| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,169.05% |
| CAGR﹪ | 10.76% | 10.97% |
| Sharpe | 0.77 | 0.95 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.92 |
| Sortino | 1.18 | 1.95 |
| Smart Sortino | 1.14 | 1.88 |
| Sortino/√2 | 0.84 | 1.38 |
| Smart Sortino/√2 | 0.81 | 1.33 |
| Omega | 1.76 | 2.43 |
| Max Drawdown | -50.78% | -26.13% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2020-10-31 |
| Max DD Period End | 2012-02-29 | 2025-09-30 |
| Longest DD Days | 2223 | 1796 |
| Volatility (ann.) | 14.76% | 11.7% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.21 | 0.42 |
| Skew | -0.55 | 1.5 |
| Kurtosis | 0.98 | 9.63 |
| Ulcer Performance Index | 211.25 | 502.7 |
| Risk-Adjusted Return | 754.56% | 789.9% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.95% | 0.93% |
| Avg. Win | 3.25% | 2.68% |
| Avg. Loss | -3.86% | -2.57% |
| Win/Loss Ratio | 0.84 | 1.05 |
| Profit Ratio | 0.5 | 0.79 |
| Expected Daily | 0.85% | 0.87% |
| Expected Monthly | 0.85% | 0.87% |
| Expected Yearly | 10.59% | 10.8% |
| Kelly Criterion | 23.55% | 28.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.63% |
| Expected Shortfall (cVaR) | -8.96% | -7.55% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.43 |
| Gain/Pain (1M) | 0.76 | 1.43 |
| Payoff Ratio | 0.84 | 1.05 |
| Profit Factor | 1.76 | 2.43 |
| Common Sense Ratio | 1.85 | 3.73 |
| CPC Index | 0.96 | 1.62 |
| Tail Ratio | 1.05 | 1.53 |
| Outlier Win Ratio | 2.95 | 4.76 |
| Outlier Loss Ratio | 2.93 | 4.29 |
| MTD | -1.05% | -7.18% |
| 3M | 13.91% | -7.1% |
| 6M | 8.94% | -7.32% |
| YTD | 8.94% | -7.32% |
| 1Y | 20.92% | 4.12% |
| 3Y (ann.) | 18.77% | 6.19% |
| 5Y (ann.) | 12.51% | -0.87% |
| 10Y (ann.) | 15.13% | 3.19% |
| All-time (ann.) | 10.76% | 10.97% |
| Best Day | 12.7% | 24.32% |
| Worst Day | -16.52% | -13.56% |
| Best Month | 12.7% | 24.32% |
| Worst Month | -16.52% | -13.56% |
| Best Year | 38.05% | 39.66% |
| Worst Year | -36.79% | -15.16% |
| Avg. Drawdown | -6.27% | -3.69% |
| Avg. Drawdown Days | 122 | 135 |
| Recovery Factor | 7.49 | 14.25 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 11.48 |
| Avg. Up Month | 3.25% | 2.68% |
| Avg. Down Month | -3.86% | -2.57% |
| Win Days | 65.09% | 63.68% |
| Win Month | 65.09% | 63.68% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.15 |
| Alpha | - | 0.09 |
| Correlation | - | 18.83% |
| Treynor Ratio | - | 21223.55% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 27.35 | 3.14 | + |
| 1994 | 0.40 | 0.57 | 1.44 | + |
| 1995 | 38.05 | 39.66 | 1.04 | + |
| 1996 | 22.50 | 10.63 | 0.47 | - |
| 1997 | 33.48 | 19.73 | 0.59 | - |
| 1998 | 28.69 | 34.51 | 1.20 | + |
| 1999 | 20.39 | 26.03 | 1.28 | + |
| 2000 | -9.74 | -1.34 | 0.14 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 14.46 | -0.67 | + |
| 2003 | 28.18 | 23.07 | 0.82 | - |
| 2004 | 10.70 | 22.30 | 2.08 | + |
| 2005 | 4.83 | 23.28 | 4.82 | + |
| 2006 | 15.85 | 15.84 | 1.00 | - |
| 2007 | 5.15 | 14.41 | 2.80 | + |
| 2008 | -36.79 | 17.80 | -0.48 | + |
| 2009 | 26.35 | 1.61 | 0.06 | - |
| 2010 | 15.06 | 1.29 | 0.09 | - |
| 2011 | 1.89 | 8.81 | 4.65 | + |
| 2012 | 15.99 | 24.22 | 1.51 | + |
| 2013 | 32.31 | -2.09 | -0.06 | - |
| 2014 | 13.46 | 14.42 | 1.07 | + |
| 2015 | 1.23 | 4.35 | 3.53 | + |
| 2016 | 12.00 | -1.01 | -0.08 | - |
| 2017 | 21.71 | 20.10 | 0.93 | - |
| 2018 | -4.57 | 12.02 | -2.63 | + |
| 2019 | 31.22 | 0.32 | 0.01 | - |
| 2020 | 18.33 | 12.00 | 0.65 | - |
| 2021 | 28.73 | -2.70 | -0.09 | - |
| 2022 | -18.18 | -15.16 | 0.83 | + |
| 2023 | 26.18 | -1.66 | -0.06 | - |
| 2024 | 24.89 | 6.81 | 0.27 | - |
| 2025 | 17.72 | 18.24 | 1.03 | + |
| 2026 | 8.94 | -7.32 | -0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-10-31 | 2025-09-30 | -26.13 | 1796 |
| 2000-04-30 | 2001-06-30 | -13.56 | 427 |
| 1999-02-28 | 1999-10-31 | -10.82 | 246 |
| 2026-03-31 | 2026-07-31 | -9.26 | 123 |
| 2007-11-30 | 2008-10-31 | -8.95 | 337 |
| 2019-05-31 | 2020-07-31 | -8.63 | 428 |
| 2010-05-31 | 2010-09-30 | -7.48 | 123 |
| 2013-05-31 | 2014-04-30 | -7.24 | 335 |
| 1993-12-31 | 1995-01-31 | -6.84 | 397 |
| 2009-01-31 | 2009-11-30 | -6.65 | 304 |