| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,215.35% |
| CAGR﹪ | 10.76% | 8.0% |
| Sharpe | 0.77 | 0.79 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.76 |
| Sortino | 1.18 | 1.32 |
| Smart Sortino | 1.14 | 1.27 |
| Sortino/√2 | 0.84 | 0.93 |
| Smart Sortino/√2 | 0.8 | 0.9 |
| Omega | 1.76 | 2.2 |
| Max Drawdown | -50.78% | -30.08% |
| 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 | 2010-11-30 |
| Longest DD Days | 2223 | 1310 |
| Volatility (ann.) | 14.76% | 10.45% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.27 |
| Skew | -0.55 | -0.01 |
| Kurtosis | 0.98 | 3.49 |
| Ulcer Performance Index | 211.25 | 212.2 |
| Risk-Adjusted Return | 754.56% | 402.91% |
| Risk-Return Ratio | 0.22 | 0.23 |
| Avg. Return | 0.95% | 0.69% |
| Avg. Win | 3.4% | 1.94% |
| Avg. Loss | -3.55% | -3.34% |
| Win/Loss Ratio | 0.96 | 0.58 |
| Profit Ratio | 0.5 | 0.12 |
| Expected Daily | 0.85% | 0.64% |
| Expected Monthly | 0.85% | 0.64% |
| Expected Yearly | 10.59% | 7.87% |
| Kelly Criterion | 28.56% | 47.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.27% |
| Expected Shortfall (cVaR) | -8.96% | -7.0% |
| Max Consecutive Wins | 15 | 24 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.2 |
| Gain/Pain (1M) | 0.76 | 1.2 |
| Payoff Ratio | 0.96 | 0.58 |
| Profit Factor | 1.76 | 2.2 |
| Common Sense Ratio | 1.85 | 3.21 |
| CPC Index | 1.09 | 1.03 |
| Tail Ratio | 1.05 | 1.46 |
| Outlier Win Ratio | 2.95 | 6.2 |
| Outlier Loss Ratio | 2.93 | 2.92 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 11.36% |
| 6M | 8.94% | 6.5% |
| YTD | 8.94% | 6.5% |
| 1Y | 20.92% | 8.2% |
| 3Y (ann.) | 18.77% | 10.24% |
| 5Y (ann.) | 12.51% | 6.08% |
| 10Y (ann.) | 15.13% | 8.17% |
| All-time (ann.) | 10.76% | 8.0% |
| Best Day | 12.7% | 12.7% |
| Worst Day | -16.52% | -12.49% |
| Best Month | 12.7% | 12.7% |
| Worst Month | -16.52% | -12.49% |
| Best Year | 38.05% | 32.33% |
| Worst Year | -36.79% | -12.53% |
| Avg. Drawdown | -6.27% | -5.99% |
| Avg. Drawdown Days | 122 | 258 |
| Recovery Factor | 7.49 | 9.2 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 9.55 |
| Avg. Up Month | 3.4% | 1.94% |
| Avg. Down Month | -3.55% | -3.34% |
| Win Days | 65.09% | 80.85% |
| Win Month | 65.09% | 80.85% |
| Win Quarter | 73.33% | 80.0% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.49 |
| Alpha | - | 0.03 |
| Correlation | - | 69.89% |
| Treynor Ratio | - | 2456.49% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 2.25 | 0.26 | - |
| 1994 | 0.40 | -3.85 | -9.70 | - |
| 1995 | 38.05 | 23.97 | 0.63 | - |
| 1996 | 22.50 | 14.64 | 0.65 | - |
| 1997 | 33.48 | 18.05 | 0.54 | - |
| 1998 | 28.69 | 32.33 | 1.13 | + |
| 1999 | 20.39 | 18.99 | 0.93 | - |
| 2000 | -9.74 | -6.20 | 0.64 | + |
| 2001 | -11.76 | 6.46 | -0.55 | + |
| 2002 | -21.58 | -4.51 | 0.21 | + |
| 2003 | 28.18 | 11.47 | 0.41 | - |
| 2004 | 10.70 | 8.31 | 0.78 | - |
| 2005 | 4.83 | 1.71 | 0.35 | - |
| 2006 | 15.85 | 12.14 | 0.77 | - |
| 2007 | 5.15 | 2.01 | 0.39 | - |
| 2008 | -36.79 | -10.16 | 0.28 | + |
| 2009 | 26.35 | 5.53 | 0.21 | - |
| 2010 | 15.06 | 14.17 | 0.94 | - |
| 2011 | 1.89 | 9.56 | 5.04 | + |
| 2012 | 15.99 | 13.52 | 0.85 | - |
| 2013 | 32.31 | 18.87 | 0.58 | - |
| 2014 | 13.46 | 4.86 | 0.36 | - |
| 2015 | 1.23 | 0.39 | 0.32 | - |
| 2016 | 12.00 | 7.66 | 0.64 | - |
| 2017 | 21.71 | 12.04 | 0.55 | - |
| 2018 | -4.57 | -6.71 | 1.47 | - |
| 2019 | 31.22 | 27.16 | 0.87 | - |
| 2020 | 18.33 | 4.34 | 0.24 | - |
| 2021 | 28.73 | 16.12 | 0.56 | - |
| 2022 | -18.18 | -12.53 | 0.69 | + |
| 2023 | 26.18 | 27.73 | 1.06 | + |
| 2024 | 24.89 | 12.18 | 0.49 | - |
| 2025 | 17.72 | -2.98 | -0.17 | - |
| 2026 | 8.94 | 6.50 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-11-30 | -30.08 | 1097 |
| 2020-01-31 | 2020-10-31 | -19.45 | 275 |
| 2000-04-30 | 2003-11-30 | -18.50 | 1310 |
| 2022-01-31 | 2023-10-31 | -12.99 | 639 |
| 2018-02-28 | 2019-02-28 | -11.69 | 366 |
| 2025-02-28 | 2026-04-30 | -9.65 | 427 |
| 1994-02-28 | 1995-02-28 | -7.77 | 366 |
| 2015-03-31 | 2016-10-31 | -7.00 | 581 |
| 2000-01-31 | 2000-02-29 | -6.43 | 30 |
| 1997-03-31 | 1997-03-31 | -4.41 | 1 |