| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,965.88% | 1,071.07% |
| CAGR﹪ | 10.38% | 8.35% |
| Sharpe | 0.73 | 0.79 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.72 | 0.78 |
| Sortino | 1.12 | 1.18 |
| Smart Sortino | 1.11 | 1.17 |
| Sortino/√2 | 0.79 | 0.83 |
| Smart Sortino/√2 | 0.78 | 0.83 |
| Omega | 1.71 | 1.81 |
| Max Drawdown | -50.78% | -40.08% |
| 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 | 2010-09-30 |
| Longest DD Days | 2223 | 1036 |
| Volatility (ann.) | 15.2% | 11.01% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.2 | 0.21 |
| Skew | -0.53 | -0.8 |
| Kurtosis | 0.83 | 3.17 |
| Ulcer Performance Index | 134.2 | 151.55 |
| Risk-Adjusted Return | 695.36% | 439.2% |
| Risk-Return Ratio | 0.21 | 0.23 |
| Avg. Return | 0.93% | 0.73% |
| Avg. Win | 3.59% | 2.54% |
| Avg. Loss | -4.24% | -3.05% |
| Win/Loss Ratio | 0.85 | 0.83 |
| Profit Ratio | 0.51 | 0.4 |
| Expected Daily | 0.83% | 0.67% |
| Expected Monthly | 0.83% | 0.67% |
| Expected Yearly | 9.93% | 7.99% |
| Kelly Criterion | 22.82% | 29.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.3% | -4.51% |
| Expected Shortfall (cVaR) | -9.08% | -6.75% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.71 | 0.81 |
| Gain/Pain (1M) | 0.71 | 0.81 |
| Payoff Ratio | 0.85 | 0.83 |
| Profit Factor | 1.71 | 1.81 |
| Common Sense Ratio | 1.81 | 1.99 |
| CPC Index | 0.94 | 1.03 |
| Tail Ratio | 1.06 | 1.1 |
| Outlier Win Ratio | 2.94 | 3.32 |
| Outlier Loss Ratio | 2.86 | 3.23 |
| MTD | -1.05% | -0.63% |
| 3M | 13.91% | 8.32% |
| 6M | 8.94% | 7.92% |
| YTD | 8.94% | 7.92% |
| 1Y | 20.92% | 14.99% |
| 3Y (ann.) | 18.77% | 11.99% |
| 5Y (ann.) | 12.51% | 6.07% |
| 10Y (ann.) | 15.13% | 8.34% |
| All-time (ann.) | 10.38% | 8.35% |
| Best Day | 12.7% | 11.67% |
| Worst Day | -16.52% | -16.7% |
| Best Month | 12.7% | 11.67% |
| Worst Month | -16.52% | -16.7% |
| Best Year | 33.48% | 26.44% |
| Worst Year | -36.79% | -24.36% |
| Avg. Drawdown | -7.01% | -4.74% |
| Avg. Drawdown Days | 140 | 117 |
| Recovery Factor | 6.69 | 6.63 |
| Ulcer Index | 0.15 | 0.07 |
| Serenity Index | 2.77 | 5.53 |
| Avg. Up Month | 3.59% | 2.54% |
| Avg. Down Month | -4.24% | -3.05% |
| Win Days | 64.58% | 67.93% |
| Win Month | 64.58% | 67.93% |
| Win Quarter | 72.58% | 69.35% |
| Win Year | 81.25% | 84.38% |
| Beta | - | 0.65 |
| Alpha | - | 0.01 |
| Correlation | - | 90.13% |
| Treynor Ratio | - | 1640.84% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1995 | 1.57 | 2.46 | 1.56 | + |
| 1996 | 22.50 | 15.92 | 0.71 | - |
| 1997 | 33.48 | 14.38 | 0.43 | - |
| 1998 | 28.69 | 7.40 | 0.26 | - |
| 1999 | 20.39 | 13.26 | 0.65 | - |
| 2000 | -9.74 | 1.16 | -0.12 | + |
| 2001 | -11.76 | -1.45 | 0.12 | + |
| 2002 | -21.58 | -4.13 | 0.19 | + |
| 2003 | 28.18 | 26.35 | 0.94 | - |
| 2004 | 10.70 | 15.92 | 1.49 | + |
| 2005 | 4.83 | 8.71 | 1.80 | + |
| 2006 | 15.85 | 17.50 | 1.10 | + |
| 2007 | 5.15 | 5.62 | 1.09 | + |
| 2008 | -36.79 | -24.36 | 0.66 | + |
| 2009 | 26.35 | 26.44 | 1.00 | + |
| 2010 | 15.06 | 15.65 | 1.04 | + |
| 2011 | 1.89 | 3.17 | 1.68 | + |
| 2012 | 15.99 | 13.67 | 0.85 | - |
| 2013 | 32.31 | 11.08 | 0.34 | - |
| 2014 | 13.46 | 9.65 | 0.72 | - |
| 2015 | 1.23 | 0.12 | 0.10 | - |
| 2016 | 12.00 | 7.84 | 0.65 | - |
| 2017 | 21.71 | 13.18 | 0.61 | - |
| 2018 | -4.57 | -5.43 | 1.19 | - |
| 2019 | 31.22 | 21.46 | 0.69 | - |
| 2020 | 18.33 | 11.89 | 0.65 | - |
| 2021 | 28.73 | 17.54 | 0.61 | - |
| 2022 | -18.18 | -17.14 | 0.94 | + |
| 2023 | 26.18 | 14.71 | 0.56 | - |
| 2024 | 24.89 | 9.60 | 0.39 | - |
| 2025 | 17.72 | 14.47 | 0.82 | - |
| 2026 | 8.94 | 7.92 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-09-30 | -40.08 | 1036 |
| 2022-01-31 | 2024-06-30 | -22.17 | 882 |
| 2020-02-29 | 2020-06-30 | -14.73 | 123 |
| 2000-09-30 | 2003-05-31 | -13.07 | 974 |
| 2011-05-31 | 2012-01-31 | -12.10 | 246 |
| 1998-04-30 | 1998-11-30 | -11.69 | 215 |
| 2018-09-30 | 2019-02-28 | -8.21 | 152 |
| 2015-03-31 | 2016-04-30 | -6.29 | 397 |
| 2004-04-30 | 2004-08-31 | -5.70 | 124 |
| 2026-03-31 | 2026-03-31 | -4.82 | 1 |