| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,783.27% |
| CAGR﹪ | 10.76% | 10.56% |
| Sharpe | 0.77 | 1.01 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.99 |
| Sortino | 1.18 | 1.67 |
| Smart Sortino | 1.16 | 1.63 |
| Sortino/√2 | 0.84 | 1.18 |
| Smart Sortino/√2 | 0.82 | 1.15 |
| Omega | 1.76 | 2.23 |
| Max Drawdown | -50.78% | -21.74% |
| Max DD Date | 2009-02-28 | 2023-02-28 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-05-31 |
| Longest DD Days | 2223 | 943 |
| Volatility (ann.) | 14.76% | 10.55% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.49 |
| Skew | -0.55 | -0.47 |
| Kurtosis | 0.98 | 1.87 |
| Ulcer Performance Index | 211.25 | 476.72 |
| Risk-Adjusted Return | 754.56% | 722.53% |
| Risk-Return Ratio | 0.22 | 0.29 |
| Avg. Return | 0.95% | 0.89% |
| Avg. Win | 3.38% | 2.46% |
| Avg. Loss | -3.11% | -2.81% |
| Win/Loss Ratio | 1.08 | 0.88 |
| Profit Ratio | 0.5 | 0.27 |
| Expected Daily | 0.85% | 0.84% |
| Expected Monthly | 0.85% | 0.84% |
| Expected Yearly | 10.59% | 10.39% |
| Kelly Criterion | 32.9% | 44.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.12% |
| Expected Shortfall (cVaR) | -8.96% | -6.27% |
| Max Consecutive Wins | 15 | 18 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.23 |
| Gain/Pain (1M) | 0.76 | 1.23 |
| Payoff Ratio | 1.08 | 0.88 |
| Profit Factor | 1.76 | 2.23 |
| Common Sense Ratio | 1.85 | 2.8 |
| CPC Index | 1.24 | 1.45 |
| Tail Ratio | 1.05 | 1.26 |
| Outlier Win Ratio | 2.95 | 3.37 |
| Outlier Loss Ratio | 2.93 | 2.84 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 3.29% |
| 6M | 8.94% | -1.23% |
| YTD | 8.94% | -1.23% |
| 1Y | 20.92% | 9.64% |
| 3Y (ann.) | 18.77% | 10.06% |
| 5Y (ann.) | 12.51% | 5.78% |
| 10Y (ann.) | 15.13% | 9.22% |
| All-time (ann.) | 10.76% | 10.56% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 37.98% |
| Worst Year | -36.79% | -19.92% |
| Avg. Drawdown | -6.27% | -4.29% |
| Avg. Drawdown Days | 122 | 118 |
| Recovery Factor | 7.49 | 16.39 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 12.1 |
| Avg. Up Month | 3.38% | 2.46% |
| Avg. Down Month | -3.11% | -2.81% |
| Win Days | 65.09% | 74.13% |
| Win Month | 65.09% | 74.13% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.51 |
| Alpha | - | 0.05 |
| Correlation | - | 71.23% |
| Treynor Ratio | - | 5465.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.71 | 1.00 | - |
| 1994 | 0.40 | -2.26 | -5.69 | - |
| 1995 | 38.05 | 37.98 | 1.00 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 12.59 | 0.44 | - |
| 1999 | 20.39 | 13.45 | 0.66 | - |
| 2000 | -9.74 | -0.09 | 0.01 | + |
| 2001 | -11.76 | 3.32 | -0.28 | + |
| 2002 | -21.58 | -4.55 | 0.21 | + |
| 2003 | 28.18 | 22.95 | 0.81 | - |
| 2004 | 10.70 | 10.70 | 1.00 | - |
| 2005 | 4.83 | 4.83 | 1.00 | - |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 5.15 | 1.00 | - |
| 2008 | -36.79 | 1.29 | -0.03 | + |
| 2009 | 26.35 | 22.38 | 0.85 | - |
| 2010 | 15.06 | 9.09 | 0.60 | - |
| 2011 | 1.89 | -1.95 | -1.03 | - |
| 2012 | 15.99 | 15.93 | 1.00 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | -4.35 | -3.53 | - |
| 2016 | 12.00 | 10.49 | 0.87 | - |
| 2017 | 21.71 | 21.71 | 1.00 | - |
| 2018 | -4.57 | -6.22 | 1.36 | - |
| 2019 | 31.22 | 10.40 | 0.33 | - |
| 2020 | 18.33 | 14.45 | 0.79 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -19.92 | 1.10 | - |
| 2023 | 26.18 | 9.40 | 0.36 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 12.39 | 0.70 | - |
| 2026 | 8.94 | -1.23 | -0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -21.74 | 852 |
| 2018-10-31 | 2020-10-31 | -15.57 | 732 |
| 1998-07-31 | 1999-02-28 | -15.28 | 213 |
| 2011-05-31 | 2012-02-29 | -10.02 | 275 |
| 2010-05-31 | 2010-11-30 | -7.98 | 184 |
| 2015-08-31 | 2016-10-31 | -7.50 | 428 |
| 1994-02-28 | 1995-01-31 | -6.98 | 338 |
| 2025-02-28 | 2025-06-30 | -6.77 | 123 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |
| 2000-01-31 | 2000-02-29 | -6.43 | 30 |