| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,060.85% |
| CAGR﹪ | 10.76% | 7.59% |
| Sharpe | 0.77 | 1.07 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 0.97 |
| Sortino | 1.18 | 1.86 |
| Smart Sortino | 1.07 | 1.68 |
| Sortino/√2 | 0.84 | 1.32 |
| Smart Sortino/√2 | 0.75 | 1.19 |
| Omega | 1.76 | 2.29 |
| Max Drawdown | -50.78% | -9.02% |
| Max DD Date | 2009-02-28 | 1998-08-31 |
| Max DD Period Start | 2007-11-30 | 1998-07-31 |
| Max DD Period End | 2012-02-29 | 1999-10-31 |
| Longest DD Days | 2223 | 458 |
| Volatility (ann.) | 14.76% | 7.07% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.21 | 0.84 |
| Skew | -0.55 | -0.21 |
| Kurtosis | 0.98 | 1.38 |
| Ulcer Performance Index | 211.25 | 449.18 |
| Risk-Adjusted Return | 754.56% | 365.02% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.64% |
| Avg. Win | 3.32% | 1.84% |
| Avg. Loss | -3.48% | -1.89% |
| Win/Loss Ratio | 0.95 | 0.97 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.61% |
| Expected Monthly | 0.85% | 0.61% |
| Expected Yearly | 10.59% | 7.48% |
| Kelly Criterion | 28.43% | 36.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.72% |
| Expected Shortfall (cVaR) | -8.96% | -3.85% |
| Max Consecutive Wins | 15 | 16 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.29 |
| Gain/Pain (1M) | 0.76 | 1.29 |
| Payoff Ratio | 0.95 | 0.97 |
| Profit Factor | 1.76 | 2.29 |
| Common Sense Ratio | 1.85 | 3.12 |
| CPC Index | 1.09 | 1.53 |
| Tail Ratio | 1.05 | 1.36 |
| Outlier Win Ratio | 2.95 | 3.42 |
| Outlier Loss Ratio | 2.93 | 2.89 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 10.34% |
| 6M | 8.94% | 8.56% |
| YTD | 8.94% | 8.56% |
| 1Y | 20.92% | 13.83% |
| 3Y (ann.) | 18.77% | 7.73% |
| 5Y (ann.) | 12.51% | 6.15% |
| 10Y (ann.) | 15.13% | 7.31% |
| All-time (ann.) | 10.76% | 7.59% |
| Best Day | 12.7% | 7.76% |
| Worst Day | -16.52% | -8.46% |
| Best Month | 12.7% | 7.76% |
| Worst Month | -16.52% | -8.46% |
| Best Year | 38.05% | 25.64% |
| Worst Year | -36.79% | -3.31% |
| Avg. Drawdown | -6.27% | -2.8% |
| Avg. Drawdown Days | 122 | 80 |
| Recovery Factor | 7.49 | 28.18 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 35.18 |
| Avg. Up Month | 3.32% | 1.84% |
| Avg. Down Month | -3.48% | -1.89% |
| Win Days | 65.09% | 68.91% |
| Win Month | 65.09% | 68.91% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.3 |
| Alpha | - | 0.04 |
| Correlation | - | 61.84% |
| Treynor Ratio | - | 3581.45% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.01 | 0.81 | - |
| 1994 | 0.40 | 2.21 | 5.56 | + |
| 1995 | 38.05 | 25.64 | 0.67 | - |
| 1996 | 22.50 | 11.63 | 0.52 | - |
| 1997 | 33.48 | 22.88 | 0.68 | - |
| 1998 | 28.69 | 4.54 | 0.16 | - |
| 1999 | 20.39 | 10.89 | 0.53 | - |
| 2000 | -9.74 | 0.13 | -0.01 | + |
| 2001 | -11.76 | 5.66 | -0.48 | + |
| 2002 | -21.58 | -2.66 | 0.12 | + |
| 2003 | 28.18 | 12.76 | 0.45 | - |
| 2004 | 10.70 | 4.50 | 0.42 | - |
| 2005 | 4.83 | 3.38 | 0.70 | - |
| 2006 | 15.85 | 6.76 | 0.43 | - |
| 2007 | 5.15 | 10.68 | 2.08 | + |
| 2008 | -36.79 | 10.60 | -0.29 | + |
| 2009 | 26.35 | 4.71 | 0.18 | - |
| 2010 | 15.06 | 3.02 | 0.20 | - |
| 2011 | 1.89 | 5.08 | 2.68 | + |
| 2012 | 15.99 | 9.21 | 0.58 | - |
| 2013 | 32.31 | 11.79 | 0.36 | - |
| 2014 | 13.46 | 9.51 | 0.71 | - |
| 2015 | 1.23 | 4.97 | 4.02 | + |
| 2016 | 12.00 | -2.63 | -0.22 | - |
| 2017 | 21.71 | 12.88 | 0.59 | - |
| 2018 | -4.57 | -3.31 | 0.72 | + |
| 2019 | 31.22 | 21.84 | 0.70 | - |
| 2020 | 18.33 | 7.02 | 0.38 | - |
| 2021 | 28.73 | 11.38 | 0.40 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 4.67 | 0.18 | - |
| 2024 | 24.89 | 5.32 | 0.21 | - |
| 2025 | 17.72 | 8.11 | 0.46 | - |
| 2026 | 8.94 | 8.56 | 0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-07-31 | 1999-10-31 | -9.02 | 458 |
| 2002-06-30 | 2003-04-30 | -8.80 | 305 |
| 2020-02-29 | 2020-04-30 | -8.76 | 62 |
| 2018-09-30 | 2019-02-28 | -7.90 | 152 |
| 2023-05-31 | 2024-02-29 | -6.68 | 275 |
| 2010-05-31 | 2011-01-31 | -6.54 | 246 |
| 2000-09-30 | 2001-06-30 | -6.40 | 274 |
| 2009-01-31 | 2009-07-31 | -6.37 | 182 |
| 2024-10-31 | 2025-07-31 | -5.91 | 274 |
| 2016-08-31 | 2017-04-30 | -5.80 | 243 |