| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,988.84% |
| CAGR﹪ | 10.76% | 10.78% |
| Sharpe | 0.77 | 1.08 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.01 |
| Sortino | 1.18 | 1.76 |
| Smart Sortino | 1.1 | 1.64 |
| Sortino/√2 | 0.84 | 1.25 |
| Smart Sortino/√2 | 0.78 | 1.16 |
| Omega | 1.76 | 2.37 |
| Max Drawdown | -50.78% | -24.41% |
| 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 | 1036 |
| Volatility (ann.) | 14.76% | 9.96% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.44 |
| Skew | -0.55 | -0.55 |
| Kurtosis | 0.98 | 2.53 |
| Ulcer Performance Index | 211.25 | 549.2 |
| Risk-Adjusted Return | 754.56% | 758.82% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.9% |
| Avg. Win | 3.43% | 2.35% |
| Avg. Loss | -3.89% | -2.69% |
| Win/Loss Ratio | 0.88 | 0.87 |
| Profit Ratio | 0.5 | 0.31 |
| Expected Daily | 0.85% | 0.86% |
| Expected Monthly | 0.85% | 0.86% |
| Expected Yearly | 10.59% | 10.62% |
| Kelly Criterion | 25.47% | 42.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.83% |
| Expected Shortfall (cVaR) | -8.96% | -6.3% |
| Max Consecutive Wins | 15 | 41 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.37 |
| Gain/Pain (1M) | 0.76 | 1.37 |
| Payoff Ratio | 0.88 | 0.87 |
| Profit Factor | 1.76 | 2.37 |
| Common Sense Ratio | 1.85 | 3.1 |
| CPC Index | 1.01 | 1.52 |
| Tail Ratio | 1.05 | 1.31 |
| Outlier Win Ratio | 2.95 | 3.95 |
| Outlier Loss Ratio | 2.93 | 3.51 |
| 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% | 3.99% |
| 10Y (ann.) | 15.13% | 9.49% |
| All-time (ann.) | 10.76% | 10.78% |
| Best Day | 12.7% | 10.26% |
| Worst Day | -16.52% | -12.05% |
| Best Month | 12.7% | 10.26% |
| Worst Month | -16.52% | -12.05% |
| Best Year | 38.05% | 37.05% |
| Worst Year | -36.79% | -18.7% |
| Avg. Drawdown | -6.27% | -4.35% |
| Avg. Drawdown Days | 122 | 103 |
| Recovery Factor | 7.49 | 14.79 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 12.65 |
| Avg. Up Month | 3.43% | 2.35% |
| Avg. Down Month | -3.89% | -2.69% |
| Win Days | 65.09% | 73.38% |
| Win Month | 65.09% | 73.38% |
| Win Quarter | 73.33% | 80.0% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.49 |
| Alpha | - | 0.05 |
| Correlation | - | 72.65% |
| Treynor Ratio | - | 6099.64% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.41 | 1.54 | + |
| 1994 | 0.40 | -6.14 | -15.46 | - |
| 1995 | 38.05 | 37.05 | 0.97 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 12.91 | 0.39 | - |
| 1998 | 28.69 | 30.71 | 1.07 | + |
| 1999 | 20.39 | -0.45 | -0.02 | - |
| 2000 | -9.74 | 9.44 | -0.97 | + |
| 2001 | -11.76 | 3.85 | -0.33 | + |
| 2002 | -21.58 | 19.01 | -0.88 | + |
| 2003 | 28.18 | 15.93 | 0.57 | - |
| 2004 | 10.70 | 12.31 | 1.15 | + |
| 2005 | 4.83 | 5.41 | 1.12 | + |
| 2006 | 15.85 | 15.85 | 1.00 | - |
| 2007 | 5.15 | 5.25 | 1.02 | + |
| 2008 | -36.79 | -7.69 | 0.21 | + |
| 2009 | 26.35 | -0.52 | -0.02 | - |
| 2010 | 15.06 | 17.39 | 1.15 | + |
| 2011 | 1.89 | 9.27 | 4.89 | + |
| 2012 | 15.99 | 15.29 | 0.96 | - |
| 2013 | 32.31 | 17.64 | 0.55 | - |
| 2014 | 13.46 | 18.65 | 1.39 | + |
| 2015 | 1.23 | 2.44 | 1.98 | + |
| 2016 | 12.00 | 12.64 | 1.05 | + |
| 2017 | 21.71 | 21.09 | 0.97 | - |
| 2018 | -4.57 | -4.57 | 1.00 | - |
| 2019 | 31.22 | 30.03 | 0.96 | - |
| 2020 | 18.33 | 10.60 | 0.58 | - |
| 2021 | 28.73 | 28.24 | 0.98 | - |
| 2022 | -18.18 | -18.70 | 1.03 | - |
| 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 |
|---|---|---|---|
| 2022-01-31 | 2023-11-30 | -24.41 | 669 |
| 2007-11-30 | 2010-09-30 | -22.96 | 1036 |
| 2020-01-31 | 2020-07-31 | -19.05 | 183 |
| 2018-10-31 | 2019-03-31 | -13.53 | 152 |
| 1994-02-28 | 1995-02-28 | -10.68 | 366 |
| 1997-08-31 | 1998-01-31 | -7.27 | 154 |
| 2019-05-31 | 2019-06-30 | -6.38 | 31 |
| 2011-06-30 | 2011-09-30 | -6.28 | 93 |
| 2018-02-28 | 2018-06-30 | -6.28 | 123 |
| 2021-09-30 | 2021-09-30 | -4.66 | 1 |