| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,932.06% | 306,053.64% |
| CAGR﹪ | 10.75% | 27.15% |
| Sharpe | 0.77 | 1.03 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.95 |
| Sortino | 1.18 | 1.93 |
| Smart Sortino | 1.09 | 1.79 |
| Sortino/√2 | 0.84 | 1.37 |
| Smart Sortino/√2 | 0.77 | 1.26 |
| Omega | 1.76 | 2.34 |
| Max Drawdown | -50.78% | -41.0% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2025-05-31 |
| Longest DD Days | 2223 | 1340 |
| Volatility (ann.) | 14.78% | 27.03% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.18 | 0.18 |
| Calmar | 0.21 | 0.66 |
| Skew | -0.55 | 0.65 |
| Kurtosis | 0.97 | 5.85 |
| Ulcer Performance Index | 208.69 | 25659.36 |
| Risk-Adjusted Return | 753.43% | 15411.91% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.94% | 2.33% |
| Avg. Win | 3.3% | 5.97% |
| Avg. Loss | -3.64% | -5.7% |
| Win/Loss Ratio | 0.91 | 1.05 |
| Profit Ratio | 0.51 | 0.64 |
| Expected Daily | 0.85% | 2.02% |
| Expected Monthly | 0.85% | 2.02% |
| Expected Yearly | 10.56% | 26.63% |
| Kelly Criterion | 26.39% | 32.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.07% | -10.52% |
| Expected Shortfall (cVaR) | -8.96% | -14.94% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.34 |
| Gain/Pain (1M) | 0.76 | 1.34 |
| Payoff Ratio | 0.91 | 1.05 |
| Profit Factor | 1.76 | 2.34 |
| Common Sense Ratio | 1.85 | 3.15 |
| CPC Index | 1.04 | 1.6 |
| Tail Ratio | 1.05 | 1.35 |
| Outlier Win Ratio | 2.94 | 3.28 |
| Outlier Loss Ratio | 2.93 | 3.06 |
| MTD | -1.05% | -4.98% |
| 3M | 13.91% | -1.33% |
| 6M | 8.94% | -3.35% |
| YTD | 8.94% | -3.35% |
| 1Y | 20.92% | 22.29% |
| 3Y (ann.) | 18.77% | 17.77% |
| 5Y (ann.) | 12.51% | 5.15% |
| 10Y (ann.) | 15.13% | 17.08% |
| All-time (ann.) | 10.75% | 27.15% |
| Best Day | 12.7% | 46.5% |
| Worst Day | -16.52% | -35.47% |
| Best Month | 12.7% | 46.5% |
| Worst Month | -16.52% | -35.47% |
| Best Year | 38.05% | 100.13% |
| Worst Year | -36.79% | -39.08% |
| Avg. Drawdown | -6.27% | -8.6% |
| Avg. Drawdown Days | 122 | 110 |
| Recovery Factor | 7.47 | 22.64 |
| Ulcer Index | 0.14 | 0.12 |
| Serenity Index | 3.2 | 18.35 |
| Avg. Up Month | 3.3% | 5.97% |
| Avg. Down Month | -3.64% | -5.7% |
| Win Days | 65.0% | 65.5% |
| Win Month | 65.0% | 65.5% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.56 |
| Alpha | - | 0.21 |
| Correlation | - | 30.89% |
| Treynor Ratio | - | 541865.95% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 7.56 | 22.44 | 2.97 | + |
| 1994 | 0.40 | -10.91 | -27.46 | - |
| 1995 | 38.05 | 73.91 | 1.94 | + |
| 1996 | 22.50 | 41.77 | 1.86 | + |
| 1997 | 33.48 | 36.06 | 1.08 | + |
| 1998 | 28.69 | 56.71 | 1.98 | + |
| 1999 | 20.39 | 33.75 | 1.66 | + |
| 2000 | -9.74 | 17.54 | -1.80 | + |
| 2001 | -11.76 | -7.24 | 0.62 | + |
| 2002 | -21.58 | 28.97 | -1.34 | + |
| 2003 | 28.18 | 69.36 | 2.46 | + |
| 2004 | 10.70 | 34.91 | 3.26 | + |
| 2005 | 4.83 | 18.45 | 3.82 | + |
| 2006 | 15.85 | 26.95 | 1.70 | + |
| 2007 | 5.15 | 12.62 | 2.45 | + |
| 2008 | -36.79 | 100.13 | -2.72 | + |
| 2009 | 26.35 | 9.89 | 0.38 | - |
| 2010 | 15.06 | 45.32 | 3.01 | + |
| 2011 | 1.89 | 90.64 | 47.83 | + |
| 2012 | 15.99 | 26.64 | 1.67 | + |
| 2013 | 32.31 | 45.27 | 1.40 | + |
| 2014 | 13.46 | 34.37 | 2.55 | + |
| 2015 | 1.23 | -7.19 | -5.83 | - |
| 2016 | 12.00 | 13.15 | 1.10 | + |
| 2017 | 21.71 | 48.61 | 2.24 | + |
| 2018 | -4.57 | -10.27 | 2.25 | - |
| 2019 | 31.22 | 31.45 | 1.01 | + |
| 2020 | 18.33 | 56.64 | 3.09 | + |
| 2021 | 28.73 | 36.10 | 1.26 | + |
| 2022 | -18.18 | -39.08 | 2.15 | - |
| 2023 | 26.18 | 12.75 | 0.49 | - |
| 2024 | 24.89 | 27.30 | 1.10 | + |
| 2025 | 17.72 | 46.89 | 2.65 | + |
| 2026 | 8.94 | -3.35 | -0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-05-31 | -41.00 | 1340 |
| 2009-01-31 | 2009-10-31 | -39.36 | 274 |
| 2018-02-28 | 2019-11-30 | -23.97 | 641 |
| 2000-05-31 | 2001-09-30 | -20.51 | 488 |
| 2001-11-30 | 2002-07-31 | -18.18 | 244 |
| 2015-02-28 | 2016-06-30 | -18.13 | 489 |
| 2026-03-31 | 2026-07-31 | -17.93 | 123 |
| 2007-11-30 | 2008-10-31 | -16.70 | 337 |
| 2010-05-31 | 2010-07-31 | -16.69 | 62 |
| 1994-02-28 | 1995-02-28 | -16.09 | 366 |