| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 284.41% |
| CAGR﹪ | 10.76% | 4.1% |
| Sharpe | 0.77 | 1.1 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.05 |
| Sortino | 1.18 | 2.12 |
| Smart Sortino | 1.13 | 2.02 |
| Sortino/√2 | 0.84 | 1.5 |
| Smart Sortino/√2 | 0.8 | 1.43 |
| Omega | 1.76 | 2.55 |
| Max Drawdown | -50.78% | -6.36% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2010-07-31 |
| Longest DD Days | 2223 | 1218 |
| Volatility (ann.) | 14.76% | 3.73% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.21 | 0.65 |
| Skew | -0.55 | 0.84 |
| Kurtosis | 0.98 | 7.05 |
| Ulcer Performance Index | 211.25 | 154.11 |
| Risk-Adjusted Return | 754.56% | 132.59% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.34% |
| Avg. Win | 3.31% | 0.71% |
| Avg. Loss | -3.78% | -0.63% |
| Win/Loss Ratio | 0.87 | 1.11 |
| Profit Ratio | 0.5 | 0.67 |
| Expected Daily | 0.85% | 0.34% |
| Expected Monthly | 0.85% | 0.34% |
| Expected Yearly | 10.59% | 4.04% |
| Kelly Criterion | 25.15% | 35.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.43% |
| Expected Shortfall (cVaR) | -8.96% | -2.3% |
| Max Consecutive Wins | 15 | 22 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.55 |
| Gain/Pain (1M) | 0.76 | 1.55 |
| Payoff Ratio | 0.87 | 1.11 |
| Profit Factor | 1.76 | 2.55 |
| Common Sense Ratio | 1.85 | 4.47 |
| CPC Index | 1.0 | 1.88 |
| Tail Ratio | 1.05 | 1.75 |
| Outlier Win Ratio | 2.95 | 3.73 |
| Outlier Loss Ratio | 2.93 | 3.74 |
| MTD | -1.05% | -0.15% |
| 3M | 13.91% | 0.51% |
| 6M | 8.94% | 0.92% |
| YTD | 8.94% | 0.92% |
| 1Y | 20.92% | 2.7% |
| 3Y (ann.) | 18.77% | 3.65% |
| 5Y (ann.) | 12.51% | 2.09% |
| 10Y (ann.) | 15.13% | 1.91% |
| All-time (ann.) | 10.76% | 4.1% |
| Best Day | 12.7% | 7.74% |
| Worst Day | -16.52% | -3.66% |
| Best Month | 12.7% | 7.74% |
| Worst Month | -16.52% | -3.66% |
| Best Year | 38.05% | 16.05% |
| Worst Year | -36.79% | -5.07% |
| Avg. Drawdown | -6.27% | -1.44% |
| Avg. Drawdown Days | 122 | 142 |
| Recovery Factor | 7.49 | 21.58 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 18.01 |
| Avg. Up Month | 3.31% | 0.71% |
| Avg. Down Month | -3.78% | -0.63% |
| Win Days | 65.09% | 66.17% |
| Win Month | 65.09% | 66.17% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 88.24% |
| Beta | - | -0.04 |
| Alpha | - | 0.05 |
| Correlation | - | -15.92% |
| Treynor Ratio | - | -7071.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 4.68 | 0.54 | - |
| 1994 | 0.40 | 0.06 | 0.15 | - |
| 1995 | 38.05 | 11.37 | 0.30 | - |
| 1996 | 22.50 | 3.83 | 0.17 | - |
| 1997 | 33.48 | 7.62 | 0.23 | - |
| 1998 | 28.69 | 8.36 | 0.29 | - |
| 1999 | 20.39 | 1.11 | 0.05 | - |
| 2000 | -9.74 | 9.19 | -0.94 | + |
| 2001 | -11.76 | 6.03 | -0.51 | + |
| 2002 | -21.58 | 12.99 | -0.60 | + |
| 2003 | 28.18 | 3.91 | 0.14 | - |
| 2004 | 10.70 | 2.66 | 0.25 | - |
| 2005 | 4.83 | 2.78 | 0.58 | - |
| 2006 | 15.85 | 4.07 | 0.26 | - |
| 2007 | 5.15 | 6.60 | 1.28 | + |
| 2008 | -36.79 | 16.05 | -0.44 | + |
| 2009 | 26.35 | -5.07 | -0.19 | - |
| 2010 | 15.06 | 4.65 | 0.31 | - |
| 2011 | 1.89 | 7.23 | 3.82 | + |
| 2012 | 15.99 | 2.86 | 0.18 | - |
| 2013 | 32.31 | -2.31 | -0.07 | - |
| 2014 | 13.46 | 4.86 | 0.36 | - |
| 2015 | 1.23 | 1.39 | 1.12 | + |
| 2016 | 12.00 | 2.21 | 0.18 | - |
| 2017 | 21.71 | 1.23 | 0.06 | - |
| 2018 | -4.57 | 1.90 | -0.42 | + |
| 2019 | 31.22 | 5.57 | 0.18 | - |
| 2020 | 18.33 | 5.02 | 0.27 | - |
| 2021 | 28.73 | -1.37 | -0.05 | - |
| 2022 | -18.18 | -2.15 | 0.12 | + |
| 2023 | 26.18 | 4.74 | 0.18 | - |
| 2024 | 24.89 | 2.69 | 0.11 | - |
| 2025 | 17.72 | 4.58 | 0.26 | - |
| 2026 | 8.94 | 0.92 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2010-07-31 | -6.36 | 547 |
| 2020-08-31 | 2023-12-31 | -5.69 | 1218 |
| 1993-11-30 | 1995-02-28 | -4.24 | 456 |
| 2003-06-30 | 2003-11-30 | -3.89 | 154 |
| 2001-11-30 | 2002-05-31 | -3.88 | 183 |
| 2016-08-31 | 2019-02-28 | -3.58 | 912 |
| 2013-05-31 | 2014-09-30 | -3.38 | 488 |
| 2015-02-28 | 2015-12-31 | -3.04 | 307 |
| 2010-10-31 | 2011-06-30 | -2.91 | 243 |
| 2008-04-30 | 2008-10-31 | -2.79 | 185 |