| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,030.42% |
| CAGR﹪ | 10.76% | 7.51% |
| Sharpe | 0.77 | 1.17 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.09 |
| Sortino | 1.18 | 2.17 |
| Smart Sortino | 1.11 | 2.03 |
| Sortino/√2 | 0.84 | 1.53 |
| Smart Sortino/√2 | 0.78 | 1.43 |
| Omega | 1.76 | 2.43 |
| Max Drawdown | -50.78% | -9.75% |
| 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 | 2023-11-30 |
| Longest DD Days | 2223 | 669 |
| Volatility (ann.) | 14.76% | 6.4% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.77 |
| Skew | -0.55 | 0.22 |
| Kurtosis | 0.98 | 2.24 |
| Ulcer Performance Index | 211.25 | 376.15 |
| Risk-Adjusted Return | 754.56% | 357.34% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 0.62% |
| Avg. Win | 3.58% | 1.62% |
| Avg. Loss | -3.85% | -1.51% |
| Win/Loss Ratio | 0.93 | 1.07 |
| Profit Ratio | 0.5 | 0.61 |
| Expected Daily | 0.85% | 0.61% |
| Expected Monthly | 0.85% | 0.61% |
| Expected Yearly | 10.59% | 7.39% |
| Kelly Criterion | 27.5% | 35.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.42% |
| Expected Shortfall (cVaR) | -8.96% | -3.38% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.43 |
| Gain/Pain (1M) | 0.76 | 1.43 |
| Payoff Ratio | 0.93 | 1.07 |
| Profit Factor | 1.76 | 2.43 |
| Common Sense Ratio | 1.85 | 3.5 |
| CPC Index | 1.06 | 1.73 |
| Tail Ratio | 1.05 | 1.44 |
| Outlier Win Ratio | 2.95 | 3.67 |
| Outlier Loss Ratio | 2.93 | 3.01 |
| MTD | -1.05% | -1.13% |
| 3M | 13.91% | 2.45% |
| 6M | 8.94% | 3.36% |
| YTD | 8.94% | 3.36% |
| 1Y | 20.92% | 13.99% |
| 3Y (ann.) | 18.77% | 14.03% |
| 5Y (ann.) | 12.51% | 8.43% |
| 10Y (ann.) | 15.13% | 7.24% |
| All-time (ann.) | 10.76% | 7.51% |
| Best Day | 12.7% | 8.75% |
| Worst Day | -16.52% | -6.69% |
| Best Month | 12.7% | 8.75% |
| Worst Month | -16.52% | -6.69% |
| Best Year | 38.05% | 20.55% |
| Worst Year | -36.79% | -7.36% |
| Avg. Drawdown | -6.27% | -2.42% |
| Avg. Drawdown Days | 122 | 90 |
| Recovery Factor | 7.49 | 25.65 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 23.53 |
| Avg. Up Month | 3.58% | 1.62% |
| Avg. Down Month | -3.85% | -1.51% |
| Win Days | 65.09% | 66.67% |
| Win Month | 65.09% | 66.67% |
| Win Quarter | 73.33% | 77.04% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.15 |
| Alpha | - | 0.06 |
| Correlation | - | 35.25% |
| Treynor Ratio | - | 6741.65% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.62 | 1.33 | + |
| 1994 | 0.40 | -2.11 | -5.30 | - |
| 1995 | 38.05 | 16.00 | 0.42 | - |
| 1996 | 22.50 | 2.73 | 0.12 | - |
| 1997 | 33.48 | 10.10 | 0.30 | - |
| 1998 | 28.69 | 11.79 | 0.41 | - |
| 1999 | 20.39 | 3.57 | 0.18 | - |
| 2000 | -9.74 | 6.91 | -0.71 | + |
| 2001 | -11.76 | 3.08 | -0.26 | + |
| 2002 | -21.58 | 14.96 | -0.69 | + |
| 2003 | 28.18 | 10.78 | 0.38 | - |
| 2004 | 10.70 | 6.13 | 0.57 | - |
| 2005 | 4.83 | 7.05 | 1.46 | + |
| 2006 | 15.85 | 8.30 | 0.52 | - |
| 2007 | 5.15 | 12.49 | 2.43 | + |
| 2008 | -36.79 | 14.94 | -0.41 | + |
| 2009 | 26.35 | -2.79 | -0.11 | - |
| 2010 | 15.06 | 13.61 | 0.90 | - |
| 2011 | 1.89 | 9.47 | 5.00 | + |
| 2012 | 15.99 | 4.54 | 0.28 | - |
| 2013 | 32.31 | 5.76 | 0.18 | - |
| 2014 | 13.46 | 9.42 | 0.70 | - |
| 2015 | 1.23 | -1.21 | -0.98 | - |
| 2016 | 12.00 | -2.27 | -0.19 | - |
| 2017 | 21.71 | 12.30 | 0.57 | - |
| 2018 | -4.57 | -2.58 | 0.57 | + |
| 2019 | 31.22 | 12.29 | 0.39 | - |
| 2020 | 18.33 | 15.61 | 0.85 | - |
| 2021 | 28.73 | 4.97 | 0.17 | - |
| 2022 | -18.18 | -7.36 | 0.40 | + |
| 2023 | 26.18 | 9.17 | 0.35 | - |
| 2024 | 24.89 | 14.98 | 0.60 | - |
| 2025 | 17.72 | 20.55 | 1.16 | + |
| 2026 | 8.94 | 3.36 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-11-30 | -9.75 | 669 |
| 2009-01-31 | 2009-10-31 | -9.46 | 274 |
| 2016-08-31 | 2017-09-30 | -8.22 | 396 |
| 2008-03-31 | 2008-10-31 | -5.77 | 215 |
| 1994-02-28 | 1995-03-31 | -5.60 | 397 |
| 2020-08-31 | 2021-06-30 | -5.58 | 304 |
| 2015-02-28 | 2016-06-30 | -5.31 | 489 |
| 2003-06-30 | 2003-09-30 | -5.22 | 93 |
| 2018-02-28 | 2019-06-30 | -5.17 | 488 |
| 2009-12-31 | 2010-03-31 | -4.42 | 91 |