| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,179.94% |
| CAGR﹪ | 10.76% | 10.98% |
| Sharpe | 0.77 | 0.77 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.75 |
| Sortino | 1.18 | 1.16 |
| Smart Sortino | 1.16 | 1.14 |
| Sortino/√2 | 0.84 | 0.82 |
| Smart Sortino/√2 | 0.82 | 0.81 |
| Omega | 1.76 | 1.75 |
| Max Drawdown | -50.78% | -50.84% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2012-02-29 |
| Longest DD Days | 2223 | 1919 |
| Volatility (ann.) | 14.76% | 15.17% |
| R^2 | 0.98 | 0.98 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.21 | 0.22 |
| Skew | -0.55 | -0.63 |
| Kurtosis | 0.98 | 1.22 |
| Ulcer Performance Index | 211.25 | 243.5 |
| Risk-Adjusted Return | 754.56% | 791.75% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.95% | 0.97% |
| Avg. Win | 3.43% | 3.51% |
| Avg. Loss | -3.72% | -3.88% |
| Win/Loss Ratio | 0.92 | 0.9 |
| Profit Ratio | 0.5 | 0.48 |
| Expected Daily | 0.85% | 0.87% |
| Expected Monthly | 0.85% | 0.87% |
| Expected Yearly | 10.59% | 10.81% |
| Kelly Criterion | 27.23% | 27.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -6.23% |
| Expected Shortfall (cVaR) | -8.96% | -9.34% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.75 |
| Gain/Pain (1M) | 0.76 | 0.75 |
| Payoff Ratio | 0.92 | 0.9 |
| Profit Factor | 1.76 | 1.75 |
| Common Sense Ratio | 1.85 | 1.75 |
| CPC Index | 1.06 | 1.04 |
| Tail Ratio | 1.05 | 1.0 |
| Outlier Win Ratio | 2.95 | 3.03 |
| Outlier Loss Ratio | 2.93 | 2.7 |
| MTD | -1.05% | -0.49% |
| 3M | 13.91% | 15.11% |
| 6M | 8.94% | 10.49% |
| YTD | 8.94% | 10.49% |
| 1Y | 20.92% | 22.56% |
| 3Y (ann.) | 18.77% | 18.81% |
| 5Y (ann.) | 12.51% | 11.74% |
| 10Y (ann.) | 15.13% | 14.85% |
| All-time (ann.) | 10.76% | 10.98% |
| Best Day | 12.7% | 13.13% |
| Worst Day | -16.52% | -17.48% |
| Best Month | 12.7% | 13.13% |
| Worst Month | -16.52% | -17.48% |
| Best Year | 38.05% | 35.17% |
| Worst Year | -36.79% | -36.99% |
| Avg. Drawdown | -6.27% | -6.54% |
| Avg. Drawdown Days | 122 | 130 |
| Recovery Factor | 7.49 | 7.66 |
| Ulcer Index | 0.14 | 0.13 |
| Serenity Index | 3.21 | 3.82 |
| Avg. Up Month | 3.43% | 3.51% |
| Avg. Down Month | -3.72% | -3.88% |
| Win Days | 65.09% | 65.67% |
| Win Month | 65.09% | 65.67% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 1.01 |
| Alpha | - | 0.0 |
| Correlation | - | 98.77% |
| Treynor Ratio | - | 3133.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.38 | 1.08 | + |
| 1994 | 0.40 | -0.29 | -0.72 | - |
| 1995 | 38.05 | 35.17 | 0.92 | - |
| 1996 | 22.50 | 21.47 | 0.95 | - |
| 1997 | 33.48 | 32.82 | 0.98 | - |
| 1998 | 28.69 | 24.04 | 0.84 | - |
| 1999 | 20.39 | 25.34 | 1.24 | + |
| 2000 | -9.74 | -10.06 | 1.03 | - |
| 2001 | -11.76 | -8.32 | 0.71 | + |
| 2002 | -21.58 | -20.48 | 0.95 | + |
| 2003 | 28.18 | 30.74 | 1.09 | + |
| 2004 | 10.70 | 12.78 | 1.19 | + |
| 2005 | 4.83 | 6.30 | 1.31 | + |
| 2006 | 15.85 | 15.70 | 0.99 | - |
| 2007 | 5.15 | 5.37 | 1.04 | + |
| 2008 | -36.79 | -36.99 | 1.01 | - |
| 2009 | 26.35 | 28.90 | 1.10 | + |
| 2010 | 15.06 | 17.43 | 1.16 | + |
| 2011 | 1.89 | 0.97 | 0.51 | - |
| 2012 | 15.99 | 16.45 | 1.03 | + |
| 2013 | 32.31 | 33.45 | 1.04 | + |
| 2014 | 13.46 | 12.55 | 0.93 | - |
| 2015 | 1.23 | 0.36 | 0.29 | - |
| 2016 | 12.00 | 12.82 | 1.07 | + |
| 2017 | 21.71 | 21.21 | 0.98 | - |
| 2018 | -4.57 | -5.23 | 1.15 | - |
| 2019 | 31.22 | 30.67 | 0.98 | - |
| 2020 | 18.33 | 21.08 | 1.15 | + |
| 2021 | 28.73 | 25.68 | 0.89 | - |
| 2022 | -18.18 | -19.52 | 1.07 | - |
| 2023 | 26.18 | 26.05 | 1.00 | - |
| 2024 | 24.89 | 23.81 | 0.96 | - |
| 2025 | 17.72 | 17.10 | 0.96 | - |
| 2026 | 8.94 | 10.49 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2012-02-29 | -50.84 | 1553 |
| 2000-09-30 | 2005-12-31 | -42.10 | 1919 |
| 2022-01-31 | 2023-11-30 | -24.82 | 669 |
| 2020-01-31 | 2020-06-30 | -20.82 | 152 |
| 1998-07-31 | 1998-10-31 | -17.55 | 93 |
| 2018-10-31 | 2019-03-31 | -14.21 | 152 |
| 2015-06-30 | 2016-04-30 | -8.84 | 306 |
| 2000-04-30 | 2000-07-31 | -8.42 | 93 |
| 2024-12-31 | 2025-05-31 | -8.40 | 152 |
| 1994-02-28 | 1995-01-31 | -7.37 | 338 |