| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,432.03% |
| CAGR﹪ | 10.76% | 8.49% |
| Sharpe | 0.77 | 1.1 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.03 |
| Sortino | 1.18 | 1.91 |
| Smart Sortino | 1.11 | 1.79 |
| Sortino/√2 | 0.84 | 1.35 |
| Smart Sortino/√2 | 0.78 | 1.27 |
| Omega | 1.76 | 2.27 |
| Max Drawdown | -50.78% | -19.21% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2009-08-31 |
| Longest DD Days | 2223 | 944 |
| Volatility (ann.) | 14.76% | 7.68% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 0.44 |
| Skew | -0.55 | -0.33 |
| Kurtosis | 0.98 | 0.79 |
| Ulcer Performance Index | 211.25 | 383.67 |
| Risk-Adjusted Return | 754.56% | 453.35% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.71% |
| Avg. Win | 3.57% | 2.05% |
| Avg. Loss | -4.04% | -1.98% |
| Win/Loss Ratio | 0.88 | 1.03 |
| Profit Ratio | 0.5 | 0.59 |
| Expected Daily | 0.85% | 0.68% |
| Expected Monthly | 0.85% | 0.68% |
| Expected Yearly | 10.59% | 8.36% |
| Kelly Criterion | 25.5% | 33.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.94% |
| Expected Shortfall (cVaR) | -8.96% | -4.19% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.27 |
| Gain/Pain (1M) | 0.76 | 1.27 |
| Payoff Ratio | 0.88 | 1.03 |
| Profit Factor | 1.76 | 2.27 |
| Common Sense Ratio | 1.85 | 3.29 |
| CPC Index | 1.01 | 1.56 |
| Tail Ratio | 1.05 | 1.44 |
| Outlier Win Ratio | 2.95 | 2.88 |
| Outlier Loss Ratio | 2.93 | 2.96 |
| MTD | -1.05% | 0.43% |
| 3M | 13.91% | 6.23% |
| 6M | 8.94% | 12.17% |
| YTD | 8.94% | 12.17% |
| 1Y | 20.92% | 22.57% |
| 3Y (ann.) | 18.77% | 13.78% |
| 5Y (ann.) | 12.51% | 7.34% |
| 10Y (ann.) | 15.13% | 8.0% |
| All-time (ann.) | 10.76% | 8.49% |
| Best Day | 12.7% | 6.3% |
| Worst Day | -16.52% | -9.11% |
| Best Month | 12.7% | 6.3% |
| Worst Month | -16.52% | -9.11% |
| Best Year | 38.05% | 21.25% |
| Worst Year | -36.79% | -9.19% |
| Avg. Drawdown | -6.27% | -2.83% |
| Avg. Drawdown Days | 122 | 95 |
| Recovery Factor | 7.49 | 14.77 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 15.26 |
| Avg. Up Month | 3.57% | 2.05% |
| Avg. Down Month | -4.04% | -1.98% |
| Win Days | 65.09% | 66.17% |
| Win Month | 65.09% | 66.17% |
| Win Quarter | 73.33% | 77.78% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.3 |
| Alpha | - | 0.05 |
| Correlation | - | 57.38% |
| Treynor Ratio | - | 4796.72% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 17.03 | 1.95 | + |
| 1994 | 0.40 | -0.51 | -1.29 | - |
| 1995 | 38.05 | 15.38 | 0.40 | - |
| 1996 | 22.50 | 10.44 | 0.46 | - |
| 1997 | 33.48 | 6.89 | 0.21 | - |
| 1998 | 28.69 | 5.60 | 0.20 | - |
| 1999 | 20.39 | 7.39 | 0.36 | - |
| 2000 | -9.74 | 6.61 | -0.68 | + |
| 2001 | -11.76 | 0.15 | -0.01 | + |
| 2002 | -21.58 | 12.70 | -0.59 | + |
| 2003 | 28.18 | 18.75 | 0.67 | - |
| 2004 | 10.70 | 14.25 | 1.33 | + |
| 2005 | 4.83 | 11.15 | 2.31 | + |
| 2006 | 15.85 | 17.47 | 1.10 | + |
| 2007 | 5.15 | 13.04 | 2.53 | + |
| 2008 | -36.79 | -7.03 | 0.19 | + |
| 2009 | 26.35 | 16.10 | 0.61 | - |
| 2010 | 15.06 | 13.61 | 0.90 | - |
| 2011 | 1.89 | 4.98 | 2.63 | + |
| 2012 | 15.99 | 10.56 | 0.66 | - |
| 2013 | 32.31 | 3.84 | 0.12 | - |
| 2014 | 13.46 | 7.38 | 0.55 | - |
| 2015 | 1.23 | -4.22 | -3.42 | - |
| 2016 | 12.00 | 4.95 | 0.41 | - |
| 2017 | 21.71 | 14.86 | 0.68 | - |
| 2018 | -4.57 | -3.81 | 0.83 | + |
| 2019 | 31.22 | 14.54 | 0.47 | - |
| 2020 | 18.33 | 11.91 | 0.65 | - |
| 2021 | 28.73 | 12.24 | 0.43 | - |
| 2022 | -18.18 | -9.19 | 0.51 | + |
| 2023 | 26.18 | 5.86 | 0.22 | - |
| 2024 | 24.89 | 6.64 | 0.27 | - |
| 2025 | 17.72 | 21.25 | 1.20 | + |
| 2026 | 8.94 | 12.17 | 1.36 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-08-31 | -19.21 | 428 |
| 2021-11-30 | 2024-06-30 | -12.90 | 944 |
| 2015-02-28 | 2016-06-30 | -8.06 | 489 |
| 1994-02-28 | 1995-04-30 | -7.41 | 427 |
| 2018-02-28 | 2019-05-31 | -7.13 | 458 |
| 2020-01-31 | 2020-05-31 | -6.13 | 122 |
| 2016-08-31 | 2017-03-31 | -5.47 | 213 |
| 2013-05-31 | 2014-01-31 | -5.46 | 246 |
| 2004-04-30 | 2004-09-30 | -5.37 | 154 |
| 1998-09-30 | 1998-12-31 | -5.11 | 93 |