| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,890.82% |
| CAGR﹪ | 10.76% | 10.68% |
| Sharpe | 0.77 | 0.97 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.91 |
| Sortino | 1.18 | 2.1 |
| Smart Sortino | 1.12 | 1.98 |
| Sortino/√2 | 0.84 | 1.48 |
| Smart Sortino/√2 | 0.79 | 1.4 |
| Omega | 1.76 | 3.02 |
| Max Drawdown | -50.78% | -13.52% |
| Max DD Date | 2009-02-28 | 2000-04-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2001-08-31 |
| Longest DD Days | 2223 | 1066 |
| Volatility (ann.) | 14.76% | 11.12% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.79 |
| Skew | -0.55 | 1.87 |
| Kurtosis | 0.98 | 12.41 |
| Ulcer Performance Index | 211.25 | 753.93 |
| Risk-Adjusted Return | 754.56% | 741.63% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.95% | 0.9% |
| Avg. Win | 3.27% | 2.11% |
| Avg. Loss | -3.9% | -2.85% |
| Win/Loss Ratio | 0.84 | 0.74 |
| Profit Ratio | 0.5 | 0.33 |
| Expected Daily | 0.85% | 0.85% |
| Expected Monthly | 0.85% | 0.85% |
| Expected Yearly | 10.59% | 10.51% |
| Kelly Criterion | 23.52% | 41.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.38% |
| Expected Shortfall (cVaR) | -8.96% | -7.5% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 2.02 |
| Gain/Pain (1M) | 0.76 | 2.02 |
| Payoff Ratio | 0.84 | 0.74 |
| Profit Factor | 1.76 | 3.02 |
| Common Sense Ratio | 1.85 | 6.73 |
| CPC Index | 0.96 | 1.68 |
| Tail Ratio | 1.05 | 2.23 |
| Outlier Win Ratio | 2.95 | 6.58 |
| Outlier Loss Ratio | 2.93 | 4.27 |
| MTD | -1.05% | -7.13% |
| 3M | 13.91% | -6.36% |
| 6M | 8.94% | -8.69% |
| YTD | 8.94% | -8.69% |
| 1Y | 20.92% | 1.27% |
| 3Y (ann.) | 18.77% | 4.62% |
| 5Y (ann.) | 12.51% | 0.14% |
| 10Y (ann.) | 15.13% | 4.14% |
| All-time (ann.) | 10.76% | 10.68% |
| Best Day | 12.7% | 24.32% |
| Worst Day | -16.52% | -13.52% |
| Best Month | 12.7% | 24.32% |
| Worst Month | -16.52% | -13.52% |
| Best Year | 38.05% | 39.59% |
| Worst Year | -36.79% | -8.69% |
| Avg. Drawdown | -6.27% | -3.54% |
| Avg. Drawdown Days | 122 | 162 |
| Recovery Factor | 7.49 | 26.71 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 31.61 |
| Avg. Up Month | 3.27% | 2.11% |
| Avg. Down Month | -3.9% | -2.85% |
| Win Days | 65.09% | 75.12% |
| Win Month | 65.09% | 75.12% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.14 |
| Alpha | - | 0.09 |
| Correlation | - | 18.14% |
| Treynor Ratio | - | 21158.02% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 31.86 | 3.66 | + |
| 1994 | 0.40 | 3.79 | 9.53 | + |
| 1995 | 38.05 | 39.59 | 1.04 | + |
| 1996 | 22.50 | 13.53 | 0.60 | - |
| 1997 | 33.48 | 20.26 | 0.61 | - |
| 1998 | 28.69 | 34.51 | 1.20 | + |
| 1999 | 20.39 | 29.34 | 1.44 | + |
| 2000 | -9.74 | -2.43 | 0.25 | + |
| 2001 | -11.76 | 4.92 | -0.42 | + |
| 2002 | -21.58 | 9.88 | -0.46 | + |
| 2003 | 28.18 | 16.59 | 0.59 | - |
| 2004 | 10.70 | 20.93 | 1.96 | + |
| 2005 | 4.83 | 20.71 | 4.29 | + |
| 2006 | 15.85 | 16.21 | 1.02 | + |
| 2007 | 5.15 | 11.40 | 2.22 | + |
| 2008 | -36.79 | 15.85 | -0.43 | + |
| 2009 | 26.35 | 5.67 | 0.22 | - |
| 2010 | 15.06 | 3.40 | 0.23 | - |
| 2011 | 1.89 | 7.35 | 3.88 | + |
| 2012 | 15.99 | 16.57 | 1.04 | + |
| 2013 | 32.31 | 0.14 | 0.00 | - |
| 2014 | 13.46 | 10.91 | 0.81 | - |
| 2015 | 1.23 | 3.23 | 2.62 | + |
| 2016 | 12.00 | -1.20 | -0.10 | - |
| 2017 | 21.71 | 19.09 | 0.88 | - |
| 2018 | -4.57 | 9.83 | -2.15 | + |
| 2019 | 31.22 | 1.38 | 0.04 | - |
| 2020 | 18.33 | 7.94 | 0.43 | - |
| 2021 | 28.73 | 0.64 | 0.02 | - |
| 2022 | -18.18 | -4.45 | 0.24 | + |
| 2023 | 26.18 | -3.90 | -0.15 | - |
| 2024 | 24.89 | 8.10 | 0.33 | - |
| 2025 | 17.72 | 13.50 | 0.76 | - |
| 2026 | 8.94 | -8.69 | -0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2001-08-31 | -13.52 | 489 |
| 2021-08-31 | 2024-07-31 | -12.35 | 1066 |
| 2019-05-31 | 2020-07-31 | -10.55 | 428 |
| 1999-02-28 | 1999-10-31 | -9.54 | 246 |
| 2007-11-30 | 2008-10-31 | -8.95 | 337 |
| 2026-01-31 | 2026-07-31 | -8.69 | 182 |
| 2010-05-31 | 2010-09-30 | -7.48 | 123 |
| 2015-05-31 | 2017-04-30 | -6.30 | 701 |
| 2001-11-30 | 2002-07-31 | -5.52 | 244 |
| 2024-10-31 | 2025-08-31 | -5.45 | 305 |