| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,726.33% |
| CAGR﹪ | 10.76% | 10.49% |
| Sharpe | 0.77 | 0.94 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.93 |
| Sortino | 1.18 | 1.5 |
| Smart Sortino | 1.17 | 1.49 |
| Sortino/√2 | 0.84 | 1.06 |
| Smart Sortino/√2 | 0.83 | 1.05 |
| Omega | 1.76 | 2.1 |
| Max Drawdown | -50.78% | -18.46% |
| Max DD Date | 2009-02-28 | 2022-04-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-11-30 |
| Longest DD Days | 2223 | 1004 |
| Volatility (ann.) | 14.76% | 11.39% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.57 |
| Skew | -0.55 | -0.59 |
| Kurtosis | 0.98 | 2.27 |
| Ulcer Performance Index | 211.25 | 411.96 |
| Risk-Adjusted Return | 754.56% | 712.31% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.95% | 0.89% |
| Avg. Win | 3.32% | 2.65% |
| Avg. Loss | -3.0% | -3.14% |
| Win/Loss Ratio | 1.11 | 0.84 |
| Profit Ratio | 0.5 | 0.28 |
| Expected Daily | 0.85% | 0.83% |
| Expected Monthly | 0.85% | 0.83% |
| Expected Yearly | 10.59% | 10.33% |
| Kelly Criterion | 33.55% | 41.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.52% |
| Expected Shortfall (cVaR) | -8.96% | -7.21% |
| Max Consecutive Wins | 15 | 29 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.1 |
| Gain/Pain (1M) | 0.76 | 1.1 |
| Payoff Ratio | 1.11 | 0.84 |
| Profit Factor | 1.76 | 2.1 |
| Common Sense Ratio | 1.85 | 2.75 |
| CPC Index | 1.27 | 1.3 |
| Tail Ratio | 1.05 | 1.31 |
| Outlier Win Ratio | 2.95 | 3.43 |
| Outlier Loss Ratio | 2.93 | 2.62 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 13.91% |
| 6M | 8.94% | 8.94% |
| YTD | 8.94% | 8.94% |
| 1Y | 20.92% | 20.92% |
| 3Y (ann.) | 18.77% | 12.66% |
| 5Y (ann.) | 12.51% | 8.38% |
| 10Y (ann.) | 15.13% | 10.93% |
| All-time (ann.) | 10.76% | 10.49% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 38.05% |
| Worst Year | -36.79% | -16.96% |
| Avg. Drawdown | -6.27% | -4.86% |
| Avg. Drawdown Days | 122 | 110 |
| Recovery Factor | 7.49 | 19.36 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 11.05 |
| Avg. Up Month | 3.32% | 2.65% |
| Avg. Down Month | -3.0% | -3.14% |
| Win Days | 65.09% | 73.32% |
| Win Month | 65.09% | 73.32% |
| Win Quarter | 73.33% | 77.78% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.56 |
| Alpha | - | 0.04 |
| Correlation | - | 72.12% |
| Treynor Ratio | - | 4897.88% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.71 | 1.00 | + |
| 1994 | 0.40 | 0.40 | 1.00 | + |
| 1995 | 38.05 | 38.05 | 1.00 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 33.48 | 1.00 | - |
| 1998 | 28.69 | 15.38 | 0.54 | - |
| 1999 | 20.39 | 20.39 | 1.00 | - |
| 2000 | -9.74 | -7.59 | 0.78 | + |
| 2001 | -11.76 | 3.32 | -0.28 | + |
| 2002 | -21.58 | 1.59 | -0.07 | + |
| 2003 | 28.18 | 22.56 | 0.80 | - |
| 2004 | 10.70 | 10.70 | 1.00 | - |
| 2005 | 4.83 | 4.83 | 1.00 | - |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 5.15 | 1.00 | - |
| 2008 | -36.79 | -2.83 | 0.08 | + |
| 2009 | 26.35 | 20.92 | 0.79 | - |
| 2010 | 15.06 | 2.49 | 0.17 | - |
| 2011 | 1.89 | -9.94 | -5.24 | - |
| 2012 | 15.99 | 12.61 | 0.79 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 13.46 | 1.00 | - |
| 2015 | 1.23 | -8.06 | -6.53 | - |
| 2016 | 12.00 | 10.55 | 0.88 | - |
| 2017 | 21.71 | 21.71 | 1.00 | - |
| 2018 | -4.57 | -3.03 | 0.66 | + |
| 2019 | 31.22 | 16.56 | 0.53 | - |
| 2020 | 18.33 | 8.60 | 0.47 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -16.96 | 0.93 | + |
| 2023 | 26.18 | 20.80 | 0.79 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 0.48 | 0.03 | - |
| 2026 | 8.94 | 8.94 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-11-30 | -18.46 | 669 |
| 2011-05-31 | 2013-02-28 | -17.35 | 640 |
| 2025-02-28 | 2026-03-31 | -16.16 | 397 |
| 1998-07-31 | 1998-12-31 | -15.28 | 154 |
| 2018-10-31 | 2019-11-30 | -13.66 | 396 |
| 2010-05-31 | 2011-01-31 | -13.56 | 246 |
| 2000-09-30 | 2003-06-30 | -12.17 | 1004 |
| 2020-01-31 | 2020-07-31 | -11.17 | 183 |
| 2015-08-31 | 2016-12-31 | -11.08 | 489 |
| 2007-11-30 | 2009-07-31 | -8.79 | 610 |