| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,865.64% | 2,500.58% |
| CAGR﹪ | 10.7% | 10.27% |
| Sharpe | 0.76 | 1.03 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.01 |
| Sortino | 1.18 | 1.76 |
| Smart Sortino | 1.15 | 1.72 |
| Sortino/√2 | 0.83 | 1.24 |
| Smart Sortino/√2 | 0.81 | 1.21 |
| Omega | 1.75 | 2.38 |
| Max Drawdown | -50.78% | -16.26% |
| Max DD Date | 2009-02-28 | 2011-10-31 |
| Max DD Period Start | 2007-11-30 | 2011-05-31 |
| Max DD Period End | 2012-02-29 | 2012-12-31 |
| Longest DD Days | 2223 | 1186 |
| Volatility (ann.) | 14.8% | 9.98% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.63 |
| Skew | -0.55 | -0.35 |
| Kurtosis | 0.96 | 2.37 |
| Ulcer Performance Index | 203.71 | 521.27 |
| Risk-Adjusted Return | 746.12% | 678.92% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.86% |
| Avg. Win | 3.36% | 2.25% |
| Avg. Loss | -2.93% | -2.83% |
| Win/Loss Ratio | 1.15 | 0.8 |
| Profit Ratio | 0.51 | 0.2 |
| Expected Daily | 0.85% | 0.82% |
| Expected Monthly | 0.85% | 0.82% |
| Expected Yearly | 10.48% | 10.06% |
| Kelly Criterion | 34.32% | 49.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.08% | -3.88% |
| Expected Shortfall (cVaR) | -8.96% | -6.08% |
| Max Consecutive Wins | 15 | 37 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.75 | 1.38 |
| Gain/Pain (1M) | 0.75 | 1.38 |
| Payoff Ratio | 1.15 | 0.8 |
| Profit Factor | 1.75 | 2.38 |
| Common Sense Ratio | 1.84 | 3.46 |
| CPC Index | 1.3 | 1.47 |
| Tail Ratio | 1.05 | 1.45 |
| Outlier Win Ratio | 2.94 | 3.84 |
| Outlier Loss Ratio | 2.93 | 2.47 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 3.29% |
| 6M | 8.94% | -1.23% |
| YTD | 8.94% | -1.23% |
| 1Y | 20.92% | 9.64% |
| 3Y (ann.) | 18.77% | 5.97% |
| 5Y (ann.) | 12.51% | 3.38% |
| 10Y (ann.) | 15.13% | 9.73% |
| All-time (ann.) | 10.7% | 10.27% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 38.05% |
| Worst Year | -36.79% | -11.42% |
| Avg. Drawdown | -6.27% | -4.27% |
| Avg. Drawdown Days | 122 | 119 |
| Recovery Factor | 7.43 | 21.14 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.18 | 17.31 |
| Avg. Up Month | 3.36% | 2.25% |
| Avg. Down Month | -2.93% | -2.83% |
| Win Days | 64.91% | 77.69% |
| Win Month | 64.91% | 77.69% |
| Win Quarter | 73.13% | 79.1% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.45 |
| Alpha | - | 0.05 |
| Correlation | - | 67.21% |
| Treynor Ratio | - | 5517.89% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 5.21 | 5.21 | 1.00 | - |
| 1994 | 0.40 | 0.40 | 1.00 | + |
| 1995 | 38.05 | 38.05 | 1.00 | - |
| 1996 | 22.50 | 22.50 | 1.00 | - |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 28.69 | 1.00 | + |
| 1999 | 20.39 | 20.39 | 1.00 | + |
| 2000 | -9.74 | -8.26 | 0.85 | + |
| 2001 | -11.76 | 3.32 | -0.28 | + |
| 2002 | -21.58 | 1.59 | -0.07 | + |
| 2003 | 28.18 | 22.95 | 0.81 | - |
| 2004 | 10.70 | 8.27 | 0.77 | - |
| 2005 | 4.83 | 1.69 | 0.35 | - |
| 2006 | 15.85 | 5.50 | 0.35 | - |
| 2007 | 5.15 | -4.51 | -0.88 | - |
| 2008 | -36.79 | 1.34 | -0.04 | + |
| 2009 | 26.35 | 13.99 | 0.53 | - |
| 2010 | 15.06 | 10.49 | 0.70 | - |
| 2011 | 1.89 | -8.75 | -4.62 | - |
| 2012 | 15.99 | 15.93 | 1.00 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | 1.23 | 1.00 | - |
| 2016 | 12.00 | 10.49 | 0.87 | - |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | 4.78 | -1.05 | + |
| 2019 | 31.22 | 6.89 | 0.22 | - |
| 2020 | 18.33 | 24.43 | 1.33 | + |
| 2021 | 28.73 | 28.73 | 1.00 | - |
| 2022 | -18.18 | -11.42 | 0.63 | + |
| 2023 | 26.18 | 5.00 | 0.19 | - |
| 2024 | 24.89 | 4.95 | 0.20 | - |
| 2025 | 17.72 | 12.33 | 0.70 | - |
| 2026 | 8.94 | -1.23 | -0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2012-12-31 | -16.26 | 581 |
| 1998-07-31 | 1998-10-31 | -15.28 | 93 |
| 2022-01-31 | 2024-12-31 | -12.99 | 1066 |
| 2010-05-31 | 2010-11-30 | -12.71 | 184 |
| 2000-01-31 | 2003-04-30 | -10.77 | 1186 |
| 2015-08-31 | 2016-05-31 | -8.49 | 275 |
| 1994-02-28 | 1994-07-31 | -6.98 | 154 |
| 2018-10-31 | 2019-03-31 | -6.91 | 152 |
| 2025-02-28 | 2025-06-30 | -6.77 | 123 |
| 2007-06-30 | 2009-08-31 | -6.52 | 794 |