| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 431,907.02% |
| CAGR﹪ | 10.76% | 28.39% |
| Sharpe | 0.77 | 0.76 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.74 |
| Sortino | 1.18 | 1.35 |
| Smart Sortino | 1.14 | 1.3 |
| Sortino/√2 | 0.84 | 0.95 |
| Smart Sortino/√2 | 0.81 | 0.92 |
| Omega | 1.76 | 1.83 |
| Max Drawdown | -50.78% | -92.19% |
| Max DD Date | 2009-02-28 | 2002-09-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2010-11-30 |
| Longest DD Days | 2223 | 3867 |
| Volatility (ann.) | 14.76% | 47.17% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | 0.19 | 0.19 |
| Calmar | 0.21 | 0.31 |
| Skew | -0.55 | 0.53 |
| Kurtosis | 0.98 | 3.64 |
| Ulcer Performance Index | 211.25 | 10403.96 |
| Risk-Adjusted Return | 754.56% | 18909.22% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.95% | 3.03% |
| Avg. Win | 3.81% | 11.58% |
| Avg. Loss | -3.91% | -10.67% |
| Win/Loss Ratio | 0.97 | 1.09 |
| Profit Ratio | 0.5 | 0.87 |
| Expected Daily | 0.85% | 2.1% |
| Expected Monthly | 0.85% | 2.1% |
| Expected Yearly | 10.59% | 27.92% |
| Kelly Criterion | 29.23% | 21.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -19.4% |
| Expected Shortfall (cVaR) | -8.96% | -25.85% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.83 |
| Gain/Pain (1M) | 0.76 | 0.83 |
| Payoff Ratio | 0.97 | 1.09 |
| Profit Factor | 1.76 | 1.83 |
| Common Sense Ratio | 1.85 | 2.37 |
| CPC Index | 1.11 | 1.17 |
| Tail Ratio | 1.05 | 1.3 |
| Outlier Win Ratio | 2.95 | 3.32 |
| Outlier Loss Ratio | 2.93 | 2.95 |
| MTD | -1.05% | -20.99% |
| 3M | 13.91% | 30.68% |
| 6M | 8.94% | -1.32% |
| YTD | 8.94% | -1.32% |
| 1Y | 20.92% | 25.68% |
| 3Y (ann.) | 18.77% | 27.61% |
| 5Y (ann.) | 12.51% | 19.47% |
| 10Y (ann.) | 15.13% | 40.84% |
| All-time (ann.) | 10.76% | 28.39% |
| Best Day | 12.7% | 82.16% |
| Worst Day | -16.52% | -44.81% |
| Best Month | 12.7% | 82.16% |
| Worst Month | -16.52% | -44.81% |
| Best Year | 38.05% | 363.78% |
| Worst Year | -36.79% | -71.17% |
| Avg. Drawdown | -6.27% | -14.86% |
| Avg. Drawdown Days | 122 | 168 |
| Recovery Factor | 7.49 | 13.09 |
| Ulcer Index | 0.14 | 0.42 |
| Serenity Index | 3.21 | 4.58 |
| Avg. Up Month | 3.81% | 11.58% |
| Avg. Down Month | -3.91% | -10.67% |
| Win Days | 65.09% | 59.0% |
| Win Month | 65.09% | 59.0% |
| Win Quarter | 73.33% | 66.67% |
| Win Year | 82.35% | 73.53% |
| Beta | - | 2.27 |
| Alpha | - | 0.1 |
| Correlation | - | 71.03% |
| Treynor Ratio | - | 190276.18% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.48 | 0.86 | - |
| 1994 | 0.40 | 1.30 | 3.28 | + |
| 1995 | 38.05 | 42.54 | 1.12 | + |
| 1996 | 22.50 | 42.54 | 1.89 | + |
| 1997 | 33.48 | 20.63 | 0.62 | - |
| 1998 | 28.69 | 84.94 | 2.96 | + |
| 1999 | 20.39 | 363.78 | 17.84 | + |
| 2000 | -9.74 | -71.17 | 7.31 | - |
| 2001 | -11.76 | -33.34 | 2.84 | - |
| 2002 | -21.58 | -37.37 | 1.73 | - |
| 2003 | 28.18 | 193.71 | 6.87 | + |
| 2004 | 10.70 | 19.01 | 1.78 | + |
| 2005 | 4.83 | -8.43 | -1.75 | - |
| 2006 | 15.85 | 1.47 | 0.09 | - |
| 2007 | 5.15 | 83.03 | 16.13 | + |
| 2008 | -36.79 | -41.73 | 1.13 | - |
| 2009 | 26.35 | 154.53 | 5.86 | + |
| 2010 | 15.06 | 23.51 | 1.56 | + |
| 2011 | 1.89 | -2.84 | -1.50 | - |
| 2012 | 15.99 | 34.55 | 2.16 | + |
| 2013 | 32.31 | 139.73 | 4.33 | + |
| 2014 | 13.46 | 57.09 | 4.24 | + |
| 2015 | 1.23 | 3.51 | 2.84 | + |
| 2016 | 12.00 | 18.13 | 1.51 | + |
| 2017 | 21.71 | 118.06 | 5.44 | + |
| 2018 | -4.57 | -1.11 | 0.24 | + |
| 2019 | 31.22 | 71.92 | 2.30 | + |
| 2020 | 18.33 | 81.59 | 4.45 | + |
| 2021 | 28.73 | 82.98 | 2.89 | + |
| 2022 | -18.18 | -55.85 | 3.07 | - |
| 2023 | 26.18 | 138.69 | 5.30 | + |
| 2024 | 24.89 | 58.27 | 2.34 | + |
| 2025 | 17.72 | 17.98 | 1.01 | + |
| 2026 | 8.94 | -1.32 | -0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2010-11-30 | -92.19 | 3867 |
| 2022-01-31 | 2023-11-30 | -55.85 | 669 |
| 2018-09-30 | 2019-11-30 | -36.93 | 427 |
| 2020-02-29 | 2020-06-30 | -35.61 | 123 |
| 2025-11-30 | 2026-04-30 | -31.68 | 152 |
| 2025-02-28 | 2025-08-31 | -30.02 | 185 |
| 2015-08-31 | 2016-12-31 | -28.07 | 489 |
| 2020-09-30 | 2020-11-30 | -27.21 | 62 |
| 2011-05-31 | 2012-01-31 | -27.19 | 246 |
| 2026-06-30 | 2026-07-31 | -24.14 | 32 |