| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,026.25% |
| CAGR﹪ | 10.76% | 9.55% |
| Sharpe | 0.77 | 0.75 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.73 |
| Sortino | 1.18 | 1.13 |
| Smart Sortino | 1.16 | 1.1 |
| Sortino/√2 | 0.84 | 0.8 |
| Smart Sortino/√2 | 0.82 | 0.78 |
| Omega | 1.76 | 1.73 |
| Max Drawdown | -50.78% | -47.44% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2011-03-31 |
| Longest DD Days | 2223 | 1676 |
| Volatility (ann.) | 14.76% | 13.49% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.21 | 0.2 |
| Skew | -0.55 | -0.65 |
| Kurtosis | 0.98 | 1.42 |
| Ulcer Performance Index | 211.25 | 177.65 |
| Risk-Adjusted Return | 754.56% | 579.57% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.95% | 0.84% |
| Avg. Win | 3.47% | 3.12% |
| Avg. Loss | -3.76% | -3.49% |
| Win/Loss Ratio | 0.92 | 0.9 |
| Profit Ratio | 0.5 | 0.51 |
| Expected Daily | 0.85% | 0.76% |
| Expected Monthly | 0.85% | 0.76% |
| Expected Yearly | 10.59% | 9.41% |
| Kelly Criterion | 27.33% | 25.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.57% |
| Expected Shortfall (cVaR) | -8.96% | -8.21% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.73 |
| Gain/Pain (1M) | 0.76 | 0.73 |
| Payoff Ratio | 0.92 | 0.9 |
| Profit Factor | 1.76 | 1.73 |
| Common Sense Ratio | 1.85 | 1.74 |
| CPC Index | 1.06 | 1.01 |
| Tail Ratio | 1.05 | 1.01 |
| Outlier Win Ratio | 2.95 | 2.91 |
| Outlier Loss Ratio | 2.93 | 2.79 |
| MTD | -1.05% | -1.69% |
| 3M | 13.91% | 10.94% |
| 6M | 8.94% | 9.06% |
| YTD | 8.94% | 9.06% |
| 1Y | 20.92% | 20.4% |
| 3Y (ann.) | 18.77% | 16.44% |
| 5Y (ann.) | 12.51% | 9.61% |
| 10Y (ann.) | 15.13% | 12.04% |
| All-time (ann.) | 10.76% | 9.55% |
| Best Day | 12.7% | 10.96% |
| Worst Day | -16.52% | -16.37% |
| Best Month | 12.7% | 10.96% |
| Worst Month | -16.52% | -16.37% |
| Best Year | 38.05% | 31.41% |
| Worst Year | -36.79% | -33.7% |
| Avg. Drawdown | -6.27% | -5.87% |
| Avg. Drawdown Days | 122 | 118 |
| Recovery Factor | 7.49 | 7.12 |
| Ulcer Index | 0.14 | 0.11 |
| Serenity Index | 3.21 | 3.72 |
| Avg. Up Month | 3.47% | 3.12% |
| Avg. Down Month | -3.76% | -3.49% |
| Win Days | 65.09% | 64.93% |
| Win Month | 65.09% | 64.93% |
| Win Quarter | 73.33% | 70.37% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.88 |
| Alpha | - | 0.0 |
| Correlation | - | 96.37% |
| Treynor Ratio | - | 2300.45% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 16.13 | 1.85 | + |
| 1994 | 0.40 | 1.82 | 4.57 | + |
| 1995 | 38.05 | 26.10 | 0.69 | - |
| 1996 | 22.50 | 14.67 | 0.65 | - |
| 1997 | 33.48 | 19.79 | 0.59 | - |
| 1998 | 28.69 | 20.43 | 0.71 | - |
| 1999 | 20.39 | 24.08 | 1.18 | + |
| 2000 | -9.74 | -9.61 | 0.99 | + |
| 2001 | -11.76 | -9.92 | 0.84 | + |
| 2002 | -21.58 | -15.28 | 0.71 | + |
| 2003 | 28.18 | 31.41 | 1.11 | + |
| 2004 | 10.70 | 14.66 | 1.37 | + |
| 2005 | 4.83 | 8.98 | 1.86 | + |
| 2006 | 15.85 | 18.08 | 1.14 | + |
| 2007 | 5.15 | 9.11 | 1.77 | + |
| 2008 | -36.79 | -33.70 | 0.92 | + |
| 2009 | 26.35 | 30.54 | 1.16 | + |
| 2010 | 15.06 | 15.44 | 1.03 | + |
| 2011 | 1.89 | -2.85 | -1.51 | - |
| 2012 | 15.99 | 15.86 | 0.99 | - |
| 2013 | 32.31 | 23.73 | 0.73 | - |
| 2014 | 13.46 | 6.53 | 0.48 | - |
| 2015 | 1.23 | -0.81 | -0.66 | - |
| 2016 | 12.00 | 9.51 | 0.79 | - |
| 2017 | 21.71 | 21.26 | 0.98 | - |
| 2018 | -4.57 | -7.40 | 1.62 | - |
| 2019 | 31.22 | 25.76 | 0.82 | - |
| 2020 | 18.33 | 17.20 | 0.94 | - |
| 2021 | 28.73 | 17.65 | 0.61 | - |
| 2022 | -18.18 | -17.58 | 0.97 | + |
| 2023 | 26.18 | 20.94 | 0.80 | - |
| 2024 | 24.89 | 15.72 | 0.63 | - |
| 2025 | 17.72 | 20.70 | 1.17 | + |
| 2026 | 8.94 | 9.06 | 1.01 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2011-03-31 | -47.44 | 1218 |
| 2000-04-30 | 2004-11-30 | -37.45 | 1676 |
| 2022-01-31 | 2024-01-31 | -24.19 | 731 |
| 2020-01-31 | 2020-06-30 | -19.62 | 152 |
| 2011-05-31 | 2012-08-31 | -17.64 | 459 |
| 1998-07-31 | 1998-10-31 | -14.16 | 93 |
| 2018-10-31 | 2019-03-31 | -11.89 | 152 |
| 2015-06-30 | 2016-06-30 | -10.63 | 367 |
| 1994-02-28 | 1994-07-31 | -5.76 | 154 |
| 2026-03-31 | 2026-03-31 | -5.53 | 1 |