| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 621.54% |
| CAGR﹪ | 10.76% | 6.08% |
| Sharpe | 0.77 | 1.03 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.0 |
| Sortino | 1.18 | 1.71 |
| Smart Sortino | 1.15 | 1.66 |
| Sortino/√2 | 0.84 | 1.21 |
| Smart Sortino/√2 | 0.81 | 1.17 |
| Omega | 1.76 | 2.22 |
| Max Drawdown | -50.78% | -14.34% |
| 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 | 2024-07-31 |
| Longest DD Days | 2223 | 913 |
| Volatility (ann.) | 14.76% | 5.91% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.42 |
| Skew | -0.55 | -0.53 |
| Kurtosis | 0.98 | 3.29 |
| Ulcer Performance Index | 211.25 | 201.18 |
| Risk-Adjusted Return | 754.56% | 245.15% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.51% |
| Avg. Win | 3.63% | 1.42% |
| Avg. Loss | -3.98% | -1.69% |
| Win/Loss Ratio | 0.91 | 0.84 |
| Profit Ratio | 0.5 | 0.58 |
| Expected Daily | 0.85% | 0.49% |
| Expected Monthly | 0.85% | 0.49% |
| Expected Yearly | 10.59% | 5.98% |
| Kelly Criterion | 26.76% | 25.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.3% |
| Expected Shortfall (cVaR) | -8.96% | -3.72% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.76 | 1.22 |
| Gain/Pain (1M) | 0.76 | 1.22 |
| Payoff Ratio | 0.91 | 0.84 |
| Profit Factor | 1.76 | 2.22 |
| Common Sense Ratio | 1.85 | 3.17 |
| CPC Index | 1.04 | 1.23 |
| Tail Ratio | 1.05 | 1.43 |
| Outlier Win Ratio | 2.95 | 3.15 |
| Outlier Loss Ratio | 2.93 | 3.04 |
| MTD | -1.05% | 0.38% |
| 3M | 13.91% | -0.51% |
| 6M | 8.94% | 3.05% |
| YTD | 8.94% | 3.05% |
| 1Y | 20.92% | 9.84% |
| 3Y (ann.) | 18.77% | 8.35% |
| 5Y (ann.) | 12.51% | 3.46% |
| 10Y (ann.) | 15.13% | 4.45% |
| All-time (ann.) | 10.76% | 6.08% |
| Best Day | 12.7% | 7.47% |
| Worst Day | -16.52% | -9.07% |
| Best Month | 12.7% | 7.47% |
| Worst Month | -16.52% | -9.07% |
| Best Year | 38.05% | 15.83% |
| Worst Year | -36.79% | -11.43% |
| Avg. Drawdown | -6.27% | -2.2% |
| Avg. Drawdown Days | 122 | 111 |
| Recovery Factor | 7.49 | 14.22 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 12.48 |
| Avg. Up Month | 3.63% | 1.42% |
| Avg. Down Month | -3.98% | -1.69% |
| Win Days | 65.09% | 66.17% |
| Win Month | 65.09% | 66.17% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.16 |
| Alpha | - | 0.04 |
| Correlation | - | 40.07% |
| Treynor Ratio | - | 3875.31% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.99 | 1.15 | + |
| 1994 | 0.40 | -3.99 | -10.03 | - |
| 1995 | 38.05 | 15.83 | 0.42 | - |
| 1996 | 22.50 | 4.87 | 0.22 | - |
| 1997 | 33.48 | 5.30 | 0.16 | - |
| 1998 | 28.69 | 4.08 | 0.14 | - |
| 1999 | 20.39 | -0.27 | -0.01 | - |
| 2000 | -9.74 | 10.81 | -1.11 | + |
| 2001 | -11.76 | 4.70 | -0.40 | + |
| 2002 | -21.58 | 14.01 | -0.65 | + |
| 2003 | 28.18 | 11.69 | 0.41 | - |
| 2004 | 10.70 | 7.65 | 0.72 | - |
| 2005 | 4.83 | 6.44 | 1.33 | + |
| 2006 | 15.85 | 8.72 | 0.55 | - |
| 2007 | 5.15 | 11.76 | 2.29 | + |
| 2008 | -36.79 | 2.27 | -0.06 | + |
| 2009 | 26.35 | 9.23 | 0.35 | - |
| 2010 | 15.06 | 14.13 | 0.94 | - |
| 2011 | 1.89 | 11.93 | 6.29 | + |
| 2012 | 15.99 | 7.21 | 0.45 | - |
| 2013 | 32.31 | -6.68 | -0.21 | - |
| 2014 | 13.46 | 5.08 | 0.38 | - |
| 2015 | 1.23 | -3.16 | -2.56 | - |
| 2016 | 12.00 | 5.95 | 0.50 | - |
| 2017 | 21.71 | 5.91 | 0.27 | - |
| 2018 | -4.57 | -2.09 | 0.46 | + |
| 2019 | 31.22 | 13.72 | 0.44 | - |
| 2020 | 18.33 | 11.04 | 0.60 | - |
| 2021 | 28.73 | 5.98 | 0.21 | - |
| 2022 | -18.18 | -11.43 | 0.63 | + |
| 2023 | 26.18 | 6.71 | 0.26 | - |
| 2024 | 24.89 | 5.20 | 0.21 | - |
| 2025 | 17.72 | 14.30 | 0.81 | - |
| 2026 | 8.94 | 3.05 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -14.34 | 913 |
| 2008-07-31 | 2009-07-31 | -12.14 | 366 |
| 2012-10-31 | 2014-12-31 | -7.49 | 792 |
| 2015-02-28 | 2016-03-31 | -6.61 | 398 |
| 2016-08-31 | 2017-11-30 | -5.65 | 457 |
| 2004-04-30 | 2004-09-30 | -5.29 | 154 |
| 1993-11-30 | 1995-02-28 | -4.68 | 456 |
| 2003-06-30 | 2003-08-31 | -3.55 | 63 |
| 2024-10-31 | 2025-01-31 | -3.17 | 93 |
| 2026-03-31 | 2026-07-31 | -3.13 | 123 |