| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 9,225.05% |
| CAGR﹪ | 10.76% | 14.5% |
| Sharpe | 0.77 | 0.88 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.85 |
| Sortino | 1.18 | 1.55 |
| Smart Sortino | 1.15 | 1.5 |
| Sortino/√2 | 0.84 | 1.09 |
| Smart Sortino/√2 | 0.81 | 1.06 |
| Omega | 1.76 | 2.1 |
| Max Drawdown | -50.78% | -33.18% |
| Max DD Date | 2009-02-28 | 2003-01-31 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2007-04-30 |
| Longest DD Days | 2223 | 2557 |
| Volatility (ann.) | 14.76% | 17.2% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.21 | 0.44 |
| Skew | -0.55 | 0.23 |
| Kurtosis | 0.98 | 2.34 |
| Ulcer Performance Index | 211.25 | 742.88 |
| Risk-Adjusted Return | 754.56% | 1616.75% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.93% | 1.27% |
| Avg. Win | 3.54% | 4.22% |
| Avg. Loss | -3.6% | -4.21% |
| Win/Loss Ratio | 0.98 | 1.0 |
| Profit Ratio | 0.5 | 0.59 |
| Expected Daily | 0.85% | 1.13% |
| Expected Monthly | 0.85% | 1.13% |
| Expected Yearly | 10.59% | 14.27% |
| Kelly Criterion | 29.56% | 30.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -6.91% |
| Expected Shortfall (cVaR) | -8.96% | -9.6% |
| Max Consecutive Wins | 15 | 26 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.1 |
| Gain/Pain (1M) | 0.76 | 1.1 |
| Payoff Ratio | 0.98 | 1.0 |
| Profit Factor | 1.76 | 2.1 |
| Common Sense Ratio | 1.85 | 2.86 |
| CPC Index | 1.13 | 1.37 |
| Tail Ratio | 1.05 | 1.36 |
| Outlier Win Ratio | 2.95 | 4.26 |
| Outlier Loss Ratio | 2.93 | 3.72 |
| MTD | -1.05% | -7.08% |
| 3M | 13.91% | 2.67% |
| 6M | 8.94% | -3.41% |
| YTD | 8.94% | -3.41% |
| 1Y | 20.92% | 7.83% |
| 3Y (ann.) | 18.77% | 12.54% |
| 5Y (ann.) | 12.51% | 9.22% |
| 10Y (ann.) | 15.13% | 16.52% |
| All-time (ann.) | 10.76% | 14.5% |
| Best Day | 12.7% | 24.32% |
| Worst Day | -16.52% | -17.2% |
| Best Month | 12.7% | 24.32% |
| Worst Month | -16.52% | -17.2% |
| Best Year | 38.05% | 98.68% |
| Worst Year | -36.79% | -23.83% |
| Avg. Drawdown | -6.27% | -6.64% |
| Avg. Drawdown Days | 122 | 141 |
| Recovery Factor | 7.49 | 15.21 |
| Ulcer Index | 0.14 | 0.12 |
| Serenity Index | 3.21 | 7.77 |
| Avg. Up Month | 3.54% | 4.22% |
| Avg. Down Month | -3.6% | -4.21% |
| Win Days | 65.09% | 65.16% |
| Win Month | 65.09% | 65.16% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 73.53% |
| Beta | - | 0.69 |
| Alpha | - | 0.07 |
| Correlation | - | 59.44% |
| Treynor Ratio | - | 13318.07% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.48 | 0.86 | - |
| 1994 | 0.40 | -1.06 | -2.68 | - |
| 1995 | 38.05 | 42.54 | 1.12 | + |
| 1996 | 22.50 | 36.94 | 1.64 | + |
| 1997 | 33.48 | 20.63 | 0.62 | - |
| 1998 | 28.69 | 57.31 | 2.00 | + |
| 1999 | 20.39 | 98.68 | 4.84 | + |
| 2000 | -9.74 | -13.06 | 1.34 | - |
| 2001 | -11.76 | 3.32 | -0.28 | + |
| 2002 | -21.58 | -10.86 | 0.50 | + |
| 2003 | 28.18 | 33.10 | 1.17 | + |
| 2004 | 10.70 | -0.49 | -0.05 | - |
| 2005 | 4.83 | -2.21 | -0.46 | - |
| 2006 | 15.85 | 8.04 | 0.51 | - |
| 2007 | 5.15 | 19.03 | 3.70 | + |
| 2008 | -36.79 | -19.85 | 0.54 | + |
| 2009 | 26.35 | 30.02 | 1.14 | + |
| 2010 | 15.06 | 10.71 | 0.71 | - |
| 2011 | 1.89 | -2.13 | -1.12 | - |
| 2012 | 15.99 | 16.33 | 1.02 | + |
| 2013 | 32.31 | 32.81 | 1.02 | + |
| 2014 | 13.46 | 19.18 | 1.42 | + |
| 2015 | 1.23 | 0.22 | 0.17 | - |
| 2016 | 12.00 | 1.62 | 0.14 | - |
| 2017 | 21.71 | 32.66 | 1.50 | + |
| 2018 | -4.57 | 9.93 | -2.17 | + |
| 2019 | 31.22 | 24.10 | 0.77 | - |
| 2020 | 18.33 | 28.79 | 1.57 | + |
| 2021 | 28.73 | 27.42 | 0.95 | - |
| 2022 | -18.18 | -23.83 | 1.31 | - |
| 2023 | 26.18 | 40.22 | 1.54 | + |
| 2024 | 24.89 | 25.58 | 1.03 | + |
| 2025 | 17.72 | 9.65 | 0.54 | - |
| 2026 | 8.94 | -3.41 | -0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2007-04-30 | -33.18 | 2557 |
| 2007-11-30 | 2010-02-28 | -25.63 | 822 |
| 2022-01-31 | 2023-10-31 | -24.85 | 639 |
| 2015-08-31 | 2017-01-31 | -17.25 | 520 |
| 1998-08-31 | 1998-11-30 | -17.20 | 92 |
| 1997-02-28 | 1997-04-30 | -13.51 | 62 |
| 2020-02-29 | 2020-06-30 | -13.01 | 123 |
| 1994-02-28 | 1995-01-31 | -12.97 | 338 |
| 1997-08-31 | 1998-01-31 | -10.50 | 154 |
| 2025-02-28 | 2025-08-31 | -10.08 | 185 |