| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,438.63% |
| CAGR﹪ | 10.76% | 8.5% |
| Sharpe | 0.77 | 1.04 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.99 |
| Sortino | 1.18 | 1.84 |
| Smart Sortino | 1.12 | 1.75 |
| Sortino/√2 | 0.84 | 1.3 |
| Smart Sortino/√2 | 0.8 | 1.24 |
| Omega | 1.76 | 2.16 |
| Max Drawdown | -50.78% | -21.41% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-06-30 |
| Longest DD Days | 2223 | 882 |
| Volatility (ann.) | 14.76% | 8.18% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 0.4 |
| Skew | -0.55 | -0.08 |
| Kurtosis | 0.98 | 0.66 |
| Ulcer Performance Index | 211.25 | 338.22 |
| Risk-Adjusted Return | 754.56% | 454.85% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.71% |
| Avg. Win | 3.51% | 2.13% |
| Avg. Loss | -4.08% | -2.13% |
| Win/Loss Ratio | 0.86 | 1.0 |
| Profit Ratio | 0.5 | 0.63 |
| Expected Daily | 0.85% | 0.68% |
| Expected Monthly | 0.85% | 0.68% |
| Expected Yearly | 10.59% | 8.37% |
| Kelly Criterion | 24.55% | 29.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.17% |
| Expected Shortfall (cVaR) | -8.96% | -4.23% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.16 |
| Gain/Pain (1M) | 0.76 | 1.16 |
| Payoff Ratio | 0.86 | 1.0 |
| Profit Factor | 1.76 | 2.16 |
| Common Sense Ratio | 1.85 | 2.8 |
| CPC Index | 0.99 | 1.4 |
| Tail Ratio | 1.05 | 1.29 |
| Outlier Win Ratio | 2.95 | 3.54 |
| Outlier Loss Ratio | 2.93 | 2.91 |
| MTD | -1.05% | -1.47% |
| 3M | 13.91% | 0.99% |
| 6M | 8.94% | 3.69% |
| YTD | 8.94% | 3.69% |
| 1Y | 20.92% | 16.44% |
| 3Y (ann.) | 18.77% | 7.48% |
| 5Y (ann.) | 12.51% | 3.19% |
| 10Y (ann.) | 15.13% | 5.12% |
| All-time (ann.) | 10.76% | 8.5% |
| Best Day | 12.7% | 8.39% |
| Worst Day | -16.52% | -7.42% |
| Best Month | 12.7% | 8.39% |
| Worst Month | -16.52% | -7.42% |
| Best Year | 38.05% | 23.9% |
| Worst Year | -36.79% | -18.68% |
| Avg. Drawdown | -6.27% | -3.12% |
| Avg. Drawdown Days | 122 | 94 |
| Recovery Factor | 7.49 | 13.33 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 13.24 |
| Avg. Up Month | 3.51% | 2.13% |
| Avg. Down Month | -4.08% | -2.13% |
| Win Days | 65.09% | 64.93% |
| Win Month | 65.09% | 64.93% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.27 |
| Alpha | - | 0.05 |
| Correlation | - | 48.53% |
| Treynor Ratio | - | 5349.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 14.07 | 1.62 | + |
| 1994 | 0.40 | -2.44 | -6.14 | - |
| 1995 | 38.05 | 23.90 | 0.63 | - |
| 1996 | 22.50 | 11.89 | 0.53 | - |
| 1997 | 33.48 | 9.51 | 0.28 | - |
| 1998 | 28.69 | 18.62 | 0.65 | - |
| 1999 | 20.39 | 14.79 | 0.73 | - |
| 2000 | -9.74 | 4.86 | -0.50 | + |
| 2001 | -11.76 | -0.40 | 0.03 | + |
| 2002 | -21.58 | 8.83 | -0.41 | + |
| 2003 | 28.18 | 11.57 | 0.41 | - |
| 2004 | 10.70 | 10.62 | 0.99 | - |
| 2005 | 4.83 | 7.33 | 1.52 | + |
| 2006 | 15.85 | 11.73 | 0.74 | - |
| 2007 | 5.15 | 10.35 | 2.01 | + |
| 2008 | -36.79 | 12.20 | -0.33 | + |
| 2009 | 26.35 | 5.75 | 0.22 | - |
| 2010 | 15.06 | 18.58 | 1.23 | + |
| 2011 | 1.89 | 12.86 | 6.78 | + |
| 2012 | 15.99 | 10.36 | 0.65 | - |
| 2013 | 32.31 | 2.09 | 0.06 | - |
| 2014 | 13.46 | 11.66 | 0.87 | - |
| 2015 | 1.23 | -1.32 | -1.07 | - |
| 2016 | 12.00 | 10.19 | 0.85 | - |
| 2017 | 21.71 | 12.94 | 0.60 | - |
| 2018 | -4.57 | -2.60 | 0.57 | + |
| 2019 | 31.22 | 20.53 | 0.66 | - |
| 2020 | 18.33 | 4.01 | 0.22 | - |
| 2021 | 28.73 | 5.75 | 0.20 | - |
| 2022 | -18.18 | -18.68 | 1.03 | - |
| 2023 | 26.18 | 19.27 | 0.74 | - |
| 2024 | 24.89 | 1.91 | 0.08 | - |
| 2025 | 17.72 | 10.99 | 0.62 | - |
| 2026 | 8.94 | 3.69 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -21.41 | 882 |
| 2000-09-30 | 2002-08-31 | -12.04 | 701 |
| 2020-02-29 | 2020-11-30 | -9.86 | 276 |
| 2009-01-31 | 2009-08-31 | -9.72 | 213 |
| 2024-08-31 | 2025-08-31 | -7.51 | 366 |
| 1994-02-28 | 1995-02-28 | -6.73 | 366 |
| 2000-04-30 | 2000-07-31 | -6.54 | 93 |
| 2013-05-31 | 2013-09-30 | -5.79 | 123 |
| 2018-09-30 | 2019-02-28 | -5.69 | 152 |
| 2004-04-30 | 2004-09-30 | -5.65 | 154 |