| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 681.75% |
| CAGR﹪ | 10.76% | 6.33% |
| Sharpe | 0.77 | 1.21 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.12 |
| Sortino | 1.18 | 2.0 |
| Smart Sortino | 1.1 | 1.86 |
| Sortino/√2 | 0.84 | 1.42 |
| Smart Sortino/√2 | 0.78 | 1.31 |
| Omega | 1.76 | 2.41 |
| Max Drawdown | -50.78% | -8.47% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2009-08-31 |
| Longest DD Days | 2223 | 1005 |
| Volatility (ann.) | 14.76% | 5.22% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.75 |
| Skew | -0.55 | -0.66 |
| Kurtosis | 0.98 | 1.37 |
| Ulcer Performance Index | 211.25 | 270.46 |
| Risk-Adjusted Return | 754.56% | 262.94% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 0.53% |
| Avg. Win | 3.36% | 1.38% |
| Avg. Loss | -3.76% | -1.48% |
| Win/Loss Ratio | 0.89 | 0.93 |
| Profit Ratio | 0.5 | 0.5 |
| Expected Daily | 0.85% | 0.51% |
| Expected Monthly | 0.85% | 0.51% |
| Expected Yearly | 10.59% | 6.23% |
| Kelly Criterion | 26.04% | 34.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.95% |
| Expected Shortfall (cVaR) | -8.96% | -2.94% |
| Max Consecutive Wins | 15 | 18 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.41 |
| Gain/Pain (1M) | 0.76 | 1.41 |
| Payoff Ratio | 0.89 | 0.93 |
| Profit Factor | 1.76 | 2.41 |
| Common Sense Ratio | 1.85 | 3.08 |
| CPC Index | 1.02 | 1.54 |
| Tail Ratio | 1.05 | 1.28 |
| Outlier Win Ratio | 2.95 | 2.74 |
| Outlier Loss Ratio | 2.93 | 3.13 |
| MTD | -1.05% | 1.07% |
| 3M | 13.91% | 3.92% |
| 6M | 8.94% | 7.16% |
| YTD | 8.94% | 7.16% |
| 1Y | 20.92% | 12.98% |
| 3Y (ann.) | 18.77% | 5.28% |
| 5Y (ann.) | 12.51% | 2.52% |
| 10Y (ann.) | 15.13% | 4.42% |
| All-time (ann.) | 10.76% | 6.33% |
| Best Day | 12.7% | 4.36% |
| Worst Day | -16.52% | -6.5% |
| Best Month | 12.7% | 4.36% |
| Worst Month | -16.52% | -6.5% |
| Best Year | 38.05% | 19.87% |
| Worst Year | -36.79% | -5.89% |
| Avg. Drawdown | -6.27% | -2.1% |
| Avg. Drawdown Days | 122 | 106 |
| Recovery Factor | 7.49 | 24.87 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 20.1 |
| Avg. Up Month | 3.36% | 1.38% |
| Avg. Down Month | -3.76% | -1.48% |
| Win Days | 65.09% | 68.66% |
| Win Month | 65.09% | 68.66% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.18 |
| Alpha | - | 0.04 |
| Correlation | - | 52.1% |
| Treynor Ratio | - | 3700.31% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.93 | 0.91 | - |
| 1994 | 0.40 | 0.23 | 0.58 | - |
| 1995 | 38.05 | 19.87 | 0.52 | - |
| 1996 | 22.50 | 14.34 | 0.64 | - |
| 1997 | 33.48 | 12.05 | 0.36 | - |
| 1998 | 28.69 | 7.30 | 0.25 | - |
| 1999 | 20.39 | 5.36 | 0.26 | - |
| 2000 | -9.74 | 13.11 | -1.35 | + |
| 2001 | -11.76 | 2.15 | -0.18 | + |
| 2002 | -21.58 | 7.24 | -0.34 | + |
| 2003 | 28.18 | 12.89 | 0.46 | - |
| 2004 | 10.70 | 6.86 | 0.64 | - |
| 2005 | 4.83 | 3.20 | 0.66 | - |
| 2006 | 15.85 | 11.85 | 0.75 | - |
| 2007 | 5.15 | 6.76 | 1.31 | + |
| 2008 | -36.79 | 2.27 | -0.06 | + |
| 2009 | 26.35 | 6.92 | 0.26 | - |
| 2010 | 15.06 | 5.77 | 0.38 | - |
| 2011 | 1.89 | 2.14 | 1.13 | + |
| 2012 | 15.99 | 4.07 | 0.25 | - |
| 2013 | 32.31 | 9.24 | 0.29 | - |
| 2014 | 13.46 | 6.27 | 0.47 | - |
| 2015 | 1.23 | -1.85 | -1.50 | - |
| 2016 | 12.00 | 6.95 | 0.58 | - |
| 2017 | 21.71 | 7.82 | 0.36 | - |
| 2018 | -4.57 | 0.18 | -0.04 | + |
| 2019 | 31.22 | 8.14 | 0.26 | - |
| 2020 | 18.33 | 3.18 | 0.17 | - |
| 2021 | 28.73 | 13.20 | 0.46 | - |
| 2022 | -18.18 | -5.89 | 0.32 | + |
| 2023 | 26.18 | -1.06 | -0.04 | - |
| 2024 | 24.89 | 5.95 | 0.24 | - |
| 2025 | 17.72 | 4.59 | 0.26 | - |
| 2026 | 8.94 | 7.16 | 0.80 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-08-31 | -8.47 | 428 |
| 2022-01-31 | 2024-10-31 | -8.27 | 1005 |
| 2004-04-30 | 2005-06-30 | -7.96 | 427 |
| 2015-04-30 | 2016-06-30 | -5.74 | 428 |
| 2024-12-31 | 2025-08-31 | -5.31 | 244 |
| 2011-05-31 | 2012-12-31 | -5.25 | 581 |
| 2010-05-31 | 2010-11-30 | -4.88 | 184 |
| 2018-09-30 | 2019-07-31 | -4.86 | 305 |
| 2020-01-31 | 2020-10-31 | -4.18 | 275 |
| 2007-06-30 | 2007-08-31 | -3.21 | 63 |