31 | 2006-09-30 | -7.60 | 123 |