| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,386.12% |
| CAGR﹪ | 10.76% | 11.18% |
| Sharpe | 0.77 | 0.86 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.85 |
| Sortino | 1.18 | 1.47 |
| Smart Sortino | 1.16 | 1.44 |
| Sortino/√2 | 0.84 | 1.04 |
| Smart Sortino/√2 | 0.82 | 1.02 |
| Omega | 1.76 | 1.93 |
| Max Drawdown | -50.78% | -28.0% |
| Max DD Date | 2009-02-28 | 2016-11-30 |
| Max DD Period Start | 2007-11-30 | 2015-02-28 |
| Max DD Period End | 2012-02-29 | 2020-06-30 |
| Longest DD Days | 2223 | 1950 |
| Volatility (ann.) | 14.76% | 13.36% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.21 | 0.4 |
| Skew | -0.55 | -0.02 |
| Kurtosis | 0.98 | 1.25 |
| Ulcer Performance Index | 211.25 | 380.98 |
| Risk-Adjusted Return | 754.56% | 826.49% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.95% | 0.97% |
| Avg. Win | 3.34% | 2.98% |
| Avg. Loss | -3.6% | -3.44% |
| Win/Loss Ratio | 0.93 | 0.87 |
| Profit Ratio | 0.5 | 0.6 |
| Expected Daily | 0.85% | 0.89% |
| Expected Monthly | 0.85% | 0.89% |
| Expected Yearly | 10.59% | 11.01% |
| Kelly Criterion | 27.46% | 22.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.38% |
| Expected Shortfall (cVaR) | -8.96% | -7.7% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.93 |
| Gain/Pain (1M) | 0.76 | 0.93 |
| Payoff Ratio | 0.93 | 0.87 |
| Profit Factor | 1.76 | 1.93 |
| Common Sense Ratio | 1.85 | 2.58 |
| CPC Index | 1.06 | 1.07 |
| Tail Ratio | 1.05 | 1.34 |
| Outlier Win Ratio | 2.95 | 3.87 |
| Outlier Loss Ratio | 2.93 | 3.55 |
| MTD | -1.05% | -1.1% |
| 3M | 13.91% | -8.14% |
| 6M | 8.94% | -0.27% |
| YTD | 8.94% | -0.27% |
| 1Y | 20.92% | 23.34% |
| 3Y (ann.) | 18.77% | 22.27% |
| 5Y (ann.) | 12.51% | 9.81% |
| 10Y (ann.) | 15.13% | 8.91% |
| All-time (ann.) | 10.76% | 11.18% |
| Best Day | 12.7% | 14.28% |
| Worst Day | -16.52% | -13.07% |
| Best Month | 12.7% | 14.28% |
| Worst Month | -16.52% | -13.07% |
| Best Year | 38.05% | 55.54% |
| Worst Year | -36.79% | -15.19% |
| Avg. Drawdown | -6.27% | -6.61% |
| Avg. Drawdown Days | 122 | 188 |
| Recovery Factor | 7.49 | 13.8 |
| Ulcer Index | 0.14 | 0.09 |
| Serenity Index | 3.21 | 8.15 |
| Avg. Up Month | 3.34% | 2.98% |
| Avg. Down Month | -3.6% | -3.44% |
| Win Days | 65.09% | 63.91% |
| Win Month | 65.09% | 63.91% |
| Win Quarter | 73.33% | 68.89% |
| Win Year | 82.35% | 73.53% |
| Beta | - | 0.25 |
| Alpha | - | 0.09 |
| Correlation | - | 27.62% |
| Treynor Ratio | - | 13544.83% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 14.02 | 1.61 | + |
| 1994 | 0.40 | 7.73 | 19.45 | + |
| 1995 | 38.05 | 26.03 | 0.68 | - |
| 1996 | 22.50 | 20.24 | 0.90 | - |
| 1997 | 33.48 | 20.20 | 0.60 | - |
| 1998 | 28.69 | 16.63 | 0.58 | - |
| 1999 | 20.39 | 10.52 | 0.52 | - |
| 2000 | -9.74 | -8.60 | 0.88 | + |
| 2001 | -11.76 | -1.76 | 0.15 | + |
| 2002 | -21.58 | 17.91 | -0.83 | + |
| 2003 | 28.18 | 26.99 | 0.96 | - |
| 2004 | 10.70 | 26.48 | 2.48 | + |
| 2005 | 4.83 | 10.97 | 2.27 | + |
| 2006 | 15.85 | 23.76 | 1.50 | + |
| 2007 | 5.15 | 21.41 | 4.16 | + |
| 2008 | -36.79 | 26.66 | -0.72 | + |
| 2009 | 26.35 | 4.13 | 0.16 | - |
| 2010 | 15.06 | 12.35 | 0.82 | - |
| 2011 | 1.89 | 1.35 | 0.71 | - |
| 2012 | 15.99 | 2.03 | 0.13 | - |
| 2013 | 32.31 | 25.47 | 0.79 | - |
| 2014 | 13.46 | 6.58 | 0.49 | - |
| 2015 | 1.23 | -6.76 | -5.48 | - |
| 2016 | 12.00 | -15.19 | -1.27 | - |
| 2017 | 21.71 | 24.22 | 1.12 | + |
| 2018 | -4.57 | -3.30 | 0.72 | + |
| 2019 | 31.22 | -0.92 | -0.03 | - |
| 2020 | 18.33 | 26.59 | 1.45 | + |
| 2021 | 28.73 | 12.34 | 0.43 | - |
| 2022 | -18.18 | -14.96 | 0.82 | + |
| 2023 | 26.18 | -3.21 | -0.12 | - |
| 2024 | 24.89 | 21.75 | 0.87 | - |
| 2025 | 17.72 | 55.54 | 3.13 | + |
| 2026 | 8.94 | -0.27 | -0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2020-06-30 | -28.00 | 1950 |
| 2021-09-30 | 2024-09-30 | -22.01 | 1097 |
| 2026-03-31 | 2026-07-31 | -18.29 | 123 |
| 2008-03-31 | 2008-11-30 | -16.40 | 245 |
| 2009-01-31 | 2009-09-30 | -16.33 | 243 |
| 2011-09-30 | 2013-03-31 | -14.94 | 549 |
| 1999-08-31 | 2002-04-30 | -14.67 | 974 |
| 2009-12-31 | 2010-09-30 | -11.15 | 274 |
| 1998-08-31 | 1998-12-31 | -10.94 | 123 |
| 2003-02-28 | 2003-07-31 | -8.80 | 154 |