| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 946.70% |
| CAGR﹪ | 10.76% | 7.26% |
| Sharpe | 0.77 | 0.89 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.86 |
| Sortino | 1.18 | 1.54 |
| Smart Sortino | 1.15 | 1.5 |
| Sortino/√2 | 0.84 | 1.09 |
| Smart Sortino/√2 | 0.81 | 1.06 |
| Omega | 1.76 | 2.02 |
| Max Drawdown | -50.78% | -27.76% |
| Max DD Date | 2009-02-28 | 2023-09-30 |
| Max DD Period Start | 2007-11-30 | 2021-06-30 |
| Max DD Period End | 2012-02-29 | 2026-01-31 |
| Longest DD Days | 2223 | 1677 |
| Volatility (ann.) | 14.76% | 8.31% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.26 |
| Skew | -0.55 | 0.04 |
| Kurtosis | 0.98 | 2.19 |
| Ulcer Performance Index | 211.25 | 129.08 |
| Risk-Adjusted Return | 754.56% | 335.8% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.95% | 0.61% |
| Avg. Win | 3.52% | 2.02% |
| Avg. Loss | -3.61% | -2.02% |
| Win/Loss Ratio | 0.97 | 1.0 |
| Profit Ratio | 0.5 | 0.7 |
| Expected Daily | 0.85% | 0.59% |
| Expected Monthly | 0.85% | 0.59% |
| Expected Yearly | 10.59% | 7.15% |
| Kelly Criterion | 29.26% | 25.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.33% |
| Expected Shortfall (cVaR) | -8.96% | -5.29% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.02 |
| Gain/Pain (1M) | 0.76 | 1.02 |
| Payoff Ratio | 0.97 | 1.0 |
| Profit Factor | 1.76 | 2.02 |
| Common Sense Ratio | 1.85 | 3.26 |
| CPC Index | 1.12 | 1.27 |
| Tail Ratio | 1.05 | 1.62 |
| Outlier Win Ratio | 2.95 | 3.37 |
| Outlier Loss Ratio | 2.93 | 3.25 |
| MTD | -1.05% | -0.63% |
| 3M | 13.91% | -0.69% |
| 6M | 8.94% | 1.23% |
| YTD | 8.94% | 1.23% |
| 1Y | 20.92% | 9.73% |
| 3Y (ann.) | 18.77% | 8.04% |
| 5Y (ann.) | 12.51% | 1.75% |
| 10Y (ann.) | 15.13% | 4.76% |
| All-time (ann.) | 10.76% | 7.26% |
| Best Day | 12.7% | 10.55% |
| Worst Day | -16.52% | -10.03% |
| Best Month | 12.7% | 10.55% |
| Worst Month | -16.52% | -10.03% |
| Best Year | 38.05% | 22.98% |
| Worst Year | -36.79% | -13.26% |
| Avg. Drawdown | -6.27% | -3.64% |
| Avg. Drawdown Days | 122 | 153 |
| Recovery Factor | 7.49 | 8.9 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 3.91 |
| Avg. Up Month | 3.52% | 2.02% |
| Avg. Down Month | -3.61% | -2.02% |
| Win Days | 65.09% | 62.94% |
| Win Month | 65.09% | 62.94% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.13 |
| Alpha | - | 0.06 |
| Correlation | - | 22.49% |
| Treynor Ratio | - | 7479.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 15.59 | 1.79 | + |
| 1994 | 0.40 | -5.55 | -13.97 | - |
| 1995 | 38.05 | 16.99 | 0.45 | - |
| 1996 | 22.50 | 5.50 | 0.24 | - |
| 1997 | 33.48 | 15.98 | 0.48 | - |
| 1998 | 28.69 | 7.15 | 0.25 | - |
| 1999 | 20.39 | -13.02 | -0.64 | - |
| 2000 | -9.74 | 18.59 | -1.91 | + |
| 2001 | -11.76 | 5.06 | -0.43 | + |
| 2002 | -21.58 | 16.47 | -0.76 | + |
| 2003 | 28.18 | 15.54 | 0.55 | - |
| 2004 | 10.70 | 6.35 | 0.59 | - |
| 2005 | 4.83 | 5.25 | 1.09 | + |
| 2006 | 15.85 | 10.70 | 0.68 | - |
| 2007 | 5.15 | 12.38 | 2.41 | + |
| 2008 | -36.79 | 12.87 | -0.35 | + |
| 2009 | 26.35 | 6.03 | 0.23 | - |
| 2010 | 15.06 | 13.43 | 0.89 | - |
| 2011 | 1.89 | 11.93 | 6.30 | + |
| 2012 | 15.99 | 5.20 | 0.33 | - |
| 2013 | 32.31 | 22.98 | 0.71 | - |
| 2014 | 13.46 | -0.44 | -0.03 | - |
| 2015 | 1.23 | -6.40 | -5.19 | - |
| 2016 | 12.00 | 8.24 | 0.69 | - |
| 2017 | 21.71 | 0.47 | 0.02 | - |
| 2018 | -4.57 | -1.25 | 0.27 | + |
| 2019 | 31.22 | 8.58 | 0.27 | - |
| 2020 | 18.33 | 18.01 | 0.98 | - |
| 2021 | 28.73 | 9.15 | 0.32 | - |
| 2022 | -18.18 | -13.26 | 0.73 | + |
| 2023 | 26.18 | -1.71 | -0.07 | - |
| 2024 | 24.89 | 9.35 | 0.38 | - |
| 2025 | 17.72 | 18.53 | 1.05 | + |
| 2026 | 8.94 | 1.23 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-30 | 2026-01-31 | -27.76 | 1677 |
| 1999-02-28 | 2000-11-30 | -14.57 | 642 |
| 2018-09-30 | 2019-12-31 | -11.55 | 458 |
| 1996-02-29 | 1996-10-31 | -9.50 | 246 |
| 2015-02-28 | 2017-07-31 | -8.04 | 885 |
| 2008-03-31 | 2008-11-30 | -7.65 | 245 |
| 1994-04-30 | 1995-04-30 | -6.85 | 366 |
| 2009-01-31 | 2009-08-31 | -6.72 | 213 |
| 2006-05-31 | 2007-01-31 | -5.50 | 246 |
| 2004-04-30 | 2004-10-31 | -5.25 | 185 |