| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 233,115.06% |
| CAGR﹪ | 10.76% | 26.05% |
| Sharpe | 0.77 | 1.02 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.97 |
| Sortino | 1.18 | 2.0 |
| Smart Sortino | 1.12 | 1.89 |
| Sortino/√2 | 0.84 | 1.41 |
| Smart Sortino/√2 | 0.79 | 1.34 |
| Omega | 1.76 | 2.34 |
| Max Drawdown | -50.78% | -46.43% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-01-31 |
| Longest DD Days | 2223 | 731 |
| Volatility (ann.) | 14.76% | 26.1% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | 0.19 | 0.19 |
| Calmar | 0.21 | 0.56 |
| Skew | -0.55 | 0.79 |
| Kurtosis | 0.98 | 5.13 |
| Ulcer Performance Index | 211.25 | 22385.85 |
| Risk-Adjusted Return | 754.56% | 12816.09% |
| Risk-Return Ratio | 0.22 | 0.29 |
| Avg. Return | 0.95% | 2.23% |
| Avg. Win | 3.48% | 6.8% |
| Avg. Loss | -3.6% | -5.55% |
| Win/Loss Ratio | 0.97 | 1.23 |
| Profit Ratio | 0.5 | 0.85 |
| Expected Daily | 0.85% | 1.95% |
| Expected Monthly | 0.85% | 1.95% |
| Expected Yearly | 10.59% | 25.62% |
| Kelly Criterion | 28.99% | 31.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -10.17% |
| Expected Shortfall (cVaR) | -8.96% | -14.11% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.34 |
| Gain/Pain (1M) | 0.76 | 1.34 |
| Payoff Ratio | 0.97 | 1.23 |
| Profit Factor | 1.76 | 2.34 |
| Common Sense Ratio | 1.85 | 3.47 |
| CPC Index | 1.11 | 1.79 |
| Tail Ratio | 1.05 | 1.49 |
| Outlier Win Ratio | 2.95 | 3.64 |
| Outlier Loss Ratio | 2.93 | 3.18 |
| MTD | -1.05% | -14.06% |
| 3M | 13.91% | 12.85% |
| 6M | 8.94% | -1.47% |
| YTD | 8.94% | -1.47% |
| 1Y | 20.92% | 16.02% |
| 3Y (ann.) | 18.77% | 14.4% |
| 5Y (ann.) | 12.51% | 8.87% |
| 10Y (ann.) | 15.13% | 22.39% |
| All-time (ann.) | 10.76% | 26.05% |
| Best Day | 12.7% | 48.36% |
| Worst Day | -16.52% | -27.0% |
| Best Month | 12.7% | 48.36% |
| Worst Month | -16.52% | -27.0% |
| Best Year | 38.05% | 149.47% |
| Worst Year | -36.79% | -44.1% |
| Avg. Drawdown | -6.27% | -7.55% |
| Avg. Drawdown Days | 122 | 77 |
| Recovery Factor | 7.49 | 19.21 |
| Ulcer Index | 0.14 | 0.1 |
| Serenity Index | 3.21 | 20.21 |
| Avg. Up Month | 3.48% | 6.8% |
| Avg. Down Month | -3.6% | -5.55% |
| Win Days | 65.09% | 62.44% |
| Win Month | 65.09% | 62.44% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.83 |
| Alpha | - | 0.17 |
| Correlation | - | 47.05% |
| Treynor Ratio | - | 280249.85% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 10.28 | 1.18 | + |
| 1994 | 0.40 | -4.56 | -11.48 | - |
| 1995 | 38.05 | 38.28 | 1.01 | + |
| 1996 | 22.50 | 17.90 | 0.80 | - |
| 1997 | 33.48 | 16.45 | 0.49 | - |
| 1998 | 28.69 | 31.61 | 1.10 | + |
| 1999 | 20.39 | 149.47 | 7.33 | + |
| 2000 | -9.74 | 52.66 | -5.41 | + |
| 2001 | -11.76 | 4.37 | -0.37 | + |
| 2002 | -21.58 | 17.59 | -0.82 | + |
| 2003 | 28.18 | 84.21 | 2.99 | + |
| 2004 | 10.70 | 28.10 | 2.63 | + |
| 2005 | 4.83 | -2.40 | -0.50 | - |
| 2006 | 15.85 | 26.55 | 1.68 | + |
| 2007 | 5.15 | 48.04 | 9.33 | + |
| 2008 | -36.79 | 33.95 | -0.92 | + |
| 2009 | 26.35 | 20.50 | 0.78 | - |
| 2010 | 15.06 | 19.60 | 1.30 | + |
| 2011 | 1.89 | 21.70 | 11.45 | + |
| 2012 | 15.99 | 8.75 | 0.55 | - |
| 2013 | 32.31 | 62.89 | 1.95 | + |
| 2014 | 13.46 | 48.29 | 3.59 | + |
| 2015 | 1.23 | -4.20 | -3.41 | - |
| 2016 | 12.00 | 9.14 | 0.76 | - |
| 2017 | 21.71 | 67.61 | 3.11 | + |
| 2018 | -4.57 | 10.80 | -2.36 | + |
| 2019 | 31.22 | 36.63 | 1.17 | + |
| 2020 | 18.33 | 39.32 | 2.14 | + |
| 2021 | 28.73 | 46.23 | 1.61 | + |
| 2022 | -18.18 | -44.10 | 2.43 | - |
| 2023 | 26.18 | 71.62 | 2.74 | + |
| 2024 | 24.89 | 32.21 | 1.29 | + |
| 2025 | 17.72 | 5.48 | 0.31 | - |
| 2026 | 8.94 | -1.47 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-01-31 | -46.43 | 731 |
| 2000-04-30 | 2000-07-31 | -27.00 | 93 |
| 2018-09-30 | 2019-09-30 | -22.53 | 366 |
| 2009-01-31 | 2009-08-31 | -20.19 | 213 |
| 2025-02-28 | 2025-08-31 | -19.55 | 185 |
| 2015-08-31 | 2017-01-31 | -19.12 | 520 |
| 2020-02-29 | 2020-06-30 | -18.76 | 123 |
| 2025-11-30 | 2026-04-30 | -18.15 | 152 |
| 2012-10-31 | 2013-04-30 | -17.11 | 182 |
| 2020-09-30 | 2020-10-31 | -16.61 | 32 |