| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 115,993.15% |
| CAGR﹪ | 10.76% | 23.45% |
| Sharpe | 0.77 | 0.89 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.84 |
| Sortino | 1.18 | 1.56 |
| Smart Sortino | 1.12 | 1.48 |
| Sortino/√2 | 0.84 | 1.1 |
| Smart Sortino/√2 | 0.79 | 1.05 |
| Omega | 1.76 | 1.99 |
| Max Drawdown | -50.78% | -43.73% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-06-30 |
| Max DD Period End | 2012-02-29 | 2023-04-30 |
| Longest DD Days | 2223 | 1127 |
| Volatility (ann.) | 14.76% | 28.41% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | 0.16 | 0.16 |
| Calmar | 0.21 | 0.54 |
| Skew | -0.55 | 0.03 |
| Kurtosis | 0.98 | 0.59 |
| Ulcer Performance Index | 211.25 | 10599.01 |
| Risk-Adjusted Return | 754.56% | 8241.08% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.95% | 2.12% |
| Avg. Win | 3.53% | 7.56% |
| Avg. Loss | -3.45% | -6.84% |
| Win/Loss Ratio | 1.02 | 1.11 |
| Profit Ratio | 0.5 | 0.74 |
| Expected Daily | 0.85% | 1.77% |
| Expected Monthly | 0.85% | 1.77% |
| Expected Yearly | 10.59% | 23.07% |
| Kelly Criterion | 30.96% | 27.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -11.39% |
| Expected Shortfall (cVaR) | -8.96% | -16.24% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 0.99 |
| Gain/Pain (1M) | 0.76 | 0.99 |
| Payoff Ratio | 1.02 | 1.11 |
| Profit Factor | 1.76 | 1.99 |
| Common Sense Ratio | 1.85 | 2.69 |
| CPC Index | 1.17 | 1.37 |
| Tail Ratio | 1.05 | 1.35 |
| Outlier Win Ratio | 2.95 | 3.21 |
| Outlier Loss Ratio | 2.93 | 3.36 |
| MTD | -1.05% | 4.25% |
| 3M | 13.91% | 16.91% |
| 6M | 8.94% | -2.06% |
| YTD | 8.94% | -2.06% |
| 1Y | 20.92% | 20.24% |
| 3Y (ann.) | 18.77% | 38.87% |
| 5Y (ann.) | 12.51% | 38.96% |
| 10Y (ann.) | 15.13% | 41.05% |
| All-time (ann.) | 10.76% | 23.45% |
| Best Day | 12.7% | 27.7% |
| Worst Day | -16.52% | -22.75% |
| Best Month | 12.7% | 27.7% |
| Worst Month | -16.52% | -22.75% |
| Best Year | 38.05% | 100.8% |
| Worst Year | -36.79% | -13.17% |
| Avg. Drawdown | -6.27% | -11.25% |
| Avg. Drawdown Days | 122 | 123 |
| Recovery Factor | 7.49 | 19.33 |
| Ulcer Index | 0.14 | 0.11 |
| Serenity Index | 3.21 | 24.62 |
| Avg. Up Month | 3.53% | 7.56% |
| Avg. Down Month | -3.45% | -6.84% |
| Win Days | 65.09% | 62.0% |
| Win Month | 65.09% | 62.0% |
| Win Quarter | 73.33% | 65.19% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.97 |
| Alpha | - | 0.14 |
| Correlation | - | 50.4% |
| Treynor Ratio | - | 119593.54% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 0.59 | 0.07 | - |
| 1994 | 0.40 | -4.23 | -10.65 | - |
| 1995 | 38.05 | 24.77 | 0.65 | - |
| 1996 | 22.50 | 26.35 | 1.17 | + |
| 1997 | 33.48 | 34.42 | 1.03 | + |
| 1998 | 28.69 | 17.49 | 0.61 | - |
| 1999 | 20.39 | 42.90 | 2.10 | + |
| 2000 | -9.74 | -3.87 | 0.40 | + |
| 2001 | -11.76 | -13.17 | 1.12 | - |
| 2002 | -21.58 | 1.79 | -0.08 | + |
| 2003 | 28.18 | 17.66 | 0.63 | - |
| 2004 | 10.70 | 5.99 | 0.56 | - |
| 2005 | 4.83 | -1.32 | -0.27 | - |
| 2006 | 15.85 | 12.35 | 0.78 | - |
| 2007 | 5.15 | 29.49 | 5.73 | + |
| 2008 | -36.79 | 7.02 | -0.19 | + |
| 2009 | 26.35 | 47.43 | 1.80 | + |
| 2010 | 15.06 | 17.29 | 1.15 | + |
| 2011 | 1.89 | 10.03 | 5.29 | + |
| 2012 | 15.99 | 49.45 | 3.09 | + |
| 2013 | 32.31 | 100.80 | 3.12 | + |
| 2014 | 13.46 | 40.48 | 3.01 | + |
| 2015 | 1.23 | -11.17 | -9.05 | - |
| 2016 | 12.00 | -1.45 | -0.12 | - |
| 2017 | 21.71 | 85.07 | 3.92 | + |
| 2018 | -4.57 | 17.72 | -3.88 | + |
| 2019 | 31.22 | 37.37 | 1.20 | + |
| 2020 | 18.33 | 60.95 | 3.33 | + |
| 2021 | 28.73 | 38.44 | 1.34 | + |
| 2022 | -18.18 | -8.13 | 0.45 | + |
| 2023 | 26.18 | 100.12 | 3.83 | + |
| 2024 | 24.89 | 56.70 | 2.28 | + |
| 2025 | 17.72 | 57.49 | 3.24 | + |
| 2026 | 8.94 | -2.06 | -0.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-30 | 2023-04-30 | -43.73 | 305 |
| 2008-06-30 | 2009-07-31 | -29.92 | 397 |
| 2019-05-31 | 2019-11-30 | -26.33 | 184 |
| 2000-11-30 | 2003-12-31 | -25.77 | 1127 |
| 2018-09-30 | 2019-03-31 | -23.99 | 183 |
| 2025-11-30 | 2026-04-30 | -23.97 | 152 |
| 2015-02-28 | 2017-01-31 | -23.31 | 704 |
| 2020-09-30 | 2020-11-30 | -23.26 | 62 |
| 2023-08-31 | 2023-11-30 | -21.34 | 92 |
| 2010-05-31 | 2010-11-30 | -20.73 | 184 |