| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 863.76% |
| CAGR﹪ | 10.76% | 7.0% |
| Sharpe | 0.77 | 1.11 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.1 |
| Sortino | 1.18 | 1.84 |
| Smart Sortino | 1.17 | 1.82 |
| Sortino/√2 | 0.84 | 1.3 |
| Smart Sortino/√2 | 0.83 | 1.29 |
| Omega | 1.76 | 2.34 |
| Max Drawdown | -50.78% | -20.29% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2025-07-31 |
| Longest DD Days | 2223 | 1278 |
| Volatility (ann.) | 14.76% | 6.28% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.34 |
| Skew | -0.55 | -0.5 |
| Kurtosis | 0.98 | 1.93 |
| Ulcer Performance Index | 211.25 | 207.81 |
| Risk-Adjusted Return | 754.56% | 313.82% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.58% |
| Avg. Win | 3.62% | 1.61% |
| Avg. Loss | -4.08% | -1.75% |
| Win/Loss Ratio | 0.89 | 0.92 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.57% |
| Expected Monthly | 0.85% | 0.57% |
| Expected Yearly | 10.59% | 6.89% |
| Kelly Criterion | 25.69% | 32.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.4% |
| Expected Shortfall (cVaR) | -8.96% | -3.74% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.34 |
| Gain/Pain (1M) | 0.76 | 1.34 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 1.76 | 2.34 |
| Common Sense Ratio | 1.85 | 2.89 |
| CPC Index | 1.01 | 1.46 |
| Tail Ratio | 1.05 | 1.24 |
| Outlier Win Ratio | 2.95 | 3.32 |
| Outlier Loss Ratio | 2.93 | 3.81 |
| MTD | -1.05% | -1.37% |
| 3M | 13.91% | 3.75% |
| 6M | 8.94% | 2.16% |
| YTD | 8.94% | 2.16% |
| 1Y | 20.92% | 7.92% |
| 3Y (ann.) | 18.77% | 7.51% |
| 5Y (ann.) | 12.51% | 1.52% |
| 10Y (ann.) | 15.13% | 4.27% |
| All-time (ann.) | 10.76% | 7.0% |
| Best Day | 12.7% | 6.49% |
| Worst Day | -16.52% | -6.68% |
| Best Month | 12.7% | 6.49% |
| Worst Month | -16.52% | -6.68% |
| Best Year | 38.05% | 24.77% |
| Worst Year | -36.79% | -17.47% |
| Avg. Drawdown | -6.27% | -1.94% |
| Avg. Drawdown Days | 122 | 76 |
| Recovery Factor | 7.49 | 11.52 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 7.46 |
| Avg. Up Month | 3.62% | 1.61% |
| Avg. Down Month | -4.08% | -1.75% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 77.78% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.26 |
| Alpha | - | 0.04 |
| Correlation | - | 59.93% |
| Treynor Ratio | - | 3387.22% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.11 | 0.82 | - |
| 1994 | 0.40 | -1.81 | -4.55 | - |
| 1995 | 38.05 | 24.77 | 0.65 | - |
| 1996 | 22.50 | 18.23 | 0.81 | - |
| 1997 | 33.48 | 18.12 | 0.54 | - |
| 1998 | 28.69 | 4.03 | 0.14 | - |
| 1999 | 20.39 | -0.74 | -0.04 | - |
| 2000 | -9.74 | 12.40 | -1.27 | + |
| 2001 | -11.76 | 4.21 | -0.36 | + |
| 2002 | -21.58 | 7.43 | -0.34 | + |
| 2003 | 28.18 | 13.91 | 0.49 | - |
| 2004 | 10.70 | 7.11 | 0.67 | - |
| 2005 | 4.83 | 3.67 | 0.76 | - |
| 2006 | 15.85 | 8.94 | 0.56 | - |
| 2007 | 5.15 | 7.68 | 1.49 | + |
| 2008 | -36.79 | 0.87 | -0.02 | + |
| 2009 | 26.35 | 3.37 | 0.13 | - |
| 2010 | 15.06 | 12.56 | 0.83 | - |
| 2011 | 1.89 | 13.20 | 6.96 | + |
| 2012 | 15.99 | 7.08 | 0.44 | - |
| 2013 | 32.31 | 4.54 | 0.14 | - |
| 2014 | 13.46 | 10.77 | 0.80 | - |
| 2015 | 1.23 | 1.77 | 1.44 | + |
| 2016 | 12.00 | 4.86 | 0.40 | - |
| 2017 | 21.71 | 8.96 | 0.41 | - |
| 2018 | -4.57 | -0.55 | 0.12 | + |
| 2019 | 31.22 | 14.91 | 0.48 | - |
| 2020 | 18.33 | 12.24 | 0.67 | - |
| 2021 | 28.73 | 3.64 | 0.13 | - |
| 2022 | -18.18 | -17.47 | 0.96 | + |
| 2023 | 26.18 | 8.00 | 0.31 | - |
| 2024 | 24.89 | 4.83 | 0.19 | - |
| 2025 | 17.72 | 12.18 | 0.69 | - |
| 2026 | 8.94 | 2.16 | 0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-07-31 | -20.29 | 1278 |
| 2008-05-31 | 2009-07-31 | -10.08 | 427 |
| 1993-11-30 | 1995-02-28 | -7.59 | 456 |
| 2004-04-30 | 2004-10-31 | -5.71 | 185 |
| 1998-07-31 | 1998-10-31 | -4.32 | 93 |
| 2013-05-31 | 2013-10-31 | -4.22 | 154 |
| 2016-08-31 | 2017-03-31 | -3.64 | 213 |
| 2026-03-31 | 2026-03-31 | -3.43 | 1 |
| 2018-09-30 | 2018-12-31 | -3.12 | 93 |
| 2021-01-31 | 2021-05-31 | -3.03 | 121 |