| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,507.66% |
| CAGR﹪ | 10.76% | 10.22% |
| Sharpe | 0.77 | 0.91 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 0.82 |
| Sortino | 1.18 | 1.47 |
| Smart Sortino | 1.07 | 1.33 |
| Sortino/√2 | 0.84 | 1.04 |
| Smart Sortino/√2 | 0.76 | 0.94 |
| Omega | 1.76 | 2.12 |
| Max Drawdown | -50.78% | -25.88% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2011-03-31 |
| Longest DD Days | 2223 | 1218 |
| Volatility (ann.) | 14.76% | 11.52% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.4 |
| Skew | -0.55 | -0.18 |
| Kurtosis | 0.98 | 3.34 |
| Ulcer Performance Index | 211.25 | 376.53 |
| Risk-Adjusted Return | 754.56% | 672.32% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.95% | 0.87% |
| Avg. Win | 3.33% | 2.52% |
| Avg. Loss | -3.72% | -3.12% |
| Win/Loss Ratio | 0.89 | 0.81 |
| Profit Ratio | 0.5 | 0.29 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 10.07% |
| Kelly Criterion | 26.02% | 39.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.6% |
| Expected Shortfall (cVaR) | -8.96% | -7.36% |
| Max Consecutive Wins | 15 | 41 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.12 |
| Gain/Pain (1M) | 0.76 | 1.12 |
| Payoff Ratio | 0.89 | 0.81 |
| Profit Factor | 1.76 | 2.12 |
| Common Sense Ratio | 1.85 | 2.46 |
| CPC Index | 1.02 | 1.25 |
| Tail Ratio | 1.05 | 1.16 |
| Outlier Win Ratio | 2.95 | 4.08 |
| Outlier Loss Ratio | 2.93 | 3.04 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 1.13% |
| 6M | 8.94% | 1.99% |
| YTD | 8.94% | 1.99% |
| 1Y | 20.92% | 3.99% |
| 3Y (ann.) | 18.77% | 4.4% |
| 5Y (ann.) | 12.51% | 3.56% |
| 10Y (ann.) | 15.13% | 12.05% |
| All-time (ann.) | 10.76% | 10.22% |
| Best Day | 12.7% | 16.18% |
| Worst Day | -16.52% | -13.78% |
| Best Month | 12.7% | 16.18% |
| Worst Month | -16.52% | -13.78% |
| Best Year | 38.05% | 36.65% |
| Worst Year | -36.79% | -18.18% |
| Avg. Drawdown | -6.27% | -4.98% |
| Avg. Drawdown Days | 122 | 125 |
| Recovery Factor | 7.49 | 13.51 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 10.35 |
| Avg. Up Month | 3.33% | 2.52% |
| Avg. Down Month | -3.72% | -3.12% |
| Win Days | 65.09% | 73.0% |
| Win Month | 65.09% | 73.0% |
| Win Quarter | 73.33% | 79.26% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.53 |
| Alpha | - | 0.04 |
| Correlation | - | 68.33% |
| Treynor Ratio | - | 4701.4% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 14.54 | 1.67 | + |
| 1994 | 0.40 | -6.20 | -15.60 | - |
| 1995 | 38.05 | 36.65 | 0.96 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 20.28 | 0.61 | - |
| 1998 | 28.69 | 2.25 | 0.08 | - |
| 1999 | 20.39 | -0.36 | -0.02 | - |
| 2000 | -9.74 | 10.62 | -1.09 | + |
| 2001 | -11.76 | 10.33 | -0.88 | + |
| 2002 | -21.58 | 14.73 | -0.68 | + |
| 2003 | 28.18 | -0.45 | -0.02 | - |
| 2004 | 10.70 | 9.76 | 0.91 | - |
| 2005 | 4.83 | 4.83 | 1.00 | + |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 5.15 | 1.00 | - |
| 2008 | -36.79 | -8.26 | 0.22 | + |
| 2009 | 26.35 | -1.63 | -0.06 | - |
| 2010 | 15.06 | 9.63 | 0.64 | - |
| 2011 | 1.89 | 1.89 | 1.00 | + |
| 2012 | 15.99 | 15.99 | 1.00 | + |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | 2.00 | 1.62 | + |
| 2016 | 12.00 | 15.86 | 1.32 | + |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | -4.57 | 1.00 | + |
| 2019 | 31.22 | 31.22 | 1.00 | - |
| 2020 | 18.33 | 36.25 | 1.98 | + |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -18.18 | 1.00 | - |
| 2023 | 26.18 | 19.88 | 0.76 | - |
| 2024 | 24.89 | 4.95 | 0.20 | - |
| 2025 | 17.72 | 4.02 | 0.23 | - |
| 2026 | 8.94 | 1.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2011-03-31 | -25.88 | 1218 |
| 2022-01-31 | 2024-04-30 | -23.93 | 821 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 1998-08-31 | 2000-10-31 | -13.78 | 793 |
| 2018-10-31 | 2019-03-31 | -13.53 | 152 |
| 2003-07-31 | 2005-06-30 | -11.83 | 701 |
| 1994-02-28 | 1995-03-31 | -10.92 | 397 |
| 2020-01-31 | 2020-03-31 | -10.03 | 61 |
| 2015-08-31 | 2016-02-29 | -8.49 | 183 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |