| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,605.80% |
| CAGR﹪ | 10.76% | 8.84% |
| Sharpe | 0.77 | 0.94 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.91 |
| Sortino | 1.18 | 1.56 |
| Smart Sortino | 1.15 | 1.52 |
| Sortino/√2 | 0.84 | 1.1 |
| Smart Sortino/√2 | 0.82 | 1.07 |
| Omega | 1.76 | 2.37 |
| Max Drawdown | -50.78% | -19.45% |
| Max DD Date | 2009-02-28 | 2020-03-31 |
| Max DD Period Start | 2007-11-30 | 2020-01-31 |
| Max DD Period End | 2012-02-29 | 2020-11-30 |
| Longest DD Days | 2223 | 854 |
| Volatility (ann.) | 14.76% | 9.58% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.21 | 0.45 |
| Skew | -0.55 | -0.36 |
| Kurtosis | 0.98 | 4.51 |
| Ulcer Performance Index | 211.25 | 375.08 |
| Risk-Adjusted Return | 754.56% | 491.91% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.95% | 0.75% |
| Avg. Win | 3.28% | 1.91% |
| Avg. Loss | -3.41% | -2.73% |
| Win/Loss Ratio | 0.96 | 0.7 |
| Profit Ratio | 0.5 | 0.2 |
| Expected Daily | 0.85% | 0.71% |
| Expected Monthly | 0.85% | 0.71% |
| Expected Yearly | 10.59% | 8.7% |
| Kelly Criterion | 28.79% | 44.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.8% |
| Expected Shortfall (cVaR) | -8.96% | -6.45% |
| Max Consecutive Wins | 15 | 42 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.37 |
| Gain/Pain (1M) | 0.76 | 1.37 |
| Payoff Ratio | 0.96 | 0.7 |
| Profit Factor | 1.76 | 2.37 |
| Common Sense Ratio | 1.85 | 4.17 |
| CPC Index | 1.1 | 1.28 |
| Tail Ratio | 1.05 | 1.76 |
| Outlier Win Ratio | 2.95 | 4.75 |
| Outlier Loss Ratio | 2.93 | 2.89 |
| MTD | -1.05% | 0.2% |
| 3M | 13.91% | -0.36% |
| 6M | 8.94% | -4.72% |
| YTD | 8.94% | -4.72% |
| 1Y | 20.92% | -1.38% |
| 3Y (ann.) | 18.77% | 7.24% |
| 5Y (ann.) | 12.51% | 5.27% |
| 10Y (ann.) | 15.13% | 6.36% |
| All-time (ann.) | 10.76% | 8.84% |
| 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% | 28.69% |
| Worst Year | -36.79% | -7.48% |
| Avg. Drawdown | -6.27% | -4.15% |
| Avg. Drawdown Days | 122 | 109 |
| Recovery Factor | 7.49 | 15.43 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 16.24 |
| Avg. Up Month | 3.28% | 1.91% |
| Avg. Down Month | -3.41% | -2.73% |
| Win Days | 65.09% | 77.36% |
| Win Month | 65.09% | 77.36% |
| Win Quarter | 73.33% | 83.7% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.34 |
| Alpha | - | 0.05 |
| Correlation | - | 53.05% |
| Treynor Ratio | - | 4665.03% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.71 | 1.00 | + |
| 1994 | 0.40 | 4.16 | 10.46 | + |
| 1995 | 38.05 | 23.40 | 0.62 | - |
| 1996 | 22.50 | 12.35 | 0.55 | - |
| 1997 | 33.48 | 24.52 | 0.73 | - |
| 1998 | 28.69 | 28.69 | 1.00 | - |
| 1999 | 20.39 | 8.74 | 0.43 | - |
| 2000 | -9.74 | 8.07 | -0.83 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 14.46 | -0.67 | + |
| 2003 | 28.18 | 11.74 | 0.42 | - |
| 2004 | 10.70 | 12.43 | 1.16 | + |
| 2005 | 4.83 | 8.28 | 1.71 | + |
| 2006 | 15.85 | 7.30 | 0.46 | - |
| 2007 | 5.15 | 6.35 | 1.23 | + |
| 2008 | -36.79 | 7.08 | -0.19 | + |
| 2009 | 26.35 | 3.52 | 0.13 | - |
| 2010 | 15.06 | 13.82 | 0.92 | - |
| 2011 | 1.89 | 1.89 | 1.00 | - |
| 2012 | 15.99 | 10.78 | 0.67 | - |
| 2013 | 32.31 | 15.25 | 0.47 | - |
| 2014 | 13.46 | 8.24 | 0.61 | - |
| 2015 | 1.23 | -7.48 | -6.06 | - |
| 2016 | 12.00 | 6.30 | 0.53 | - |
| 2017 | 21.71 | 3.72 | 0.17 | - |
| 2018 | -4.57 | 7.48 | -1.64 | + |
| 2019 | 31.22 | 17.12 | 0.55 | - |
| 2020 | 18.33 | 0.63 | 0.03 | - |
| 2021 | 28.73 | 1.71 | 0.06 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 5.00 | 0.19 | - |
| 2024 | 24.89 | 8.18 | 0.33 | - |
| 2025 | 17.72 | 17.09 | 0.96 | - |
| 2026 | 8.94 | -4.72 | -0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-31 | 2020-11-30 | -19.45 | 305 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 1998-07-31 | 1998-10-31 | -15.28 | 93 |
| 2015-08-31 | 2017-12-31 | -14.95 | 854 |
| 2010-04-30 | 2010-09-30 | -12.78 | 154 |
| 2007-11-30 | 2008-11-30 | -12.28 | 367 |
| 2012-04-30 | 2012-12-31 | -7.11 | 246 |
| 2009-01-31 | 2009-10-31 | -6.65 | 274 |
| 2019-05-31 | 2019-05-31 | -6.38 | 1 |
| 2026-02-28 | 2026-07-31 | -6.29 | 154 |