| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 503.00% |
| CAGR﹪ | 10.76% | 5.51% |
| Sharpe | 0.77 | 1.08 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.01 |
| Sortino | 1.18 | 1.86 |
| Smart Sortino | 1.11 | 1.74 |
| Sortino/√2 | 0.84 | 1.31 |
| Smart Sortino/√2 | 0.78 | 1.23 |
| Omega | 1.76 | 2.21 |
| Max Drawdown | -50.78% | -8.08% |
| 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 | 2024-06-30 |
| Longest DD Days | 2223 | 882 |
| Volatility (ann.) | 14.76% | 5.08% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.21 | 0.68 |
| Skew | -0.55 | -0.3 |
| Kurtosis | 0.98 | 0.72 |
| Ulcer Performance Index | 211.25 | 210.11 |
| Risk-Adjusted Return | 754.56% | 208.43% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.46% |
| Avg. Win | 3.49% | 1.32% |
| Avg. Loss | -3.78% | -1.46% |
| Win/Loss Ratio | 0.92 | 0.9 |
| Profit Ratio | 0.5 | 0.51 |
| Expected Daily | 0.85% | 0.45% |
| Expected Monthly | 0.85% | 0.45% |
| Expected Yearly | 10.59% | 5.43% |
| Kelly Criterion | 27.29% | 31.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.95% |
| Expected Shortfall (cVaR) | -8.96% | -2.97% |
| Max Consecutive Wins | 15 | 18 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.76 | 1.21 |
| Gain/Pain (1M) | 0.76 | 1.21 |
| Payoff Ratio | 0.92 | 0.9 |
| Profit Factor | 1.76 | 2.21 |
| Common Sense Ratio | 1.85 | 3.06 |
| CPC Index | 1.06 | 1.35 |
| Tail Ratio | 1.05 | 1.39 |
| Outlier Win Ratio | 2.95 | 3.17 |
| Outlier Loss Ratio | 2.93 | 2.97 |
| MTD | -1.05% | 1.32% |
| 3M | 13.91% | 5.72% |
| 6M | 8.94% | 8.76% |
| YTD | 8.94% | 8.76% |
| 1Y | 20.92% | 12.66% |
| 3Y (ann.) | 18.77% | 6.03% |
| 5Y (ann.) | 12.51% | 2.92% |
| 10Y (ann.) | 15.13% | 4.45% |
| All-time (ann.) | 10.76% | 5.51% |
| Best Day | 12.7% | 4.77% |
| Worst Day | -16.52% | -5.21% |
| Best Month | 12.7% | 4.77% |
| Worst Month | -16.52% | -5.21% |
| Best Year | 38.05% | 19.76% |
| Worst Year | -36.79% | -5.24% |
| Avg. Drawdown | -6.27% | -2.04% |
| Avg. Drawdown Days | 122 | 107 |
| Recovery Factor | 7.49 | 22.82 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 18.97 |
| Avg. Up Month | 3.49% | 1.32% |
| Avg. Down Month | -3.78% | -1.46% |
| Win Days | 65.09% | 67.66% |
| Win Month | 65.09% | 67.66% |
| Win Quarter | 73.33% | 70.37% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.16 |
| Alpha | - | 0.04 |
| Correlation | - | 46.84% |
| Treynor Ratio | - | 3120.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.03 | 0.92 | - |
| 1994 | 0.40 | -0.55 | -1.39 | - |
| 1995 | 38.05 | 19.76 | 0.52 | - |
| 1996 | 22.50 | 12.40 | 0.55 | - |
| 1997 | 33.48 | 11.66 | 0.35 | - |
| 1998 | 28.69 | 7.53 | 0.26 | - |
| 1999 | 20.39 | 4.58 | 0.22 | - |
| 2000 | -9.74 | 11.81 | -1.21 | + |
| 2001 | -11.76 | 0.86 | -0.07 | + |
| 2002 | -21.58 | 6.71 | -0.31 | + |
| 2003 | 28.18 | 13.47 | 0.48 | - |
| 2004 | 10.70 | 6.13 | 0.57 | - |
| 2005 | 4.83 | 0.96 | 0.20 | - |
| 2006 | 15.85 | 8.05 | 0.51 | - |
| 2007 | 5.15 | 5.56 | 1.08 | + |
| 2008 | -36.79 | 4.62 | -0.13 | + |
| 2009 | 26.35 | -0.24 | -0.01 | - |
| 2010 | 15.06 | 4.42 | 0.29 | - |
| 2011 | 1.89 | -0.44 | -0.23 | - |
| 2012 | 15.99 | 4.16 | 0.26 | - |
| 2013 | 32.31 | 7.32 | 0.23 | - |
| 2014 | 13.46 | 5.78 | 0.43 | - |
| 2015 | 1.23 | -4.28 | -3.46 | - |
| 2016 | 12.00 | 6.00 | 0.50 | - |
| 2017 | 21.71 | 5.35 | 0.25 | - |
| 2018 | -4.57 | 1.57 | -0.34 | + |
| 2019 | 31.22 | 7.92 | 0.25 | - |
| 2020 | 18.33 | 3.13 | 0.17 | - |
| 2021 | 28.73 | 13.52 | 0.47 | - |
| 2022 | -18.18 | -5.24 | 0.29 | + |
| 2023 | 26.18 | 2.16 | 0.08 | - |
| 2024 | 24.89 | 4.50 | 0.18 | - |
| 2025 | 17.72 | 2.80 | 0.16 | - |
| 2026 | 8.94 | 8.76 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -8.08 | 882 |
| 2008-07-31 | 2010-03-31 | -7.90 | 609 |
| 2004-04-30 | 2005-06-30 | -7.09 | 427 |
| 2015-04-30 | 2017-01-31 | -6.67 | 643 |
| 2011-05-31 | 2012-08-31 | -5.83 | 459 |
| 2024-12-31 | 2025-12-31 | -5.44 | 366 |
| 2005-08-31 | 2005-12-31 | -4.48 | 123 |
| 2010-05-31 | 2010-09-30 | -4.34 | 123 |
| 2018-09-30 | 2019-02-28 | -3.73 | 152 |
| 2020-02-29 | 2020-10-31 | -3.66 | 246 |