| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 904.47% |
| CAGR﹪ | 10.76% | 7.13% |
| Sharpe | 0.77 | 1.19 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.13 |
| Sortino | 1.18 | 2.17 |
| Smart Sortino | 1.12 | 2.05 |
| Sortino/√2 | 0.84 | 1.53 |
| Smart Sortino/√2 | 0.79 | 1.45 |
| Omega | 1.76 | 2.4 |
| Max Drawdown | -50.78% | -8.26% |
| Max DD Date | 2009-02-28 | 1994-11-30 |
| Max DD Period Start | 2007-11-30 | 1994-01-31 |
| Max DD Period End | 2012-02-29 | 1995-04-30 |
| Longest DD Days | 2223 | 704 |
| Volatility (ann.) | 14.76% | 5.95% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.21 | 0.86 |
| Skew | -0.55 | -0.17 |
| Kurtosis | 0.98 | 0.83 |
| Ulcer Performance Index | 211.25 | 353.8 |
| Risk-Adjusted Return | 754.56% | 324.7% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 0.59% |
| Avg. Win | 3.52% | 1.53% |
| Avg. Loss | -3.61% | -1.45% |
| Win/Loss Ratio | 0.98 | 1.05 |
| Profit Ratio | 0.5 | 0.64 |
| Expected Daily | 0.85% | 0.58% |
| Expected Monthly | 0.85% | 0.58% |
| Expected Yearly | 10.59% | 7.02% |
| Kelly Criterion | 29.29% | 33.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.24% |
| Expected Shortfall (cVaR) | -8.96% | -3.21% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.4 |
| Gain/Pain (1M) | 0.76 | 1.4 |
| Payoff Ratio | 0.98 | 1.05 |
| Profit Factor | 1.76 | 2.4 |
| Common Sense Ratio | 1.85 | 3.87 |
| CPC Index | 1.12 | 1.67 |
| Tail Ratio | 1.05 | 1.61 |
| Outlier Win Ratio | 2.95 | 3.13 |
| Outlier Loss Ratio | 2.93 | 3.12 |
| MTD | -1.05% | -1.29% |
| 3M | 13.91% | -2.21% |
| 6M | 8.94% | -1.58% |
| YTD | 8.94% | -1.58% |
| 1Y | 20.92% | 8.02% |
| 3Y (ann.) | 18.77% | 8.35% |
| 5Y (ann.) | 12.51% | 5.75% |
| 10Y (ann.) | 15.13% | 6.53% |
| All-time (ann.) | 10.76% | 7.13% |
| Best Day | 12.7% | 5.45% |
| Worst Day | -16.52% | -6.8% |
| Best Month | 12.7% | 5.45% |
| Worst Month | -16.52% | -6.8% |
| Best Year | 38.05% | 20.5% |
| Worst Year | -36.79% | -7.98% |
| Avg. Drawdown | -6.27% | -2.33% |
| Avg. Drawdown Days | 122 | 94 |
| Recovery Factor | 7.49 | 28.74 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 24.93 |
| Avg. Up Month | 3.52% | 1.53% |
| Avg. Down Month | -3.61% | -1.45% |
| Win Days | 65.09% | 65.92% |
| Win Month | 65.09% | 65.92% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.12 |
| Alpha | - | 0.06 |
| Correlation | - | 29.37% |
| Treynor Ratio | - | 7633.07% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 10.72 | 1.23 | + |
| 1994 | 0.40 | -7.98 | -20.10 | - |
| 1995 | 38.05 | 20.50 | 0.54 | - |
| 1996 | 22.50 | 4.77 | 0.21 | - |
| 1997 | 33.48 | 11.43 | 0.34 | - |
| 1998 | 28.69 | 11.56 | 0.40 | - |
| 1999 | 20.39 | 1.66 | 0.08 | - |
| 2000 | -9.74 | 11.44 | -1.17 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 13.63 | -0.63 | + |
| 2003 | 28.18 | 10.19 | 0.36 | - |
| 2004 | 10.70 | 1.80 | 0.17 | - |
| 2005 | 4.83 | 1.25 | 0.26 | - |
| 2006 | 15.85 | 10.25 | 0.65 | - |
| 2007 | 5.15 | 12.99 | 2.52 | + |
| 2008 | -36.79 | 9.07 | -0.25 | + |
| 2009 | 26.35 | 3.43 | 0.13 | - |
| 2010 | 15.06 | 11.71 | 0.78 | - |
| 2011 | 1.89 | 12.58 | 6.64 | + |
| 2012 | 15.99 | 6.06 | 0.38 | - |
| 2013 | 32.31 | 10.00 | 0.31 | - |
| 2014 | 13.46 | 3.72 | 0.28 | - |
| 2015 | 1.23 | -3.65 | -2.96 | - |
| 2016 | 12.00 | 1.71 | 0.14 | - |
| 2017 | 21.71 | 10.60 | 0.49 | - |
| 2018 | -4.57 | 1.44 | -0.32 | + |
| 2019 | 31.22 | 11.30 | 0.36 | - |
| 2020 | 18.33 | 9.99 | 0.55 | - |
| 2021 | 28.73 | 8.08 | 0.28 | - |
| 2022 | -18.18 | -6.70 | 0.37 | + |
| 2023 | 26.18 | 5.55 | 0.21 | - |
| 2024 | 24.89 | 12.19 | 0.49 | - |
| 2025 | 17.72 | 18.03 | 1.02 | + |
| 2026 | 8.94 | -1.58 | -0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1994-01-31 | 1995-04-30 | -8.26 | 455 |
| 2022-01-31 | 2023-06-30 | -8.19 | 516 |
| 2015-02-28 | 2017-01-31 | -7.84 | 704 |
| 2018-09-30 | 2019-05-31 | -7.49 | 244 |
| 1996-02-29 | 1996-10-31 | -6.56 | 246 |
| 2023-08-31 | 2024-02-29 | -6.25 | 183 |
| 2004-04-30 | 2005-11-30 | -5.92 | 580 |
| 2008-03-31 | 2008-11-30 | -5.51 | 245 |
| 2026-03-31 | 2026-07-31 | -5.49 | 123 |
| 2009-12-31 | 2010-07-31 | -5.39 | 213 |