| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,442.23% |
| CAGR﹪ | 10.76% | 10.14% |
| Sharpe | 0.77 | 0.83 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.82 |
| Sortino | 1.18 | 1.28 |
| Smart Sortino | 1.17 | 1.26 |
| Sortino/√2 | 0.84 | 0.91 |
| Smart Sortino/√2 | 0.82 | 0.89 |
| Omega | 1.76 | 1.89 |
| Max Drawdown | -50.78% | -22.21% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-05-31 |
| Longest DD Days | 2223 | 1159 |
| Volatility (ann.) | 14.76% | 12.63% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.46 |
| Skew | -0.55 | -0.63 |
| Kurtosis | 0.98 | 1.79 |
| Ulcer Performance Index | 211.25 | 297.68 |
| Risk-Adjusted Return | 754.56% | 660.12% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.95% | 0.88% |
| Avg. Win | 3.51% | 2.99% |
| Avg. Loss | -3.61% | -3.49% |
| Win/Loss Ratio | 0.97 | 0.86 |
| Profit Ratio | 0.5 | 0.43 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 9.98% |
| Kelly Criterion | 29.12% | 29.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.12% |
| Expected Shortfall (cVaR) | -8.96% | -7.74% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.89 |
| Gain/Pain (1M) | 0.76 | 0.89 |
| Payoff Ratio | 0.97 | 0.86 |
| Profit Factor | 1.76 | 1.89 |
| Common Sense Ratio | 1.85 | 2.28 |
| CPC Index | 1.11 | 1.09 |
| Tail Ratio | 1.05 | 1.21 |
| Outlier Win Ratio | 2.95 | 3.12 |
| Outlier Loss Ratio | 2.93 | 3.08 |
| MTD | -1.05% | -0.47% |
| 3M | 13.91% | 12.59% |
| 6M | 8.94% | 12.1% |
| YTD | 8.94% | 12.1% |
| 1Y | 20.92% | 22.59% |
| 3Y (ann.) | 18.77% | 12.5% |
| 5Y (ann.) | 12.51% | 6.25% |
| 10Y (ann.) | 15.13% | 8.53% |
| All-time (ann.) | 10.76% | 10.14% |
| Best Day | 12.7% | 12.81% |
| Worst Day | -16.52% | -14.71% |
| Best Month | 12.7% | 12.81% |
| Worst Month | -16.52% | -14.71% |
| Best Year | 38.05% | 33.48% |
| Worst Year | -36.79% | -17.27% |
| Avg. Drawdown | -6.27% | -5.44% |
| Avg. Drawdown Days | 122 | 124 |
| Recovery Factor | 7.49 | 15.84 |
| Ulcer Index | 0.14 | 0.08 |
| Serenity Index | 3.21 | 8.75 |
| Avg. Up Month | 3.51% | 2.99% |
| Avg. Down Month | -3.61% | -3.49% |
| Win Days | 65.09% | 67.58% |
| Win Month | 65.09% | 67.58% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.61 |
| Alpha | - | 0.04 |
| Correlation | - | 71.12% |
| Treynor Ratio | - | 4012.0% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.45 | 0.86 | - |
| 1994 | 0.40 | 17.12 | 43.09 | + |
| 1995 | 38.05 | 30.92 | 0.81 | - |
| 1996 | 22.50 | 22.50 | 1.00 | - |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 19.61 | 0.68 | - |
| 1999 | 20.39 | 22.47 | 1.10 | + |
| 2000 | -9.74 | -7.19 | 0.74 | + |
| 2001 | -11.76 | 8.66 | -0.74 | + |
| 2002 | -21.58 | 6.55 | -0.30 | + |
| 2003 | 28.18 | 25.85 | 0.92 | - |
| 2004 | 10.70 | 18.96 | 1.77 | + |
| 2005 | 4.83 | 13.32 | 2.76 | + |
| 2006 | 15.85 | 20.24 | 1.28 | + |
| 2007 | 5.15 | -3.50 | -0.68 | - |
| 2008 | -36.79 | 1.91 | -0.05 | + |
| 2009 | 26.35 | 6.02 | 0.23 | - |
| 2010 | 15.06 | 5.54 | 0.37 | - |
| 2011 | 1.89 | -8.37 | -4.42 | - |
| 2012 | 15.99 | 14.28 | 0.89 | - |
| 2013 | 32.31 | 20.64 | 0.64 | - |
| 2014 | 13.46 | 11.65 | 0.86 | - |
| 2015 | 1.23 | -11.38 | -9.22 | - |
| 2016 | 12.00 | 0.96 | 0.08 | - |
| 2017 | 21.71 | 17.21 | 0.79 | - |
| 2018 | -4.57 | 1.10 | -0.24 | + |
| 2019 | 31.22 | 12.86 | 0.41 | - |
| 2020 | 18.33 | -0.55 | -0.03 | - |
| 2021 | 28.73 | 28.10 | 0.98 | - |
| 2022 | -18.18 | -17.27 | 0.95 | + |
| 2023 | 26.18 | 5.67 | 0.22 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 1.47 | 0.08 | - |
| 2026 | 8.94 | 12.10 | 1.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -22.21 | 852 |
| 2007-11-30 | 2011-01-31 | -22.17 | 1159 |
| 2020-01-31 | 2021-01-31 | -21.50 | 367 |
| 2015-08-31 | 2017-11-30 | -19.77 | 823 |
| 2011-05-31 | 2013-02-28 | -17.13 | 640 |
| 1998-07-31 | 1998-11-30 | -15.28 | 123 |
| 2025-02-28 | 2025-12-31 | -13.82 | 307 |
| 2026-03-31 | 2026-04-30 | -9.41 | 31 |
| 2000-04-30 | 2001-09-30 | -9.31 | 519 |
| 2018-10-31 | 2019-06-30 | -9.08 | 243 |