| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,079.87% |
| CAGR﹪ | 10.76% | 9.64% |
| Sharpe | 0.77 | 0.86 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.85 |
| Sortino | 1.18 | 1.32 |
| Smart Sortino | 1.18 | 1.31 |
| Sortino/√2 | 0.84 | 0.94 |
| Smart Sortino/√2 | 0.83 | 0.93 |
| Omega | 1.76 | 1.87 |
| Max Drawdown | -50.78% | -39.13% |
| 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 | 1493 |
| Volatility (ann.) | 14.76% | 11.58% |
| R^2 | 0.97 | 0.97 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.25 |
| Skew | -0.55 | -0.62 |
| Kurtosis | 0.98 | 1.23 |
| Ulcer Performance Index | 211.25 | 238.33 |
| Risk-Adjusted Return | 754.56% | 590.27% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.95% | 0.83% |
| Avg. Win | 3.41% | 2.74% |
| Avg. Loss | -3.83% | -2.97% |
| Win/Loss Ratio | 0.89 | 0.92 |
| Profit Ratio | 0.5 | 0.45 |
| Expected Daily | 0.85% | 0.77% |
| Expected Monthly | 0.85% | 0.77% |
| Expected Yearly | 10.59% | 9.49% |
| Kelly Criterion | 25.88% | 31.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.67% |
| Expected Shortfall (cVaR) | -8.96% | -6.98% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.87 |
| Gain/Pain (1M) | 0.76 | 0.87 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 1.76 | 1.87 |
| Common Sense Ratio | 1.85 | 2.03 |
| CPC Index | 1.02 | 1.16 |
| Tail Ratio | 1.05 | 1.09 |
| Outlier Win Ratio | 2.95 | 3.09 |
| Outlier Loss Ratio | 2.93 | 2.74 |
| MTD | -1.05% | -1.35% |
| 3M | 13.91% | 10.26% |
| 6M | 8.94% | 6.99% |
| YTD | 8.94% | 6.99% |
| 1Y | 20.92% | 16.55% |
| 3Y (ann.) | 18.77% | 14.83% |
| 5Y (ann.) | 12.51% | 8.72% |
| 10Y (ann.) | 15.13% | 11.61% |
| All-time (ann.) | 10.76% | 9.64% |
| Best Day | 12.7% | 10.6% |
| Worst Day | -16.52% | -13.64% |
| Best Month | 12.7% | 10.6% |
| Worst Month | -16.52% | -13.64% |
| Best Year | 38.05% | 30.83% |
| Worst Year | -36.79% | -26.92% |
| Avg. Drawdown | -6.27% | -5.0% |
| Avg. Drawdown Days | 122 | 111 |
| Recovery Factor | 7.49 | 8.48 |
| Ulcer Index | 0.14 | 0.09 |
| Serenity Index | 3.21 | 5.24 |
| Avg. Up Month | 3.41% | 2.74% |
| Avg. Down Month | -3.83% | -2.97% |
| Win Days | 65.09% | 67.16% |
| Win Month | 65.09% | 67.16% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.77 |
| Alpha | - | 0.01 |
| Correlation | - | 98.5% |
| Treynor Ratio | - | 2691.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.35 | 1.07 | + |
| 1994 | 0.40 | -0.79 | -1.98 | - |
| 1995 | 38.05 | 30.83 | 0.81 | - |
| 1996 | 22.50 | 16.90 | 0.75 | - |
| 1997 | 33.48 | 26.80 | 0.80 | - |
| 1998 | 28.69 | 20.84 | 0.73 | - |
| 1999 | 20.39 | 18.56 | 0.91 | - |
| 2000 | -9.74 | -4.81 | 0.49 | + |
| 2001 | -11.76 | -3.96 | 0.34 | + |
| 2002 | -21.58 | -13.49 | 0.63 | + |
| 2003 | 28.18 | 23.83 | 0.85 | - |
| 2004 | 10.70 | 10.82 | 1.01 | + |
| 2005 | 4.83 | 5.47 | 1.13 | + |
| 2006 | 15.85 | 12.90 | 0.81 | - |
| 2007 | 5.15 | 6.24 | 1.21 | + |
| 2008 | -36.79 | -26.92 | 0.73 | + |
| 2009 | 26.35 | 22.98 | 0.87 | - |
| 2010 | 15.06 | 14.95 | 0.99 | - |
| 2011 | 1.89 | 3.34 | 1.76 | + |
| 2012 | 15.99 | 13.14 | 0.82 | - |
| 2013 | 32.31 | 23.66 | 0.73 | - |
| 2014 | 13.46 | 11.00 | 0.82 | - |
| 2015 | 1.23 | 0.67 | 0.54 | - |
| 2016 | 12.00 | 10.37 | 0.86 | - |
| 2017 | 21.71 | 16.73 | 0.77 | - |
| 2018 | -4.57 | -3.65 | 0.80 | + |
| 2019 | 31.22 | 25.07 | 0.80 | - |
| 2020 | 18.33 | 18.85 | 1.03 | + |
| 2021 | 28.73 | 18.37 | 0.64 | - |
| 2022 | -18.18 | -17.54 | 0.97 | + |
| 2023 | 26.18 | 20.84 | 0.80 | - |
| 2024 | 24.89 | 17.97 | 0.72 | - |
| 2025 | 17.72 | 14.91 | 0.84 | - |
| 2026 | 8.94 | 6.99 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-11-30 | -39.13 | 1097 |
| 2000-09-30 | 2004-10-31 | -29.55 | 1493 |
| 2022-01-31 | 2023-12-31 | -22.05 | 700 |
| 2020-02-29 | 2020-06-30 | -15.42 | 123 |
| 1998-07-31 | 1998-10-31 | -12.71 | 93 |
| 2011-05-31 | 2012-01-31 | -12.14 | 246 |
| 2018-10-31 | 2019-03-31 | -10.37 | 152 |
| 1994-02-28 | 1995-01-31 | -6.75 | 338 |
| 2015-06-30 | 2016-04-30 | -6.51 | 306 |
| 2000-04-30 | 2000-07-31 | -6.50 | 93 |