| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 17,840.42% |
| CAGR﹪ | 10.76% | 16.76% |
| Sharpe | 0.77 | 0.95 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.93 |
| Sortino | 1.18 | 1.66 |
| Smart Sortino | 1.16 | 1.62 |
| Sortino/√2 | 0.84 | 1.18 |
| Smart Sortino/√2 | 0.82 | 1.15 |
| Omega | 1.76 | 2.05 |
| Max Drawdown | -50.78% | -37.04% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2011-01-31 |
| Longest DD Days | 2223 | 1159 |
| Volatility (ann.) | 14.76% | 18.16% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.21 | 0.45 |
| Skew | -0.55 | 0.06 |
| Kurtosis | 0.98 | 1.17 |
| Ulcer Performance Index | 211.25 | 1831.75 |
| Risk-Adjusted Return | 754.56% | 2487.32% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.94% | 1.43% |
| Avg. Win | 3.65% | 4.66% |
| Avg. Loss | -4.28% | -4.56% |
| Win/Loss Ratio | 0.85 | 1.02 |
| Profit Ratio | 0.5 | 0.6 |
| Expected Daily | 0.85% | 1.3% |
| Expected Monthly | 0.85% | 1.3% |
| Expected Yearly | 10.59% | 16.49% |
| Kelly Criterion | 24.12% | 30.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -7.19% |
| Expected Shortfall (cVaR) | -8.96% | -10.11% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.05 |
| Gain/Pain (1M) | 0.76 | 1.05 |
| Payoff Ratio | 0.85 | 1.02 |
| Profit Factor | 1.76 | 2.05 |
| Common Sense Ratio | 1.85 | 2.73 |
| CPC Index | 0.98 | 1.36 |
| Tail Ratio | 1.05 | 1.33 |
| Outlier Win Ratio | 2.95 | 3.5 |
| Outlier Loss Ratio | 2.93 | 2.94 |
| MTD | -1.05% | 12.26% |
| 3M | 13.91% | 8.44% |
| 6M | 8.94% | 56.14% |
| YTD | 8.94% | 56.14% |
| 1Y | 20.92% | 52.82% |
| 3Y (ann.) | 18.77% | 11.54% |
| 5Y (ann.) | 12.51% | 13.04% |
| 10Y (ann.) | 15.13% | 15.28% |
| All-time (ann.) | 10.76% | 16.76% |
| Best Day | 12.7% | 22.46% |
| Worst Day | -16.52% | -17.74% |
| Best Month | 12.7% | 22.46% |
| Worst Month | -16.52% | -17.74% |
| Best Year | 38.05% | 61.49% |
| Worst Year | -36.79% | -24.45% |
| Avg. Drawdown | -6.27% | -7.21% |
| Avg. Drawdown Days | 122 | 106 |
| Recovery Factor | 7.49 | 15.57 |
| Ulcer Index | 0.14 | 0.1 |
| Serenity Index | 3.21 | 12.18 |
| Avg. Up Month | 3.65% | 4.66% |
| Avg. Down Month | -4.28% | -4.56% |
| Win Days | 65.09% | 64.84% |
| Win Month | 65.09% | 64.84% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.7 |
| Alpha | - | 0.09 |
| Correlation | - | 56.76% |
| Treynor Ratio | - | 25553.11% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 20.07 | 2.30 | + |
| 1994 | 0.40 | 5.23 | 13.15 | + |
| 1995 | 38.05 | 25.03 | 0.66 | - |
| 1996 | 22.50 | 26.12 | 1.16 | + |
| 1997 | 33.48 | 16.58 | 0.50 | - |
| 1998 | 28.69 | 26.41 | 0.92 | - |
| 1999 | 20.39 | 61.49 | 3.02 | + |
| 2000 | -9.74 | 55.41 | -5.69 | + |
| 2001 | -11.76 | 19.45 | -1.65 | + |
| 2002 | -21.58 | -14.28 | 0.66 | + |
| 2003 | 28.18 | 36.98 | 1.31 | + |
| 2004 | 10.70 | 44.58 | 4.17 | + |
| 2005 | 4.83 | 30.24 | 6.26 | + |
| 2006 | 15.85 | 24.96 | 1.58 | + |
| 2007 | 5.15 | 17.80 | 3.46 | + |
| 2008 | -36.79 | -24.45 | 0.66 | + |
| 2009 | 26.35 | 7.52 | 0.29 | - |
| 2010 | 15.06 | 15.86 | 1.05 | + |
| 2011 | 1.89 | 12.65 | 6.68 | + |
| 2012 | 15.99 | 3.70 | 0.23 | - |
| 2013 | 32.31 | 29.04 | 0.90 | - |
| 2014 | 13.46 | 6.17 | 0.46 | - |
| 2015 | 1.23 | -2.04 | -1.65 | - |
| 2016 | 12.00 | 17.49 | 1.46 | + |
| 2017 | 21.71 | 3.76 | 0.17 | - |
| 2018 | -4.57 | -10.79 | 2.36 | - |
| 2019 | 31.22 | 37.57 | 1.20 | + |
| 2020 | 18.33 | 15.54 | 0.85 | - |
| 2021 | 28.73 | 39.04 | 1.36 | + |
| 2022 | -18.18 | 12.54 | -0.69 | + |
| 2023 | 26.18 | 10.21 | 0.39 | - |
| 2024 | 24.89 | 4.59 | 0.18 | - |
| 2025 | 17.72 | -12.81 | -0.72 | - |
| 2026 | 8.94 | 56.14 | 6.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2011-01-31 | -37.04 | 1159 |
| 2024-12-31 | 2026-02-28 | -24.93 | 425 |
| 2002-04-30 | 2003-07-31 | -19.57 | 458 |
| 1998-08-31 | 1998-11-30 | -17.74 | 92 |
| 2018-08-31 | 2019-09-30 | -17.56 | 396 |
| 2020-02-29 | 2020-06-30 | -17.08 | 123 |
| 2011-05-31 | 2011-12-31 | -13.86 | 215 |
| 2022-12-31 | 2023-05-31 | -12.06 | 152 |
| 2012-03-31 | 2012-12-31 | -11.80 | 276 |
| 2021-07-31 | 2022-02-28 | -11.31 | 213 |