| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 401.78% |
| CAGR﹪ | 10.76% | 4.93% |
| Sharpe | 0.77 | 0.86 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.81 |
| Sortino | 1.18 | 1.41 |
| Smart Sortino | 1.12 | 1.33 |
| Sortino/√2 | 0.84 | 1.0 |
| Smart Sortino/√2 | 0.79 | 0.94 |
| Omega | 1.76 | 1.89 |
| Max Drawdown | -50.78% | -18.12% |
| Max DD Date | 2009-02-28 | 2002-09-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2006-07-31 |
| Longest DD Days | 2223 | 2284 |
| Volatility (ann.) | 14.76% | 5.81% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.21 | 0.27 |
| Skew | -0.55 | -0.24 |
| Kurtosis | 0.98 | 0.64 |
| Ulcer Performance Index | 211.25 | 98.82 |
| Risk-Adjusted Return | 754.56% | 174.87% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.95% | 0.42% |
| Avg. Win | 3.62% | 1.48% |
| Avg. Loss | -3.84% | -1.47% |
| Win/Loss Ratio | 0.94 | 1.01 |
| Profit Ratio | 0.5 | 0.64 |
| Expected Daily | 0.85% | 0.4% |
| Expected Monthly | 0.85% | 0.4% |
| Expected Yearly | 10.59% | 4.86% |
| Kelly Criterion | 28.04% | 26.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.34% |
| Expected Shortfall (cVaR) | -8.96% | -3.28% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.89 |
| Gain/Pain (1M) | 0.76 | 0.89 |
| Payoff Ratio | 0.94 | 1.01 |
| Profit Factor | 1.76 | 1.89 |
| Common Sense Ratio | 1.85 | 2.29 |
| CPC Index | 1.08 | 1.21 |
| Tail Ratio | 1.05 | 1.21 |
| Outlier Win Ratio | 2.95 | 3.06 |
| Outlier Loss Ratio | 2.93 | 3.02 |
| MTD | -1.05% | -0.41% |
| 3M | 13.91% | 4.99% |
| 6M | 8.94% | 3.09% |
| YTD | 8.94% | 3.09% |
| 1Y | 20.92% | 7.78% |
| 3Y (ann.) | 18.77% | 6.71% |
| 5Y (ann.) | 12.51% | 3.76% |
| 10Y (ann.) | 15.13% | 6.02% |
| All-time (ann.) | 10.76% | 4.93% |
| Best Day | 12.7% | 5.81% |
| Worst Day | -16.52% | -5.4% |
| Best Month | 12.7% | 5.81% |
| Worst Month | -16.52% | -5.4% |
| Best Year | 38.05% | 17.31% |
| Worst Year | -36.79% | -8.53% |
| Avg. Drawdown | -6.27% | -2.42% |
| Avg. Drawdown Days | 122 | 112 |
| Recovery Factor | 7.49 | 9.23 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 6.0 |
| Avg. Up Month | 3.62% | 1.48% |
| Avg. Down Month | -3.84% | -1.47% |
| Win Days | 65.09% | 63.18% |
| Win Month | 65.09% | 63.18% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 73.53% |
| Beta | - | 0.34 |
| Alpha | - | 0.01 |
| Correlation | - | 86.64% |
| Treynor Ratio | - | 1178.23% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 4.57 | 0.52 | - |
| 1994 | 0.40 | -0.86 | -2.17 | - |
| 1995 | 38.05 | 15.45 | 0.41 | - |
| 1996 | 22.50 | 9.44 | 0.42 | - |
| 1997 | 33.48 | 17.31 | 0.52 | - |
| 1998 | 28.69 | 13.55 | 0.47 | - |
| 1999 | 20.39 | 5.56 | 0.27 | - |
| 2000 | -9.74 | -1.23 | 0.13 | + |
| 2001 | -11.76 | -7.16 | 0.61 | + |
| 2002 | -21.58 | -6.56 | 0.30 | + |
| 2003 | 28.18 | 14.87 | 0.53 | - |
| 2004 | 10.70 | 3.56 | 0.33 | - |
| 2005 | 4.83 | -0.88 | -0.18 | - |
| 2006 | 15.85 | 5.78 | 0.36 | - |
| 2007 | 5.15 | 5.22 | 1.01 | + |
| 2008 | -36.79 | -3.56 | 0.10 | + |
| 2009 | 26.35 | 8.46 | 0.32 | - |
| 2010 | 15.06 | 5.59 | 0.37 | - |
| 2011 | 1.89 | 1.82 | 0.96 | - |
| 2012 | 15.99 | 4.97 | 0.31 | - |
| 2013 | 32.31 | 9.67 | 0.30 | - |
| 2014 | 13.46 | 1.95 | 0.14 | - |
| 2015 | 1.23 | -0.40 | -0.32 | - |
| 2016 | 12.00 | 3.05 | 0.25 | - |
| 2017 | 21.71 | 9.34 | 0.43 | - |
| 2018 | -4.57 | -0.19 | 0.04 | + |
| 2019 | 31.22 | 12.57 | 0.40 | - |
| 2020 | 18.33 | 12.75 | 0.70 | - |
| 2021 | 28.73 | 8.94 | 0.31 | - |
| 2022 | -18.18 | -8.53 | 0.47 | + |
| 2023 | 26.18 | 10.44 | 0.40 | - |
| 2024 | 24.89 | 7.39 | 0.30 | - |
| 2025 | 17.72 | 5.98 | 0.34 | - |
| 2026 | 8.94 | 3.09 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2006-07-31 | -18.12 | 2284 |
| 2022-01-31 | 2023-11-30 | -12.74 | 669 |
| 2007-10-31 | 2009-07-31 | -11.04 | 640 |
| 2024-12-31 | 2025-06-30 | -5.86 | 182 |
| 2010-05-31 | 2010-11-30 | -4.98 | 184 |
| 1994-02-28 | 1994-09-30 | -4.13 | 215 |
| 2015-11-30 | 2016-05-31 | -3.98 | 184 |
| 2018-09-30 | 2019-01-31 | -3.90 | 124 |
| 2012-04-30 | 2012-12-31 | -3.70 | 246 |
| 2000-01-31 | 2000-02-29 | -3.48 | 30 |