| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 966.30% |
| CAGR﹪ | 10.76% | 7.32% |
| Sharpe | 0.77 | 1.21 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.14 |
| Sortino | 1.18 | 2.05 |
| Smart Sortino | 1.11 | 1.92 |
| Sortino/√2 | 0.84 | 1.45 |
| Smart Sortino/√2 | 0.78 | 1.36 |
| Omega | 1.76 | 2.46 |
| Max Drawdown | -50.78% | -11.46% |
| 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 | 671 |
| Volatility (ann.) | 14.76% | 5.99% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.64 |
| Skew | -0.55 | -0.55 |
| Kurtosis | 0.98 | 1.32 |
| Ulcer Performance Index | 211.25 | 364.94 |
| Risk-Adjusted Return | 754.56% | 340.9% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 0.61% |
| Avg. Win | 3.5% | 1.58% |
| Avg. Loss | -4.1% | -1.64% |
| Win/Loss Ratio | 0.85 | 0.96 |
| Profit Ratio | 0.5 | 0.46 |
| Expected Daily | 0.85% | 0.59% |
| Expected Monthly | 0.85% | 0.59% |
| Expected Yearly | 10.59% | 7.21% |
| Kelly Criterion | 24.2% | 38.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.24% |
| Expected Shortfall (cVaR) | -8.96% | -3.57% |
| Max Consecutive Wins | 15 | 17 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.46 |
| Gain/Pain (1M) | 0.76 | 1.46 |
| Payoff Ratio | 0.85 | 0.96 |
| Profit Factor | 1.76 | 2.46 |
| Common Sense Ratio | 1.85 | 3.45 |
| CPC Index | 0.98 | 1.65 |
| Tail Ratio | 1.05 | 1.4 |
| Outlier Win Ratio | 2.95 | 2.99 |
| Outlier Loss Ratio | 2.93 | 3.08 |
| MTD | -1.05% | 2.38% |
| 3M | 13.91% | 7.52% |
| 6M | 8.94% | 14.25% |
| YTD | 8.94% | 14.25% |
| 1Y | 20.92% | 19.67% |
| 3Y (ann.) | 18.77% | 10.24% |
| 5Y (ann.) | 12.51% | 6.74% |
| 10Y (ann.) | 15.13% | 5.91% |
| All-time (ann.) | 10.76% | 7.32% |
| Best Day | 12.7% | 4.75% |
| Worst Day | -16.52% | -6.59% |
| Best Month | 12.7% | 4.75% |
| Worst Month | -16.52% | -6.59% |
| Best Year | 38.05% | 20.07% |
| Worst Year | -36.79% | -4.02% |
| Avg. Drawdown | -6.27% | -2.24% |
| Avg. Drawdown Days | 122 | 89 |
| Recovery Factor | 7.49 | 21.24 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 24.43 |
| Avg. Up Month | 3.5% | 1.58% |
| Avg. Down Month | -4.1% | -1.64% |
| Win Days | 65.09% | 69.9% |
| Win Month | 65.09% | 69.9% |
| Win Quarter | 73.33% | 77.78% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.24 |
| Alpha | - | 0.05 |
| Correlation | - | 59.83% |
| Treynor Ratio | - | 3980.79% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.67 | 1.34 | + |
| 1994 | 0.40 | 2.37 | 5.96 | + |
| 1995 | 38.05 | 13.44 | 0.35 | - |
| 1996 | 22.50 | 12.71 | 0.57 | - |
| 1997 | 33.48 | 11.60 | 0.35 | - |
| 1998 | 28.69 | 7.66 | 0.27 | - |
| 1999 | 20.39 | 7.93 | 0.39 | - |
| 2000 | -9.74 | 5.40 | -0.55 | + |
| 2001 | -11.76 | 2.78 | -0.24 | + |
| 2002 | -21.58 | 5.79 | -0.27 | + |
| 2003 | 28.18 | 15.62 | 0.55 | - |
| 2004 | 10.70 | 15.13 | 1.41 | + |
| 2005 | 4.83 | 10.67 | 2.21 | + |
| 2006 | 15.85 | 16.44 | 1.04 | + |
| 2007 | 5.15 | 8.74 | 1.70 | + |
| 2008 | -36.79 | 0.17 | -0.00 | + |
| 2009 | 26.35 | 7.52 | 0.29 | - |
| 2010 | 15.06 | 9.61 | 0.64 | - |
| 2011 | 1.89 | -0.07 | -0.04 | - |
| 2012 | 15.99 | 7.30 | 0.46 | - |
| 2013 | 32.31 | 8.30 | 0.26 | - |
| 2014 | 13.46 | 7.56 | 0.56 | - |
| 2015 | 1.23 | -2.20 | -1.79 | - |
| 2016 | 12.00 | 2.08 | 0.17 | - |
| 2017 | 21.71 | 11.12 | 0.51 | - |
| 2018 | -4.57 | -4.02 | 0.88 | + |
| 2019 | 31.22 | 8.31 | 0.27 | - |
| 2020 | 18.33 | -3.31 | -0.18 | - |
| 2021 | 28.73 | 20.07 | 0.70 | - |
| 2022 | -18.18 | -2.70 | 0.15 | + |
| 2023 | 26.18 | 2.73 | 0.10 | - |
| 2024 | 24.89 | 4.71 | 0.19 | - |
| 2025 | 17.72 | 11.45 | 0.65 | - |
| 2026 | 8.94 | 14.25 | 1.59 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2013-02-28 | -11.46 | 640 |
| 2010-05-31 | 2010-09-30 | -7.94 | 123 |
| 2008-07-31 | 2009-10-31 | -7.30 | 458 |
| 2020-01-31 | 2021-01-31 | -7.26 | 367 |
| 2018-10-31 | 2019-09-30 | -6.22 | 335 |
| 2015-04-30 | 2017-01-31 | -5.28 | 643 |
| 2022-04-30 | 2024-02-29 | -4.89 | 671 |
| 2004-04-30 | 2004-09-30 | -4.82 | 154 |
| 1998-07-31 | 1998-11-30 | -4.68 | 123 |
| 2010-01-31 | 2010-02-28 | -4.46 | 29 |