| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,184.88% |
| CAGR﹪ | 10.76% | 10.99% |
| Sharpe | 0.77 | 0.93 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.9 |
| Sortino | 1.18 | 1.49 |
| Smart Sortino | 1.15 | 1.45 |
| Sortino/√2 | 0.84 | 1.05 |
| Smart Sortino/√2 | 0.82 | 1.03 |
| Omega | 1.76 | 2.03 |
| Max Drawdown | -50.78% | -23.25% |
| Max DD Date | 2009-02-28 | 2010-06-30 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2011-01-31 |
| Longest DD Days | 2223 | 1159 |
| Volatility (ann.) | 14.76% | 12.09% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.21 | 0.47 |
| Skew | -0.55 | -0.49 |
| Kurtosis | 0.98 | 1.37 |
| Ulcer Performance Index | 211.25 | 449.24 |
| Risk-Adjusted Return | 754.56% | 792.59% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.94% | 0.94% |
| Avg. Win | 3.43% | 2.91% |
| Avg. Loss | -3.58% | -3.25% |
| Win/Loss Ratio | 0.96 | 0.9 |
| Profit Ratio | 0.5 | 0.43 |
| Expected Daily | 0.85% | 0.87% |
| Expected Monthly | 0.85% | 0.87% |
| Expected Yearly | 10.59% | 10.82% |
| Kelly Criterion | 28.62% | 32.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.81% |
| Expected Shortfall (cVaR) | -8.96% | -6.93% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.03 |
| Gain/Pain (1M) | 0.76 | 1.03 |
| Payoff Ratio | 0.96 | 0.9 |
| Profit Factor | 1.76 | 2.03 |
| Common Sense Ratio | 1.85 | 2.49 |
| CPC Index | 1.1 | 1.24 |
| Tail Ratio | 1.05 | 1.23 |
| Outlier Win Ratio | 2.95 | 3.25 |
| Outlier Loss Ratio | 2.93 | 2.96 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 8.68% |
| 6M | 8.94% | 9.98% |
| YTD | 8.94% | 9.98% |
| 1Y | 20.92% | 20.45% |
| 3Y (ann.) | 18.77% | 16.78% |
| 5Y (ann.) | 12.51% | 10.23% |
| 10Y (ann.) | 15.13% | 10.65% |
| All-time (ann.) | 10.76% | 10.99% |
| Best Day | 12.7% | 10.91% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.91% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 33.48% |
| Worst Year | -36.79% | -11.68% |
| Avg. Drawdown | -6.27% | -5.37% |
| Avg. Drawdown Days | 122 | 119 |
| Recovery Factor | 7.49 | 16.14 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 11.31 |
| Avg. Up Month | 3.43% | 2.91% |
| Avg. Down Month | -3.58% | -3.25% |
| Win Days | 65.09% | 68.25% |
| Win Month | 65.09% | 68.25% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.6 |
| Alpha | - | 0.04 |
| Correlation | - | 73.5% |
| Treynor Ratio | - | 5292.01% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.83 | 1.01 | + |
| 1994 | 0.40 | -0.64 | -1.62 | - |
| 1995 | 38.05 | 29.40 | 0.77 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 28.69 | 1.00 | + |
| 1999 | 20.39 | 21.02 | 1.03 | + |
| 2000 | -9.74 | -9.34 | 0.96 | + |
| 2001 | -11.76 | 8.66 | -0.74 | + |
| 2002 | -21.58 | 9.12 | -0.42 | + |
| 2003 | 28.18 | 21.29 | 0.76 | - |
| 2004 | 10.70 | 18.96 | 1.77 | + |
| 2005 | 4.83 | 13.32 | 2.76 | + |
| 2006 | 15.85 | 25.81 | 1.63 | + |
| 2007 | 5.15 | 9.95 | 1.93 | + |
| 2008 | -36.79 | -11.68 | 0.32 | + |
| 2009 | 26.35 | 8.28 | 0.31 | - |
| 2010 | 15.06 | 5.68 | 0.38 | - |
| 2011 | 1.89 | 0.67 | 0.36 | - |
| 2012 | 15.99 | 11.22 | 0.70 | - |
| 2013 | 32.31 | 16.57 | 0.51 | - |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | -6.82 | -5.53 | - |
| 2016 | 12.00 | 5.76 | 0.48 | - |
| 2017 | 21.71 | 19.70 | 0.91 | - |
| 2018 | -4.57 | -7.12 | 1.56 | - |
| 2019 | 31.22 | 17.54 | 0.56 | - |
| 2020 | 18.33 | 2.43 | 0.13 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -11.29 | 0.62 | + |
| 2023 | 26.18 | 7.07 | 0.27 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 14.39 | 0.81 | - |
| 2026 | 8.94 | 9.98 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2011-01-31 | -23.25 | 1159 |
| 2020-01-31 | 2020-11-30 | -19.45 | 305 |
| 2011-05-31 | 2012-01-31 | -17.23 | 246 |
| 2022-01-31 | 2024-01-31 | -16.06 | 731 |
| 1998-07-31 | 1998-10-31 | -15.28 | 93 |
| 2015-08-31 | 2017-01-31 | -14.37 | 520 |
| 2018-10-31 | 2019-11-30 | -14.32 | 396 |
| 2000-04-30 | 2002-03-31 | -11.63 | 701 |
| 1994-02-28 | 1995-04-30 | -8.63 | 427 |
| 1993-11-30 | 1993-12-31 | -8.49 | 32 |