| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 325.45% |
| CAGR﹪ | 10.76% | 4.42% |
| Sharpe | 0.77 | 0.66 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.63 |
| Sortino | 1.18 | 1.13 |
| Smart Sortino | 1.12 | 1.08 |
| Sortino/√2 | 0.84 | 0.8 |
| Smart Sortino/√2 | 0.8 | 0.76 |
| Omega | 1.76 | 1.67 |
| Max Drawdown | -50.78% | -16.5% |
| Max DD Date | 2009-02-28 | 2025-05-31 |
| Max DD Period Start | 2007-11-30 | 2021-08-31 |
| Max DD Period End | 2012-02-29 | 2026-01-31 |
| Longest DD Days | 2223 | 3349 |
| Volatility (ann.) | 14.76% | 6.91% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.21 | 0.27 |
| Skew | -0.55 | 0.25 |
| Kurtosis | 0.98 | 0.96 |
| Ulcer Performance Index | 211.25 | 49.83 |
| Risk-Adjusted Return | 754.56% | 147.86% |
| Risk-Return Ratio | 0.22 | 0.19 |
| Avg. Return | 0.95% | 0.39% |
| Avg. Win | 3.44% | 1.67% |
| Avg. Loss | -3.12% | -1.68% |
| Win/Loss Ratio | 1.1 | 0.99 |
| Profit Ratio | 0.5 | 0.76 |
| Expected Daily | 0.85% | 0.36% |
| Expected Monthly | 0.85% | 0.36% |
| Expected Yearly | 10.59% | 4.35% |
| Kelly Criterion | 33.37% | 19.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.9% |
| Expected Shortfall (cVaR) | -8.96% | -3.91% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.76 | 0.67 |
| Gain/Pain (1M) | 0.76 | 0.67 |
| Payoff Ratio | 1.1 | 0.99 |
| Profit Factor | 1.76 | 1.67 |
| Common Sense Ratio | 1.85 | 2.43 |
| CPC Index | 1.26 | 0.99 |
| Tail Ratio | 1.05 | 1.46 |
| Outlier Win Ratio | 2.95 | 3.6 |
| Outlier Loss Ratio | 2.93 | 3.13 |
| MTD | -1.05% | -1.21% |
| 3M | 13.91% | 3.45% |
| 6M | 8.94% | 11.7% |
| YTD | 8.94% | 11.7% |
| 1Y | 20.92% | 24.02% |
| 3Y (ann.) | 18.77% | 6.68% |
| 5Y (ann.) | 12.51% | 1.04% |
| 10Y (ann.) | 15.13% | 3.71% |
| All-time (ann.) | 10.76% | 4.42% |
| Best Day | 12.7% | 7.49% |
| Worst Day | -16.52% | -6.32% |
| Best Month | 12.7% | 7.49% |
| Worst Month | -16.52% | -6.32% |
| Best Year | 38.05% | 18.88% |
| Worst Year | -36.79% | -7.61% |
| Avg. Drawdown | -6.27% | -3.58% |
| Avg. Drawdown Days | 122 | 216 |
| Recovery Factor | 7.49 | 9.27 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 3.29 |
| Avg. Up Month | 3.44% | 1.67% |
| Avg. Down Month | -3.12% | -1.68% |
| Win Days | 65.09% | 59.7% |
| Win Month | 65.09% | 59.7% |
| Win Quarter | 73.33% | 62.22% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.08 |
| Alpha | - | 0.04 |
| Correlation | - | 18.17% |
| Treynor Ratio | - | 3829.08% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.56 | 1.56 | + |
| 1994 | 0.40 | 0.44 | 1.09 | + |
| 1995 | 38.05 | 13.01 | 0.34 | - |
| 1996 | 22.50 | 3.76 | 0.17 | - |
| 1997 | 33.48 | 13.21 | 0.39 | - |
| 1998 | 28.69 | 8.52 | 0.30 | - |
| 1999 | 20.39 | 5.64 | 0.28 | - |
| 2000 | -9.74 | 6.00 | -0.62 | + |
| 2001 | -11.76 | 2.14 | -0.18 | + |
| 2002 | -21.58 | 2.20 | -0.10 | + |
| 2003 | 28.18 | 18.88 | 0.67 | - |
| 2004 | 10.70 | 7.30 | 0.68 | - |
| 2005 | 4.83 | 4.89 | 1.01 | + |
| 2006 | 15.85 | 12.14 | 0.77 | - |
| 2007 | 5.15 | 3.27 | 0.64 | - |
| 2008 | -36.79 | 6.18 | -0.17 | + |
| 2009 | 26.35 | 5.13 | 0.19 | - |
| 2010 | 15.06 | -2.66 | -0.18 | - |
| 2011 | 1.89 | -7.61 | -4.02 | - |
| 2012 | 15.99 | 1.43 | 0.09 | - |
| 2013 | 32.31 | -3.40 | -0.11 | - |
| 2014 | 13.46 | 2.01 | 0.15 | - |
| 2015 | 1.23 | -1.14 | -0.92 | - |
| 2016 | 12.00 | -4.82 | -0.40 | - |
| 2017 | 21.71 | 6.10 | 0.28 | - |
| 2018 | -4.57 | 3.18 | -0.70 | + |
| 2019 | 31.22 | 10.70 | 0.34 | - |
| 2020 | 18.33 | 12.16 | 0.66 | - |
| 2021 | 28.73 | 2.84 | 0.10 | - |
| 2022 | -18.18 | -5.46 | 0.30 | + |
| 2023 | 26.18 | -1.03 | -0.04 | - |
| 2024 | 24.89 | -5.74 | -0.23 | - |
| 2025 | 17.72 | 9.95 | 0.56 | - |
| 2026 | 8.94 | 11.70 | 1.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-31 | 2026-01-31 | -16.50 | 1615 |
| 2010-05-31 | 2019-07-31 | -15.77 | 3349 |
| 2008-04-30 | 2008-11-30 | -10.75 | 215 |
| 2009-01-31 | 2009-08-31 | -8.92 | 213 |
| 2020-09-30 | 2020-11-30 | -7.46 | 62 |
| 2020-04-30 | 2020-07-31 | -6.34 | 93 |
| 2007-02-28 | 2007-09-30 | -6.27 | 215 |
| 2010-01-31 | 2010-03-31 | -5.96 | 60 |
| 1993-12-31 | 1995-01-31 | -4.58 | 397 |
| 2002-10-31 | 2003-04-30 | -4.56 | 182 |