| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,415.99% |
| CAGR﹪ | 10.76% | 8.45% |
| Sharpe | 0.77 | 1.1 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.05 |
| Sortino | 1.18 | 1.79 |
| Smart Sortino | 1.13 | 1.71 |
| Sortino/√2 | 0.84 | 1.27 |
| Smart Sortino/√2 | 0.8 | 1.21 |
| Omega | 1.76 | 2.28 |
| Max Drawdown | -50.78% | -14.05% |
| Max DD Date | 2009-02-28 | 2011-09-30 |
| Max DD Period Start | 2007-11-30 | 2011-05-31 |
| Max DD Period End | 2012-02-29 | 2013-02-28 |
| Longest DD Days | 2223 | 822 |
| Volatility (ann.) | 14.76% | 7.67% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.6 |
| Skew | -0.55 | -0.66 |
| Kurtosis | 0.98 | 1.58 |
| Ulcer Performance Index | 211.25 | 370.03 |
| Risk-Adjusted Return | 754.56% | 449.72% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.71% |
| Avg. Win | 3.48% | 1.96% |
| Avg. Loss | -3.94% | -1.97% |
| Win/Loss Ratio | 0.88 | 1.0 |
| Profit Ratio | 0.5 | 0.49 |
| Expected Daily | 0.85% | 0.68% |
| Expected Monthly | 0.85% | 0.68% |
| Expected Yearly | 10.59% | 8.32% |
| Kelly Criterion | 25.56% | 36.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.94% |
| Expected Shortfall (cVaR) | -8.96% | -4.69% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.28 |
| Gain/Pain (1M) | 0.76 | 1.28 |
| Payoff Ratio | 0.88 | 1.0 |
| Profit Factor | 1.76 | 2.28 |
| Common Sense Ratio | 1.85 | 3.26 |
| CPC Index | 1.01 | 1.56 |
| Tail Ratio | 1.05 | 1.43 |
| Outlier Win Ratio | 2.95 | 2.86 |
| Outlier Loss Ratio | 2.93 | 2.77 |
| MTD | -1.05% | -0.49% |
| 3M | 13.91% | 10.55% |
| 6M | 8.94% | 13.2% |
| YTD | 8.94% | 13.2% |
| 1Y | 20.92% | 22.22% |
| 3Y (ann.) | 18.77% | 14.59% |
| 5Y (ann.) | 12.51% | 8.27% |
| 10Y (ann.) | 15.13% | 7.63% |
| All-time (ann.) | 10.76% | 8.45% |
| Best Day | 12.7% | 6.18% |
| Worst Day | -16.52% | -9.69% |
| Best Month | 12.7% | 6.18% |
| Worst Month | -16.52% | -9.69% |
| Best Year | 38.05% | 20.84% |
| Worst Year | -36.79% | -6.08% |
| Avg. Drawdown | -6.27% | -3.05% |
| Avg. Drawdown Days | 122 | 116 |
| Recovery Factor | 7.49 | 20.12 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 17.54 |
| Avg. Up Month | 3.48% | 1.96% |
| Avg. Down Month | -3.94% | -1.97% |
| Win Days | 65.09% | 68.41% |
| Win Month | 65.09% | 68.41% |
| Win Quarter | 73.33% | 74.81% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.35 |
| Alpha | - | 0.04 |
| Correlation | - | 67.11% |
| Treynor Ratio | - | 4059.63% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 16.32 | 1.87 | + |
| 1994 | 0.40 | 2.56 | 6.45 | + |
| 1995 | 38.05 | 14.59 | 0.38 | - |
| 1996 | 22.50 | 13.62 | 0.61 | - |
| 1997 | 33.48 | 12.96 | 0.39 | - |
| 1998 | 28.69 | 12.38 | 0.43 | - |
| 1999 | 20.39 | 15.22 | 0.75 | - |
| 2000 | -9.74 | -0.42 | 0.04 | + |
| 2001 | -11.76 | 1.76 | -0.15 | + |
| 2002 | -21.58 | 1.88 | -0.09 | + |
| 2003 | 28.18 | 20.79 | 0.74 | - |
| 2004 | 10.70 | 17.53 | 1.64 | + |
| 2005 | 4.83 | 12.83 | 2.66 | + |
| 2006 | 15.85 | 18.87 | 1.19 | + |
| 2007 | 5.15 | 8.28 | 1.61 | + |
| 2008 | -36.79 | -1.76 | 0.05 | + |
| 2009 | 26.35 | 9.56 | 0.36 | - |
| 2010 | 15.06 | 5.02 | 0.33 | - |
| 2011 | 1.89 | -3.80 | -2.00 | - |
| 2012 | 15.99 | 9.87 | 0.62 | - |
| 2013 | 32.31 | 20.46 | 0.63 | - |
| 2014 | 13.46 | 6.05 | 0.45 | - |
| 2015 | 1.23 | -2.84 | -2.30 | - |
| 2016 | 12.00 | 2.84 | 0.24 | - |
| 2017 | 21.71 | 20.40 | 0.94 | - |
| 2018 | -4.57 | -3.35 | 0.73 | + |
| 2019 | 31.22 | 8.10 | 0.26 | - |
| 2020 | 18.33 | -2.34 | -0.13 | - |
| 2021 | 28.73 | 15.02 | 0.52 | - |
| 2022 | -18.18 | -6.08 | 0.33 | + |
| 2023 | 26.18 | 2.04 | 0.08 | - |
| 2024 | 24.89 | 10.97 | 0.44 | - |
| 2025 | 17.72 | 20.84 | 1.18 | + |
| 2026 | 8.94 | 13.20 | 1.48 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2013-02-28 | -14.05 | 640 |
| 2010-05-31 | 2010-11-30 | -10.57 | 184 |
| 2021-11-30 | 2024-02-29 | -9.99 | 822 |
| 1998-07-31 | 1998-11-30 | -9.74 | 123 |
| 2020-01-31 | 2021-01-31 | -9.54 | 367 |
| 2018-02-28 | 2019-11-30 | -7.47 | 641 |
| 2007-11-30 | 2009-08-31 | -6.29 | 641 |
| 2015-06-30 | 2016-12-31 | -6.13 | 551 |
| 1993-11-30 | 1993-12-31 | -4.80 | 32 |
| 2026-03-31 | 2026-03-31 | -4.69 | 1 |