| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 857.22% |
| CAGR﹪ | 10.76% | 6.98% |
| Sharpe | 0.77 | 1.03 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.01 |
| Sortino | 1.18 | 1.66 |
| Smart Sortino | 1.16 | 1.62 |
| Sortino/√2 | 0.84 | 1.17 |
| Smart Sortino/√2 | 0.82 | 1.15 |
| Omega | 1.76 | 2.22 |
| Max Drawdown | -50.78% | -20.26% |
| 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 | 2025-05-31 |
| Longest DD Days | 2223 | 1217 |
| Volatility (ann.) | 14.76% | 6.78% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.34 |
| Skew | -0.55 | -0.49 |
| Kurtosis | 0.98 | 2.72 |
| Ulcer Performance Index | 211.25 | 195.76 |
| Risk-Adjusted Return | 754.56% | 312.06% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.59% |
| Avg. Win | 3.59% | 1.68% |
| Avg. Loss | -4.34% | -1.99% |
| Win/Loss Ratio | 0.83 | 0.84 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.56% |
| Expected Monthly | 0.85% | 0.56% |
| Expected Yearly | 10.59% | 6.87% |
| Kelly Criterion | 22.91% | 30.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.64% |
| Expected Shortfall (cVaR) | -8.96% | -4.33% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.22 |
| Gain/Pain (1M) | 0.76 | 1.22 |
| Payoff Ratio | 0.83 | 0.84 |
| Profit Factor | 1.76 | 2.22 |
| Common Sense Ratio | 1.85 | 2.69 |
| CPC Index | 0.95 | 1.28 |
| Tail Ratio | 1.05 | 1.21 |
| Outlier Win Ratio | 2.95 | 3.27 |
| Outlier Loss Ratio | 2.93 | 3.71 |
| MTD | -1.05% | -1.11% |
| 3M | 13.91% | 3.49% |
| 6M | 8.94% | 2.63% |
| YTD | 8.94% | 2.63% |
| 1Y | 20.92% | 7.04% |
| 3Y (ann.) | 18.77% | 7.17% |
| 5Y (ann.) | 12.51% | 1.63% |
| 10Y (ann.) | 15.13% | 4.16% |
| All-time (ann.) | 10.76% | 6.98% |
| Best Day | 12.7% | 9.11% |
| Worst Day | -16.52% | -7.47% |
| Best Month | 12.7% | 9.11% |
| Worst Month | -16.52% | -7.47% |
| Best Year | 38.05% | 23.13% |
| Worst Year | -36.79% | -17.88% |
| Avg. Drawdown | -6.27% | -2.35% |
| Avg. Drawdown Days | 122 | 88 |
| Recovery Factor | 7.49 | 11.56 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 7.59 |
| Avg. Up Month | 3.59% | 1.68% |
| Avg. Down Month | -4.34% | -1.99% |
| Win Days | 65.09% | 68.41% |
| Win Month | 65.09% | 68.41% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.28 |
| Alpha | - | 0.04 |
| Correlation | - | 60.46% |
| Treynor Ratio | - | 3086.53% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.31 | 0.84 | - |
| 1994 | 0.40 | -2.13 | -5.36 | - |
| 1995 | 38.05 | 23.13 | 0.61 | - |
| 1996 | 22.50 | 12.08 | 0.54 | - |
| 1997 | 33.48 | 15.35 | 0.46 | - |
| 1998 | 28.69 | 7.21 | 0.25 | - |
| 1999 | 20.39 | -0.04 | -0.00 | - |
| 2000 | -9.74 | 11.69 | -1.20 | + |
| 2001 | -11.76 | 7.38 | -0.63 | + |
| 2002 | -21.58 | 11.40 | -0.53 | + |
| 2003 | 28.18 | 14.03 | 0.50 | - |
| 2004 | 10.70 | 9.90 | 0.93 | - |
| 2005 | 4.83 | 4.10 | 0.85 | - |
| 2006 | 15.85 | 9.82 | 0.62 | - |
| 2007 | 5.15 | 4.59 | 0.89 | - |
| 2008 | -36.79 | -2.88 | 0.08 | + |
| 2009 | 26.35 | 6.27 | 0.24 | - |
| 2010 | 15.06 | 12.09 | 0.80 | - |
| 2011 | 1.89 | 11.99 | 6.33 | + |
| 2012 | 15.99 | 9.22 | 0.58 | - |
| 2013 | 32.31 | 1.71 | 0.05 | - |
| 2014 | 13.46 | 12.31 | 0.91 | - |
| 2015 | 1.23 | 0.87 | 0.70 | - |
| 2016 | 12.00 | 6.01 | 0.50 | - |
| 2017 | 21.71 | 7.82 | 0.36 | - |
| 2018 | -4.57 | -2.39 | 0.52 | + |
| 2019 | 31.22 | 17.59 | 0.56 | - |
| 2020 | 18.33 | 9.92 | 0.54 | - |
| 2021 | 28.73 | 6.02 | 0.21 | - |
| 2022 | -18.18 | -17.88 | 0.98 | + |
| 2023 | 26.18 | 10.23 | 0.39 | - |
| 2024 | 24.89 | 5.24 | 0.21 | - |
| 2025 | 17.72 | 9.49 | 0.54 | - |
| 2026 | 8.94 | 2.63 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-05-31 | -20.26 | 1217 |
| 2008-05-31 | 2009-08-31 | -15.40 | 458 |
| 1993-11-30 | 1995-02-28 | -6.66 | 456 |
| 2013-05-31 | 2014-01-31 | -6.23 | 246 |
| 2004-04-30 | 2004-08-31 | -5.95 | 124 |
| 2020-02-29 | 2020-04-30 | -5.57 | 62 |
| 2016-08-31 | 2017-05-31 | -5.10 | 274 |
| 2015-02-28 | 2016-02-29 | -4.39 | 367 |
| 2018-01-31 | 2018-07-31 | -3.58 | 182 |
| 2026-03-31 | 2026-04-30 | -3.37 | 31 |