| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 360.99% |
| CAGR﹪ | 10.76% | 4.67% |
| Sharpe | 0.77 | 1.0 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 0.9 |
| Sortino | 1.18 | 1.66 |
| Smart Sortino | 1.07 | 1.5 |
| Sortino/√2 | 0.84 | 1.18 |
| Smart Sortino/√2 | 0.75 | 1.06 |
| Omega | 1.76 | 2.46 |
| Max Drawdown | -50.78% | -13.96% |
| Max DD Date | 2009-02-28 | 2022-06-30 |
| Max DD Period Start | 2007-11-30 | 2021-08-31 |
| Max DD Period End | 2012-02-29 | 2025-04-30 |
| Longest DD Days | 2223 | 1339 |
| Volatility (ann.) | 14.76% | 4.68% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.21 | 0.33 |
| Skew | -0.55 | 0.17 |
| Kurtosis | 0.98 | 7.96 |
| Ulcer Performance Index | 211.25 | 115.47 |
| Risk-Adjusted Return | 754.56% | 160.64% |
| Risk-Return Ratio | 0.22 | 0.29 |
| Avg. Return | 0.95% | 0.39% |
| Avg. Win | 3.42% | 0.8% |
| Avg. Loss | -3.98% | -1.43% |
| Win/Loss Ratio | 0.86 | 0.56 |
| Profit Ratio | 0.5 | 0.2 |
| Expected Daily | 0.85% | 0.38% |
| Expected Monthly | 0.85% | 0.38% |
| Expected Yearly | 10.59% | 4.6% |
| Kelly Criterion | 24.47% | 37.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.83% |
| Expected Shortfall (cVaR) | -8.96% | -3.12% |
| Max Consecutive Wins | 15 | 49 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.46 |
| Gain/Pain (1M) | 0.76 | 1.46 |
| Payoff Ratio | 0.86 | 0.56 |
| Profit Factor | 1.76 | 2.46 |
| Common Sense Ratio | 1.85 | 3.36 |
| CPC Index | 0.98 | 1.07 |
| Tail Ratio | 1.05 | 1.36 |
| Outlier Win Ratio | 2.95 | 4.55 |
| Outlier Loss Ratio | 2.93 | 3.12 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 1.13% |
| 6M | 8.94% | 1.99% |
| YTD | 8.94% | 1.99% |
| 1Y | 20.92% | 3.99% |
| 3Y (ann.) | 18.77% | 4.4% |
| 5Y (ann.) | 12.51% | 0.86% |
| 10Y (ann.) | 15.13% | 1.81% |
| All-time (ann.) | 10.76% | 4.67% |
| Best Day | 12.7% | 9.42% |
| Worst Day | -16.52% | -5.47% |
| Best Month | 12.7% | 9.42% |
| Worst Month | -16.52% | -5.47% |
| Best Year | 38.05% | 16.4% |
| Worst Year | -36.79% | -10.09% |
| Avg. Drawdown | -6.27% | -2.75% |
| Avg. Drawdown Days | 122 | 143 |
| Recovery Factor | 7.49 | 11.23 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 7.59 |
| Avg. Up Month | 3.42% | 0.8% |
| Avg. Down Month | -3.98% | -1.43% |
| Win Days | 65.09% | 77.61% |
| Win Month | 65.09% | 77.61% |
| Win Quarter | 73.33% | 83.7% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.02 |
| Alpha | - | 0.04 |
| Correlation | - | 6.76% |
| Treynor Ratio | - | 16838.81% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 5.93 | 0.68 | - |
| 1994 | 0.40 | -3.93 | -9.88 | - |
| 1995 | 38.05 | 10.15 | 0.27 | - |
| 1996 | 22.50 | 8.24 | 0.37 | - |
| 1997 | 33.48 | 6.26 | 0.19 | - |
| 1998 | 28.69 | 5.17 | 0.18 | - |
| 1999 | 20.39 | 1.44 | 0.07 | - |
| 2000 | -9.74 | 6.37 | -0.65 | + |
| 2001 | -11.76 | 7.67 | -0.65 | + |
| 2002 | -21.58 | 16.40 | -0.76 | + |
| 2003 | 28.18 | 7.21 | 0.26 | - |
| 2004 | 10.70 | 4.93 | 0.46 | - |
| 2005 | 4.83 | 4.89 | 1.01 | + |
| 2006 | 15.85 | 4.70 | 0.30 | - |
| 2007 | 5.15 | 3.75 | 0.73 | - |
| 2008 | -36.79 | 8.88 | -0.24 | + |
| 2009 | 26.35 | 0.75 | 0.03 | - |
| 2010 | 15.06 | 9.39 | 0.62 | - |
| 2011 | 1.89 | 12.71 | 6.71 | + |
| 2012 | 15.99 | 6.93 | 0.43 | - |
| 2013 | 32.31 | -4.06 | -0.13 | - |
| 2014 | 13.46 | 8.65 | 0.64 | - |
| 2015 | 1.23 | 0.13 | 0.10 | - |
| 2016 | 12.00 | 4.65 | 0.39 | - |
| 2017 | 21.71 | 4.83 | 0.22 | - |
| 2018 | -4.57 | 1.91 | -0.42 | + |
| 2019 | 31.22 | 2.04 | 0.07 | - |
| 2020 | 18.33 | 7.32 | 0.40 | - |
| 2021 | 28.73 | 0.96 | 0.03 | - |
| 2022 | -18.18 | -10.09 | 0.56 | + |
| 2023 | 26.18 | 5.00 | 0.19 | - |
| 2024 | 24.89 | 4.95 | 0.20 | - |
| 2025 | 17.72 | 4.02 | 0.23 | - |
| 2026 | 8.94 | 1.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-31 | 2025-04-30 | -13.96 | 1339 |
| 1993-11-30 | 1995-06-30 | -7.68 | 578 |
| 2008-04-30 | 2008-11-30 | -7.60 | 215 |
| 2013-05-31 | 2014-07-31 | -6.76 | 427 |
| 2003-06-30 | 2003-11-30 | -5.82 | 154 |
| 2009-01-31 | 2009-07-31 | -5.73 | 182 |
| 2015-02-28 | 2016-02-29 | -4.78 | 367 |
| 2004-04-30 | 2004-08-31 | -4.62 | 124 |
| 2016-09-30 | 2017-07-31 | -4.58 | 305 |
| 2010-10-31 | 2011-04-30 | -3.46 | 182 |