| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 4,364.33% |
| CAGR﹪ | 10.76% | 12.01% |
| Sharpe | 0.77 | 1.12 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.09 |
| Sortino | 1.18 | 2.16 |
| Smart Sortino | 1.16 | 2.11 |
| Sortino/√2 | 0.84 | 1.53 |
| Smart Sortino/√2 | 0.82 | 1.49 |
| Omega | 1.76 | 2.39 |
| Max Drawdown | -50.78% | -14.71% |
| Max DD Date | 2009-02-28 | 2016-01-31 |
| Max DD Period Start | 2007-11-30 | 2015-02-28 |
| Max DD Period End | 2012-02-29 | 2017-03-31 |
| Longest DD Days | 2223 | 763 |
| Volatility (ann.) | 14.76% | 10.71% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.21 | 0.82 |
| Skew | -0.55 | 0.41 |
| Kurtosis | 0.98 | 1.83 |
| Ulcer Performance Index | 211.25 | 1079.19 |
| Risk-Adjusted Return | 754.56% | 981.87% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 1.0% |
| Avg. Win | 3.59% | 2.73% |
| Avg. Loss | -3.5% | -2.5% |
| Win/Loss Ratio | 1.02 | 1.09 |
| Profit Ratio | 0.5 | 0.63 |
| Expected Daily | 0.85% | 0.95% |
| Expected Monthly | 0.85% | 0.95% |
| Expected Yearly | 10.59% | 11.82% |
| Kelly Criterion | 30.97% | 35.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.09% |
| Expected Shortfall (cVaR) | -8.96% | -5.83% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.39 |
| Gain/Pain (1M) | 0.76 | 1.39 |
| Payoff Ratio | 1.02 | 1.09 |
| Profit Factor | 1.76 | 2.39 |
| Common Sense Ratio | 1.85 | 3.9 |
| CPC Index | 1.17 | 1.73 |
| Tail Ratio | 1.05 | 1.63 |
| Outlier Win Ratio | 2.95 | 3.79 |
| Outlier Loss Ratio | 2.93 | 3.22 |
| MTD | -1.05% | -7.12% |
| 3M | 13.91% | -8.32% |
| 6M | 8.94% | -7.86% |
| YTD | 8.94% | -7.86% |
| 1Y | 20.92% | 6.18% |
| 3Y (ann.) | 18.77% | 11.49% |
| 5Y (ann.) | 12.51% | 9.45% |
| 10Y (ann.) | 15.13% | 11.03% |
| All-time (ann.) | 10.76% | 12.01% |
| Best Day | 12.7% | 14.34% |
| Worst Day | -16.52% | -8.65% |
| Best Month | 12.7% | 14.34% |
| Worst Month | -16.52% | -8.65% |
| Best Year | 38.05% | 30.97% |
| Worst Year | -36.79% | -7.86% |
| Avg. Drawdown | -6.27% | -3.89% |
| Avg. Drawdown Days | 122 | 95 |
| Recovery Factor | 7.49 | 27.22 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 30.36 |
| Avg. Up Month | 3.59% | 2.73% |
| Avg. Down Month | -3.5% | -2.5% |
| Win Days | 65.09% | 66.17% |
| Win Month | 65.09% | 66.17% |
| Win Quarter | 73.33% | 70.37% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.21 |
| Alpha | - | 0.1 |
| Correlation | - | 29.27% |
| Treynor Ratio | - | 20543.72% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 14.88 | 1.71 | + |
| 1994 | 0.40 | -4.45 | -11.20 | - |
| 1995 | 38.05 | 24.22 | 0.64 | - |
| 1996 | 22.50 | 15.41 | 0.69 | - |
| 1997 | 33.48 | 13.79 | 0.41 | - |
| 1998 | 28.69 | 26.89 | 0.94 | - |
| 1999 | 20.39 | 26.13 | 1.28 | + |
| 2000 | -9.74 | 13.90 | -1.43 | + |
| 2001 | -11.76 | 3.85 | -0.33 | + |
| 2002 | -21.58 | 21.20 | -0.98 | + |
| 2003 | 28.18 | 17.99 | 0.64 | - |
| 2004 | 10.70 | 1.42 | 0.13 | - |
| 2005 | 4.83 | 3.61 | 0.75 | - |
| 2006 | 15.85 | -0.58 | -0.04 | - |
| 2007 | 5.15 | 17.77 | 3.45 | + |
| 2008 | -36.79 | 19.30 | -0.52 | + |
| 2009 | 26.35 | 12.02 | 0.46 | - |
| 2010 | 15.06 | 16.79 | 1.12 | + |
| 2011 | 1.89 | 17.72 | 9.35 | + |
| 2012 | 15.99 | 3.49 | 0.22 | - |
| 2013 | 32.31 | 26.60 | 0.82 | - |
| 2014 | 13.46 | 14.85 | 1.10 | + |
| 2015 | 1.23 | -4.00 | -3.24 | - |
| 2016 | 12.00 | -4.48 | -0.37 | - |
| 2017 | 21.71 | 23.79 | 1.10 | + |
| 2018 | -4.57 | -3.52 | 0.77 | + |
| 2019 | 31.22 | 18.43 | 0.59 | - |
| 2020 | 18.33 | 27.02 | 1.47 | + |
| 2021 | 28.73 | 9.83 | 0.34 | - |
| 2022 | -18.18 | -6.62 | 0.36 | + |
| 2023 | 26.18 | 15.83 | 0.60 | - |
| 2024 | 24.89 | 14.62 | 0.59 | - |
| 2025 | 17.72 | 30.97 | 1.75 | + |
| 2026 | 8.94 | -7.86 | -0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2017-03-31 | -14.71 | 763 |
| 2026-03-31 | 2026-07-31 | -13.09 | 123 |
| 2009-01-31 | 2009-08-31 | -10.87 | 213 |
| 1996-02-29 | 1996-08-31 | -10.62 | 185 |
| 2018-09-30 | 2019-07-31 | -10.44 | 305 |
| 2008-03-31 | 2008-10-31 | -10.43 | 215 |
| 2004-04-30 | 2005-10-31 | -10.41 | 550 |
| 2006-05-31 | 2007-07-31 | -9.60 | 427 |
| 2021-12-31 | 2023-02-28 | -8.48 | 425 |
| 2023-08-31 | 2023-11-30 | -8.16 | 92 |