| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 5,667.50% |
| CAGR﹪ | 10.76% | 12.87% |
| Sharpe | 0.77 | 1.13 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 1.03 |
| Sortino | 1.18 | 2.1 |
| Smart Sortino | 1.08 | 1.91 |
| Sortino/√2 | 0.84 | 1.49 |
| Smart Sortino/√2 | 0.76 | 1.35 |
| Omega | 1.76 | 2.46 |
| Max Drawdown | -50.78% | -20.22% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2010-02-28 |
| Longest DD Days | 2223 | 763 |
| Volatility (ann.) | 14.76% | 11.28% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.21 | 0.64 |
| Skew | -0.55 | 0.19 |
| Kurtosis | 0.98 | 2.28 |
| Ulcer Performance Index | 211.25 | 1313.04 |
| Risk-Adjusted Return | 754.56% | 1170.29% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 1.07% |
| Avg. Win | 3.17% | 2.45% |
| Avg. Loss | -3.13% | -2.67% |
| Win/Loss Ratio | 1.01 | 0.92 |
| Profit Ratio | 0.5 | 0.38 |
| Expected Daily | 0.85% | 1.01% |
| Expected Monthly | 0.85% | 1.01% |
| Expected Yearly | 10.59% | 12.67% |
| Kelly Criterion | 30.64% | 41.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.29% |
| Expected Shortfall (cVaR) | -8.96% | -6.06% |
| Max Consecutive Wins | 15 | 16 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.76 | 1.46 |
| Gain/Pain (1M) | 0.76 | 1.46 |
| Payoff Ratio | 1.01 | 0.92 |
| Profit Factor | 1.76 | 2.46 |
| Common Sense Ratio | 1.85 | 3.63 |
| CPC Index | 1.16 | 1.62 |
| Tail Ratio | 1.05 | 1.47 |
| Outlier Win Ratio | 2.95 | 4.35 |
| Outlier Loss Ratio | 2.93 | 2.66 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 0.08% |
| 6M | 8.94% | -4.29% |
| YTD | 8.94% | -4.29% |
| 1Y | 20.92% | 4.17% |
| 3Y (ann.) | 18.77% | 5.63% |
| 5Y (ann.) | 12.51% | 6.43% |
| 10Y (ann.) | 15.13% | 11.23% |
| All-time (ann.) | 10.76% | 12.87% |
| Best Day | 12.7% | 14.34% |
| Worst Day | -16.52% | -13.07% |
| Best Month | 12.7% | 14.34% |
| Worst Month | -16.52% | -13.07% |
| Best Year | 38.05% | 39.18% |
| Worst Year | -36.79% | -5.47% |
| Avg. Drawdown | -6.27% | -3.98% |
| Avg. Drawdown Days | 122 | 89 |
| Recovery Factor | 7.49 | 21.19 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 26.89 |
| Avg. Up Month | 3.17% | 2.45% |
| Avg. Down Month | -3.13% | -2.67% |
| Win Days | 65.09% | 71.89% |
| Win Month | 65.09% | 71.89% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.22 |
| Alpha | - | 0.1 |
| Correlation | - | 29.41% |
| Treynor Ratio | - | 25209.44% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 10.91 | 1.25 | + |
| 1994 | 0.40 | -5.47 | -13.77 | - |
| 1995 | 38.05 | 29.59 | 0.78 | - |
| 1996 | 22.50 | 7.23 | 0.32 | - |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 32.33 | 1.13 | + |
| 1999 | 20.39 | 16.14 | 0.79 | - |
| 2000 | -9.74 | 6.73 | -0.69 | + |
| 2001 | -11.76 | 4.37 | -0.37 | + |
| 2002 | -21.58 | 15.36 | -0.71 | + |
| 2003 | 28.18 | 25.08 | 0.89 | - |
| 2004 | 10.70 | 6.16 | 0.58 | - |
| 2005 | 4.83 | 0.33 | 0.07 | - |
| 2006 | 15.85 | 8.70 | 0.55 | - |
| 2007 | 5.15 | 11.21 | 2.18 | + |
| 2008 | -36.79 | 30.43 | -0.83 | + |
| 2009 | 26.35 | -2.37 | -0.09 | - |
| 2010 | 15.06 | 20.62 | 1.37 | + |
| 2011 | 1.89 | 39.18 | 20.68 | + |
| 2012 | 15.99 | 6.57 | 0.41 | - |
| 2013 | 32.31 | 15.82 | 0.49 | - |
| 2014 | 13.46 | 17.58 | 1.31 | + |
| 2015 | 1.23 | -2.49 | -2.02 | - |
| 2016 | 12.00 | 5.90 | 0.49 | - |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | 3.06 | -0.67 | + |
| 2019 | 31.22 | 20.76 | 0.67 | - |
| 2020 | 18.33 | 19.19 | 1.05 | + |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -5.15 | 0.28 | + |
| 2023 | 26.18 | 6.27 | 0.24 | - |
| 2024 | 24.89 | 23.39 | 0.94 | - |
| 2025 | 17.72 | 5.21 | 0.29 | - |
| 2026 | 8.94 | -4.29 | -0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2010-02-28 | -20.22 | 394 |
| 2015-02-28 | 2017-03-31 | -11.23 | 763 |
| 1994-02-28 | 1995-04-30 | -9.03 | 427 |
| 2001-11-30 | 2002-07-31 | -8.17 | 244 |
| 2020-01-31 | 2020-06-30 | -7.95 | 152 |
| 2010-05-31 | 2010-07-31 | -7.95 | 62 |
| 2018-10-31 | 2019-03-31 | -7.77 | 152 |
| 2022-01-31 | 2023-05-31 | -6.93 | 486 |
| 2012-10-31 | 2013-06-30 | -6.92 | 243 |
| 2025-02-28 | 2025-09-30 | -6.77 | 215 |