| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,713.58% |
| CAGR﹪ | 10.76% | 10.47% |
| Sharpe | 0.77 | 1.03 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 0.94 |
| Sortino | 1.18 | 1.76 |
| Smart Sortino | 1.08 | 1.61 |
| Sortino/√2 | 0.84 | 1.25 |
| Smart Sortino/√2 | 0.76 | 1.14 |
| Omega | 1.76 | 2.21 |
| Max Drawdown | -50.78% | -23.87% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-01-31 |
| Longest DD Days | 2223 | 731 |
| Volatility (ann.) | 14.76% | 10.26% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.44 |
| Skew | -0.55 | -0.04 |
| Kurtosis | 0.98 | 3.04 |
| Ulcer Performance Index | 211.25 | 634.79 |
| Risk-Adjusted Return | 754.56% | 710.01% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.88% |
| Avg. Win | 3.47% | 2.48% |
| Avg. Loss | -3.64% | -2.69% |
| Win/Loss Ratio | 0.95 | 0.92 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.83% |
| Expected Monthly | 0.85% | 0.83% |
| Expected Yearly | 10.59% | 10.31% |
| Kelly Criterion | 28.42% | 32.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.99% |
| Expected Shortfall (cVaR) | -8.96% | -6.05% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.21 |
| Gain/Pain (1M) | 0.76 | 1.21 |
| Payoff Ratio | 0.95 | 0.92 |
| Profit Factor | 1.76 | 2.21 |
| Common Sense Ratio | 1.85 | 2.88 |
| CPC Index | 1.09 | 1.37 |
| Tail Ratio | 1.05 | 1.31 |
| Outlier Win Ratio | 2.95 | 4.13 |
| Outlier Loss Ratio | 2.93 | 3.69 |
| MTD | -1.05% | -1.98% |
| 3M | 13.91% | 0.57% |
| 6M | 8.94% | -3.49% |
| YTD | 8.94% | -3.49% |
| 1Y | 20.92% | 2.72% |
| 3Y (ann.) | 18.77% | 6.93% |
| 5Y (ann.) | 12.51% | 3.79% |
| 10Y (ann.) | 15.13% | 7.8% |
| All-time (ann.) | 10.76% | 10.47% |
| Best Day | 12.7% | 14.32% |
| Worst Day | -16.52% | -12.24% |
| Best Month | 12.7% | 14.32% |
| Worst Month | -16.52% | -12.24% |
| Best Year | 38.05% | 30.37% |
| Worst Year | -36.79% | -18.11% |
| Avg. Drawdown | -6.27% | -3.78% |
| Avg. Drawdown Days | 122 | 94 |
| Recovery Factor | 7.49 | 14.77 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 18.56 |
| Avg. Up Month | 3.47% | 2.48% |
| Avg. Down Month | -3.64% | -2.69% |
| Win Days | 65.09% | 67.41% |
| Win Month | 65.09% | 67.41% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.37 |
| Alpha | - | 0.06 |
| Correlation | - | 53.07% |
| Treynor Ratio | - | 7355.99% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.89 | 1.36 | + |
| 1994 | 0.40 | -0.16 | -0.39 | - |
| 1995 | 38.05 | 30.37 | 0.80 | - |
| 1996 | 22.50 | 6.48 | 0.29 | - |
| 1997 | 33.48 | 21.61 | 0.65 | - |
| 1998 | 28.69 | 15.13 | 0.53 | - |
| 1999 | 20.39 | -0.36 | -0.02 | - |
| 2000 | -9.74 | 14.03 | -1.44 | + |
| 2001 | -11.76 | -0.99 | 0.08 | + |
| 2002 | -21.58 | 11.91 | -0.55 | + |
| 2003 | 28.18 | 13.39 | 0.48 | - |
| 2004 | 10.70 | 9.15 | 0.86 | - |
| 2005 | 4.83 | 9.50 | 1.97 | + |
| 2006 | 15.85 | 5.59 | 0.35 | - |
| 2007 | 5.15 | 5.90 | 1.15 | + |
| 2008 | -36.79 | 21.58 | -0.59 | + |
| 2009 | 26.35 | 15.53 | 0.59 | - |
| 2010 | 15.06 | 16.85 | 1.12 | + |
| 2011 | 1.89 | 26.60 | 14.04 | + |
| 2012 | 15.99 | 5.58 | 0.35 | - |
| 2013 | 32.31 | 14.82 | 0.46 | - |
| 2014 | 13.46 | 18.30 | 1.36 | + |
| 2015 | 1.23 | -1.57 | -1.27 | - |
| 2016 | 12.00 | 13.37 | 1.11 | + |
| 2017 | 21.71 | 17.57 | 0.81 | - |
| 2018 | -4.57 | -9.40 | 2.06 | - |
| 2019 | 31.22 | 17.56 | 0.56 | - |
| 2020 | 18.33 | 18.96 | 1.03 | + |
| 2021 | 28.73 | 20.18 | 0.70 | - |
| 2022 | -18.18 | -18.11 | 1.00 | + |
| 2023 | 26.18 | 19.45 | 0.74 | - |
| 2024 | 24.89 | 14.41 | 0.58 | - |
| 2025 | 17.72 | 5.62 | 0.32 | - |
| 2026 | 8.94 | -3.49 | -0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-01-31 | -23.87 | 731 |
| 2009-01-31 | 2009-04-30 | -15.14 | 90 |
| 2018-09-30 | 2019-10-31 | -13.44 | 397 |
| 2024-12-31 | 2025-08-31 | -8.75 | 244 |
| 1994-02-28 | 1995-01-31 | -7.04 | 338 |
| 2015-02-28 | 2016-05-31 | -6.77 | 459 |
| 2001-11-30 | 2002-07-31 | -6.48 | 244 |
| 2025-12-31 | 2026-07-31 | -6.36 | 213 |
| 2003-06-30 | 2003-10-31 | -6.28 | 124 |
| 2007-12-31 | 2008-10-31 | -6.10 | 306 |