| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 876.31% |
| CAGR﹪ | 10.76% | 7.04% |
| Sharpe | 0.77 | 1.04 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.77 | 1.03 |
| Sortino | 1.18 | 1.7 |
| Smart Sortino | 1.18 | 1.7 |
| Sortino/√2 | 0.84 | 1.21 |
| Smart Sortino/√2 | 0.83 | 1.2 |
| Omega | 1.76 | 2.17 |
| Max Drawdown | -50.78% | -19.03% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2025-05-31 |
| Longest DD Days | 2223 | 1340 |
| Volatility (ann.) | 14.76% | 6.81% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.37 |
| Skew | -0.55 | -0.37 |
| Kurtosis | 0.98 | 1.44 |
| Ulcer Performance Index | 211.25 | 218.03 |
| Risk-Adjusted Return | 754.56% | 317.2% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.59% |
| Avg. Win | 3.54% | 1.71% |
| Avg. Loss | -4.09% | -1.89% |
| Win/Loss Ratio | 0.87 | 0.9 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.57% |
| Expected Monthly | 0.85% | 0.57% |
| Expected Yearly | 10.59% | 6.93% |
| Kelly Criterion | 24.8% | 30.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.64% |
| Expected Shortfall (cVaR) | -8.96% | -4.18% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.17 |
| Gain/Pain (1M) | 0.76 | 1.17 |
| Payoff Ratio | 0.87 | 0.9 |
| Profit Factor | 1.76 | 2.17 |
| Common Sense Ratio | 1.85 | 2.72 |
| CPC Index | 0.99 | 1.32 |
| Tail Ratio | 1.05 | 1.25 |
| Outlier Win Ratio | 2.95 | 3.08 |
| Outlier Loss Ratio | 2.93 | 3.29 |
| MTD | -1.05% | -1.07% |
| 3M | 13.91% | 6.2% |
| 6M | 8.94% | 4.42% |
| YTD | 8.94% | 4.42% |
| 1Y | 20.92% | 10.53% |
| 3Y (ann.) | 18.77% | 8.3% |
| 5Y (ann.) | 12.51% | 2.15% |
| 10Y (ann.) | 15.13% | 4.05% |
| All-time (ann.) | 10.76% | 7.04% |
| Best Day | 12.7% | 8.27% |
| Worst Day | -16.52% | -6.26% |
| Best Month | 12.7% | 8.27% |
| Worst Month | -16.52% | -6.26% |
| Best Year | 38.05% | 23.86% |
| Worst Year | -36.79% | -16.7% |
| Avg. Drawdown | -6.27% | -2.54% |
| Avg. Drawdown Days | 122 | 104 |
| Recovery Factor | 7.49 | 12.41 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 9.1 |
| Avg. Up Month | 3.54% | 1.71% |
| Avg. Down Month | -4.09% | -1.89% |
| Win Days | 65.09% | 67.16% |
| Win Month | 65.09% | 67.16% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.29 |
| Alpha | - | 0.04 |
| Correlation | - | 63.21% |
| Treynor Ratio | - | 3006.94% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.63 | 0.99 | - |
| 1994 | 0.40 | -0.88 | -2.22 | - |
| 1995 | 38.05 | 23.86 | 0.63 | - |
| 1996 | 22.50 | 20.76 | 0.92 | - |
| 1997 | 33.48 | 18.76 | 0.56 | - |
| 1998 | 28.69 | 0.61 | 0.02 | - |
| 1999 | 20.39 | 0.10 | 0.00 | - |
| 2000 | -9.74 | 11.44 | -1.17 | + |
| 2001 | -11.76 | 4.96 | -0.42 | + |
| 2002 | -21.58 | 6.94 | -0.32 | + |
| 2003 | 28.18 | 15.86 | 0.56 | - |
| 2004 | 10.70 | 10.78 | 1.01 | + |
| 2005 | 4.83 | 4.37 | 0.90 | - |
| 2006 | 15.85 | 11.39 | 0.72 | - |
| 2007 | 5.15 | 4.57 | 0.89 | - |
| 2008 | -36.79 | 1.96 | -0.05 | + |
| 2009 | 26.35 | 2.82 | 0.11 | - |
| 2010 | 15.06 | 11.75 | 0.78 | - |
| 2011 | 1.89 | 13.10 | 6.91 | + |
| 2012 | 15.99 | 7.45 | 0.47 | - |
| 2013 | 32.31 | 0.70 | 0.02 | - |
| 2014 | 13.46 | 11.80 | 0.88 | - |
| 2015 | 1.23 | 1.35 | 1.09 | + |
| 2016 | 12.00 | 6.56 | 0.55 | - |
| 2017 | 21.71 | 10.17 | 0.47 | - |
| 2018 | -4.57 | -1.70 | 0.37 | + |
| 2019 | 31.22 | 18.77 | 0.60 | - |
| 2020 | 18.33 | 2.78 | 0.15 | - |
| 2021 | 28.73 | 2.07 | 0.07 | - |
| 2022 | -18.18 | -16.70 | 0.92 | + |
| 2023 | 26.18 | 9.10 | 0.35 | - |
| 2024 | 24.89 | 4.55 | 0.18 | - |
| 2025 | 17.72 | 12.07 | 0.68 | - |
| 2026 | 8.94 | 4.42 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-05-31 | -19.03 | 1340 |
| 2008-05-31 | 2009-07-31 | -11.33 | 427 |
| 1998-04-30 | 2000-02-29 | -7.42 | 671 |
| 1993-11-30 | 1995-01-31 | -6.73 | 428 |
| 2020-02-29 | 2020-06-30 | -6.50 | 123 |
| 2004-04-30 | 2004-09-30 | -6.26 | 154 |
| 2013-05-31 | 2014-01-31 | -6.09 | 246 |
| 2015-03-31 | 2016-02-29 | -4.22 | 336 |
| 2018-09-30 | 2018-12-31 | -3.99 | 93 |
| 2026-03-31 | 2026-03-31 | -3.85 | 1 |