| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 968.40% |
| CAGR﹪ | 10.76% | 7.33% |
| Sharpe | 0.77 | 1.09 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.04 |
| Sortino | 1.18 | 1.94 |
| Smart Sortino | 1.13 | 1.86 |
| Sortino/√2 | 0.84 | 1.37 |
| Smart Sortino/√2 | 0.8 | 1.31 |
| Omega | 1.76 | 2.46 |
| Max Drawdown | -50.78% | -19.5% |
| Max DD Date | 2009-02-28 | 2023-08-31 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2026-01-31 |
| Longest DD Days | 2223 | 1585 |
| Volatility (ann.) | 14.76% | 6.72% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.38 |
| Skew | -0.55 | 0.06 |
| Kurtosis | 0.98 | 2.28 |
| Ulcer Performance Index | 211.25 | 177.92 |
| Risk-Adjusted Return | 754.56% | 341.45% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.62% |
| Avg. Win | 3.27% | 1.52% |
| Avg. Loss | -3.2% | -1.92% |
| Win/Loss Ratio | 1.02 | 0.79 |
| Profit Ratio | 0.5 | 0.36 |
| Expected Daily | 0.85% | 0.59% |
| Expected Monthly | 0.85% | 0.59% |
| Expected Yearly | 10.59% | 7.22% |
| Kelly Criterion | 30.91% | 37.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.58% |
| Expected Shortfall (cVaR) | -8.96% | -3.9% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.46 |
| Gain/Pain (1M) | 0.76 | 1.46 |
| Payoff Ratio | 1.02 | 0.79 |
| Profit Factor | 1.76 | 2.46 |
| Common Sense Ratio | 1.85 | 3.67 |
| CPC Index | 1.17 | 1.41 |
| Tail Ratio | 1.05 | 1.49 |
| Outlier Win Ratio | 2.95 | 4.32 |
| Outlier Loss Ratio | 2.93 | 2.66 |
| MTD | -1.05% | -2.54% |
| 3M | 13.91% | 1.44% |
| 6M | 8.94% | 5.32% |
| YTD | 8.94% | 5.32% |
| 1Y | 20.92% | 18.09% |
| 3Y (ann.) | 18.77% | 7.27% |
| 5Y (ann.) | 12.51% | 0.41% |
| 10Y (ann.) | 15.13% | 5.2% |
| All-time (ann.) | 10.76% | 7.33% |
| Best Day | 12.7% | 7.82% |
| Worst Day | -16.52% | -7.94% |
| Best Month | 12.7% | 7.82% |
| Worst Month | -16.52% | -7.94% |
| Best Year | 38.05% | 28.81% |
| Worst Year | -36.79% | -8.6% |
| Avg. Drawdown | -6.27% | -2.64% |
| Avg. Drawdown Days | 122 | 127 |
| Recovery Factor | 7.49 | 12.57 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 5.52 |
| Avg. Up Month | 3.27% | 1.52% |
| Avg. Down Month | -3.2% | -1.92% |
| Win Days | 65.09% | 72.39% |
| Win Month | 65.09% | 72.39% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.12 |
| Alpha | - | 0.06 |
| Correlation | - | 26.82% |
| Treynor Ratio | - | 7935.46% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.00 | 1.03 | + |
| 1994 | 0.40 | 2.55 | 6.43 | + |
| 1995 | 38.05 | 17.74 | 0.47 | - |
| 1996 | 22.50 | 6.62 | 0.29 | - |
| 1997 | 33.48 | 10.05 | 0.30 | - |
| 1998 | 28.69 | 9.82 | 0.34 | - |
| 1999 | 20.39 | 5.33 | 0.26 | - |
| 2000 | -9.74 | 2.12 | -0.22 | + |
| 2001 | -11.76 | 6.64 | -0.56 | + |
| 2002 | -21.58 | 7.56 | -0.35 | + |
| 2003 | 28.18 | 28.81 | 1.02 | + |
| 2004 | 10.70 | 11.47 | 1.07 | + |
| 2005 | 4.83 | -0.10 | -0.02 | - |
| 2006 | 15.85 | 17.63 | 1.11 | + |
| 2007 | 5.15 | 14.17 | 2.75 | + |
| 2008 | -36.79 | 9.00 | -0.24 | + |
| 2009 | 26.35 | 5.85 | 0.22 | - |
| 2010 | 15.06 | 8.16 | 0.54 | - |
| 2011 | 1.89 | 5.91 | 3.12 | + |
| 2012 | 15.99 | 13.32 | 0.83 | - |
| 2013 | 32.31 | -0.78 | -0.02 | - |
| 2014 | 13.46 | 3.26 | 0.24 | - |
| 2015 | 1.23 | 1.13 | 0.92 | - |
| 2016 | 12.00 | 3.80 | 0.32 | - |
| 2017 | 21.71 | 9.14 | 0.42 | - |
| 2018 | -4.57 | 5.15 | -1.13 | + |
| 2019 | 31.22 | 10.09 | 0.32 | - |
| 2020 | 18.33 | 19.43 | 1.06 | + |
| 2021 | 28.73 | 0.89 | 0.03 | - |
| 2022 | -18.18 | -8.60 | 0.47 | + |
| 2023 | 26.18 | 0.95 | 0.04 | - |
| 2024 | 24.89 | -1.92 | -0.08 | - |
| 2025 | 17.72 | 13.40 | 0.76 | - |
| 2026 | 8.94 | 5.32 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2026-01-31 | -19.50 | 1585 |
| 2004-04-30 | 2004-10-31 | -7.94 | 185 |
| 2009-01-31 | 2009-06-30 | -7.00 | 151 |
| 2005-01-31 | 2005-12-31 | -6.90 | 335 |
| 2000-04-30 | 2000-12-31 | -6.06 | 246 |
| 2010-11-30 | 2011-07-31 | -4.24 | 244 |
| 2008-04-30 | 2008-11-30 | -4.16 | 215 |
| 2010-05-31 | 2010-09-30 | -4.02 | 123 |
| 2026-03-31 | 2026-07-31 | -4.00 | 123 |
| 2007-11-30 | 2008-01-31 | -3.96 | 63 |