| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,563.78% |
| CAGR﹪ | 10.76% | 8.76% |
| Sharpe | 0.77 | 0.98 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.94 |
| Sortino | 1.18 | 1.59 |
| Smart Sortino | 1.13 | 1.51 |
| Sortino/√2 | 0.84 | 1.12 |
| Smart Sortino/√2 | 0.8 | 1.07 |
| Omega | 1.76 | 2.05 |
| Max Drawdown | -50.78% | -28.17% |
| 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 | 2010-08-31 |
| Longest DD Days | 2223 | 1188 |
| Volatility (ann.) | 14.76% | 8.99% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.31 |
| Skew | -0.55 | -0.49 |
| Kurtosis | 0.98 | 0.9 |
| Ulcer Performance Index | 211.25 | 261.65 |
| Risk-Adjusted Return | 754.56% | 482.72% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.95% | 0.74% |
| Avg. Win | 3.51% | 2.28% |
| Avg. Loss | -4.04% | -2.3% |
| Win/Loss Ratio | 0.87 | 0.99 |
| Profit Ratio | 0.5 | 0.5 |
| Expected Daily | 0.85% | 0.7% |
| Expected Monthly | 0.85% | 0.7% |
| Expected Yearly | 10.59% | 8.62% |
| Kelly Criterion | 24.86% | 33.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.53% |
| Expected Shortfall (cVaR) | -8.96% | -4.9% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.05 |
| Gain/Pain (1M) | 0.76 | 1.05 |
| Payoff Ratio | 0.87 | 0.99 |
| Profit Factor | 1.76 | 2.05 |
| Common Sense Ratio | 1.85 | 2.53 |
| CPC Index | 0.99 | 1.36 |
| Tail Ratio | 1.05 | 1.23 |
| Outlier Win Ratio | 2.95 | 3.07 |
| Outlier Loss Ratio | 2.93 | 3.18 |
| MTD | -1.05% | -1.15% |
| 3M | 13.91% | 7.65% |
| 6M | 8.94% | 4.81% |
| YTD | 8.94% | 4.81% |
| 1Y | 20.92% | 12.85% |
| 3Y (ann.) | 18.77% | 12.41% |
| 5Y (ann.) | 12.51% | 6.98% |
| 10Y (ann.) | 15.13% | 9.5% |
| All-time (ann.) | 10.76% | 8.76% |
| Best Day | 12.7% | 7.76% |
| Worst Day | -16.52% | -9.77% |
| Best Month | 12.7% | 7.76% |
| Worst Month | -16.52% | -9.77% |
| Best Year | 38.05% | 30.84% |
| Worst Year | -36.79% | -16.73% |
| Avg. Drawdown | -6.27% | -3.55% |
| Avg. Drawdown Days | 122 | 93 |
| Recovery Factor | 7.49 | 10.49 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 7.66 |
| Avg. Up Month | 3.51% | 2.28% |
| Avg. Down Month | -4.04% | -2.3% |
| Win Days | 65.09% | 66.92% |
| Win Month | 65.09% | 66.92% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.58 |
| Alpha | - | 0.02 |
| Correlation | - | 95.96% |
| Treynor Ratio | - | 2676.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.09 | 0.81 | - |
| 1994 | 0.40 | -1.52 | -3.83 | - |
| 1995 | 38.05 | 30.84 | 0.81 | - |
| 1996 | 22.50 | 13.99 | 0.62 | - |
| 1997 | 33.48 | 23.68 | 0.71 | - |
| 1998 | 28.69 | 22.01 | 0.77 | - |
| 1999 | 20.39 | 10.62 | 0.52 | - |
| 2000 | -9.74 | -0.15 | 0.02 | + |
| 2001 | -11.76 | -3.79 | 0.32 | + |
| 2002 | -21.58 | -7.73 | 0.36 | + |
| 2003 | 28.18 | 19.08 | 0.68 | - |
| 2004 | 10.70 | 8.24 | 0.77 | - |
| 2005 | 4.83 | 4.11 | 0.85 | - |
| 2006 | 15.85 | 10.46 | 0.66 | - |
| 2007 | 5.15 | 7.70 | 1.50 | + |
| 2008 | -36.79 | -16.73 | 0.45 | + |
| 2009 | 26.35 | 13.26 | 0.50 | - |
| 2010 | 15.06 | 13.45 | 0.89 | - |
| 2011 | 1.89 | 8.30 | 4.38 | + |
| 2012 | 15.99 | 11.26 | 0.70 | - |
| 2013 | 32.31 | 15.60 | 0.48 | - |
| 2014 | 13.46 | 11.96 | 0.89 | - |
| 2015 | 1.23 | 1.77 | 1.44 | + |
| 2016 | 12.00 | 7.79 | 0.65 | - |
| 2017 | 21.71 | 13.76 | 0.63 | - |
| 2018 | -4.57 | -1.96 | 0.43 | + |
| 2019 | 31.22 | 21.77 | 0.70 | - |
| 2020 | 18.33 | 16.91 | 0.92 | - |
| 2021 | 28.73 | 15.09 | 0.53 | - |
| 2022 | -18.18 | -16.39 | 0.90 | + |
| 2023 | 26.18 | 16.97 | 0.65 | - |
| 2024 | 24.89 | 14.24 | 0.57 | - |
| 2025 | 17.72 | 14.32 | 0.81 | - |
| 2026 | 8.94 | 4.81 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-08-31 | -28.17 | 1006 |
| 2000-09-30 | 2003-12-31 | -20.58 | 1188 |
| 2022-01-31 | 2024-01-31 | -20.27 | 731 |
| 2020-02-29 | 2020-04-30 | -8.76 | 62 |
| 1998-07-31 | 1998-09-30 | -8.06 | 62 |
| 2018-09-30 | 2019-02-28 | -6.88 | 152 |
| 1994-02-28 | 1995-01-31 | -6.46 | 338 |
| 2011-06-30 | 2011-09-30 | -5.48 | 93 |
| 2015-08-31 | 2015-09-30 | -4.40 | 31 |
| 2020-09-30 | 2020-10-31 | -4.04 | 32 |