| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,876.12% |
| CAGR﹪ | 10.76% | 11.62% |
| Sharpe | 0.77 | 1.06 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.98 |
| Sortino | 1.18 | 1.76 |
| Smart Sortino | 1.1 | 1.63 |
| Sortino/√2 | 0.84 | 1.24 |
| Smart Sortino/√2 | 0.77 | 1.15 |
| Omega | 1.76 | 2.35 |
| Max Drawdown | -50.78% | -25.92% |
| 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 | 2010-08-31 |
| Longest DD Days | 2223 | 1006 |
| Volatility (ann.) | 14.76% | 11.01% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.21 | 0.45 |
| Skew | -0.55 | -0.34 |
| Kurtosis | 0.98 | 2.48 |
| Ulcer Performance Index | 211.25 | 689.82 |
| Risk-Adjusted Return | 754.56% | 906.11% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.93% | 0.98% |
| Avg. Win | 3.32% | 2.53% |
| Avg. Loss | -3.59% | -3.09% |
| Win/Loss Ratio | 0.93 | 0.82 |
| Profit Ratio | 0.5 | 0.29 |
| Expected Daily | 0.85% | 0.92% |
| Expected Monthly | 0.85% | 0.92% |
| Expected Yearly | 10.59% | 11.44% |
| Kelly Criterion | 27.36% | 41.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.26% |
| Expected Shortfall (cVaR) | -8.96% | -6.82% |
| Max Consecutive Wins | 15 | 41 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.35 |
| Gain/Pain (1M) | 0.76 | 1.35 |
| Payoff Ratio | 0.93 | 0.82 |
| Profit Factor | 1.76 | 2.35 |
| Common Sense Ratio | 1.85 | 2.99 |
| CPC Index | 1.06 | 1.42 |
| Tail Ratio | 1.05 | 1.28 |
| Outlier Win Ratio | 2.95 | 3.91 |
| Outlier Loss Ratio | 2.93 | 3.18 |
| 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% | 4.38% |
| 5Y (ann.) | 12.51% | 4.12% |
| 10Y (ann.) | 15.13% | 9.98% |
| All-time (ann.) | 10.76% | 11.62% |
| Best Day | 12.7% | 13.81% |
| Worst Day | -16.52% | -12.49% |
| Best Month | 12.7% | 13.81% |
| Worst Month | -16.52% | -12.49% |
| Best Year | 38.05% | 36.93% |
| Worst Year | -36.79% | -18.18% |
| Avg. Drawdown | -6.27% | -4.74% |
| Avg. Drawdown Days | 122 | 97 |
| Recovery Factor | 7.49 | 15.05 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 13.87 |
| Avg. Up Month | 3.32% | 2.53% |
| Avg. Down Month | -3.59% | -3.09% |
| Win Days | 65.09% | 73.82% |
| Win Month | 65.09% | 73.82% |
| Win Quarter | 73.33% | 81.48% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.49 |
| Alpha | - | 0.06 |
| Correlation | - | 66.34% |
| Treynor Ratio | - | 7830.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 15.34 | 1.76 | + |
| 1994 | 0.40 | -6.15 | -15.47 | - |
| 1995 | 38.05 | 36.93 | 0.97 | - |
| 1996 | 22.50 | 22.50 | 1.00 | - |
| 1997 | 33.48 | 12.91 | 0.39 | - |
| 1998 | 28.69 | 24.17 | 0.84 | - |
| 1999 | 20.39 | -0.81 | -0.04 | - |
| 2000 | -9.74 | 9.76 | -1.00 | + |
| 2001 | -11.76 | 10.33 | -0.88 | + |
| 2002 | -21.58 | 20.35 | -0.94 | + |
| 2003 | 28.18 | 26.90 | 0.95 | - |
| 2004 | 10.70 | 11.47 | 1.07 | + |
| 2005 | 4.83 | 4.83 | 1.00 | + |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 5.15 | 1.00 | - |
| 2008 | -36.79 | -8.32 | 0.23 | + |
| 2009 | 26.35 | 2.28 | 0.09 | - |
| 2010 | 15.06 | 26.96 | 1.79 | + |
| 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 | 1.23 | 1.00 | + |
| 2016 | 12.00 | 15.64 | 1.30 | + |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | -4.57 | 1.00 | + |
| 2019 | 31.22 | 31.22 | 1.00 | - |
| 2020 | 18.33 | 9.86 | 0.54 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -18.18 | 1.00 | - |
| 2023 | 26.18 | 23.19 | 0.89 | - |
| 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 | 2010-08-31 | -25.92 | 1006 |
| 2022-01-31 | 2023-10-31 | -23.93 | 639 |
| 2020-01-31 | 2020-07-31 | -19.45 | 183 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 2018-10-31 | 2019-03-31 | -13.53 | 152 |
| 1994-02-28 | 1995-02-28 | -10.22 | 366 |
| 2015-08-31 | 2016-02-29 | -8.49 | 183 |
| 1997-08-31 | 1998-01-31 | -7.27 | 154 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |
| 2019-05-31 | 2019-05-31 | -6.38 | 1 |