| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 8,029.48% |
| CAGR﹪ | 10.76% | 14.03% |
| Sharpe | 0.77 | 1.19 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.18 |
| Sortino | 1.18 | 2.53 |
| Smart Sortino | 1.17 | 2.51 |
| Sortino/√2 | 0.84 | 1.79 |
| Smart Sortino/√2 | 0.83 | 1.77 |
| Omega | 1.76 | 3.04 |
| Max Drawdown | -50.78% | -16.45% |
| Max DD Date | 2009-02-28 | 2023-02-28 |
| Max DD Period Start | 2007-11-30 | 2021-08-31 |
| Max DD Period End | 2012-02-29 | 2025-09-30 |
| Longest DD Days | 2223 | 1492 |
| Volatility (ann.) | 14.76% | 11.63% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.21 | 0.85 |
| Skew | -0.55 | 0.8 |
| Kurtosis | 0.98 | 3.01 |
| Ulcer Performance Index | 211.25 | 1438.17 |
| Risk-Adjusted Return | 754.56% | 1475.26% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.96% | 1.17% |
| Avg. Win | 3.18% | 2.72% |
| Avg. Loss | -3.15% | -3.02% |
| Win/Loss Ratio | 1.01 | 0.9 |
| Profit Ratio | 0.5 | 0.4 |
| Expected Daily | 0.85% | 1.1% |
| Expected Monthly | 0.85% | 1.1% |
| Expected Yearly | 10.59% | 13.81% |
| Kelly Criterion | 30.55% | 43.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.37% |
| Expected Shortfall (cVaR) | -8.96% | -6.94% |
| Max Consecutive Wins | 15 | 16 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.76 | 2.04 |
| Gain/Pain (1M) | 0.76 | 2.04 |
| Payoff Ratio | 1.01 | 0.9 |
| Profit Factor | 1.76 | 3.04 |
| Common Sense Ratio | 1.85 | 6.86 |
| CPC Index | 1.16 | 2.01 |
| Tail Ratio | 1.05 | 2.26 |
| Outlier Win Ratio | 2.95 | 5.06 |
| Outlier Loss Ratio | 2.93 | 3.69 |
| MTD | -1.05% | -7.43% |
| 3M | 13.91% | -0.32% |
| 6M | 8.94% | 3.47% |
| YTD | 8.94% | 3.47% |
| 1Y | 20.92% | 18.0% |
| 3Y (ann.) | 18.77% | 7.29% |
| 5Y (ann.) | 12.51% | 0.97% |
| 10Y (ann.) | 15.13% | 6.55% |
| All-time (ann.) | 10.76% | 14.03% |
| Best Day | 12.7% | 15.83% |
| Worst Day | -16.52% | -9.8% |
| Best Month | 12.7% | 15.83% |
| Worst Month | -16.52% | -9.8% |
| Best Year | 38.05% | 59.59% |
| Worst Year | -36.79% | -8.56% |
| Avg. Drawdown | -6.27% | -3.56% |
| Avg. Drawdown Days | 122 | 126 |
| Recovery Factor | 7.49 | 28.22 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 21.9 |
| Avg. Up Month | 3.18% | 2.72% |
| Avg. Down Month | -3.15% | -3.02% |
| Win Days | 65.09% | 73.32% |
| Win Month | 65.09% | 73.32% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.2 |
| Alpha | - | 0.12 |
| Correlation | - | 25.61% |
| Treynor Ratio | - | 39784.37% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 59.59 | 6.84 | + |
| 1994 | 0.40 | 15.51 | 39.03 | + |
| 1995 | 38.05 | 19.93 | 0.52 | - |
| 1996 | 22.50 | 11.35 | 0.50 | - |
| 1997 | 33.48 | 12.17 | 0.36 | - |
| 1998 | 28.69 | 17.53 | 0.61 | - |
| 1999 | 20.39 | 42.12 | 2.07 | + |
| 2000 | -9.74 | 7.33 | -0.75 | + |
| 2001 | -11.76 | 6.64 | -0.56 | + |
| 2002 | -21.58 | 10.47 | -0.48 | + |
| 2003 | 28.18 | 43.33 | 1.54 | + |
| 2004 | 10.70 | 26.24 | 2.45 | + |
| 2005 | 4.83 | 22.97 | 4.76 | + |
| 2006 | 15.85 | 34.51 | 2.18 | + |
| 2007 | 5.15 | 28.46 | 5.53 | + |
| 2008 | -36.79 | 14.53 | -0.39 | + |
| 2009 | 26.35 | 28.99 | 1.10 | + |
| 2010 | 15.06 | -2.52 | -0.17 | - |
| 2011 | 1.89 | 2.42 | 1.28 | + |
| 2012 | 15.99 | 22.37 | 1.40 | + |
| 2013 | 32.31 | 10.50 | 0.33 | - |
| 2014 | 13.46 | 0.02 | 0.00 | - |
| 2015 | 1.23 | -4.89 | -3.96 | - |
| 2016 | 12.00 | 4.67 | 0.39 | - |
| 2017 | 21.71 | 14.92 | 0.69 | - |
| 2018 | -4.57 | 11.74 | -2.57 | + |
| 2019 | 31.22 | 9.20 | 0.29 | - |
| 2020 | 18.33 | 14.46 | 0.79 | - |
| 2021 | 28.73 | 1.91 | 0.07 | - |
| 2022 | -18.18 | -8.56 | 0.47 | + |
| 2023 | 26.18 | 5.07 | 0.19 | - |
| 2024 | 24.89 | -0.57 | -0.02 | - |
| 2025 | 17.72 | 12.93 | 0.73 | - |
| 2026 | 8.94 | 3.47 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-31 | 2025-09-30 | -16.45 | 1492 |
| 2010-04-30 | 2012-02-29 | -14.98 | 671 |
| 2014-09-30 | 2017-06-30 | -13.08 | 1005 |
| 2004-04-30 | 2004-09-30 | -9.80 | 154 |
| 2026-03-31 | 2026-07-31 | -9.55 | 123 |
| 2005-03-31 | 2005-06-30 | -7.91 | 92 |
| 2007-11-30 | 2008-07-31 | -7.70 | 245 |
| 2009-01-31 | 2009-04-30 | -7.00 | 90 |
| 1996-12-31 | 1997-05-31 | -6.67 | 152 |
| 2019-05-31 | 2019-10-31 | -6.38 | 154 |