| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 35,951.70% |
| CAGR﹪ | 10.76% | 19.21% |
| Sharpe | 0.77 | 1.17 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.12 |
| Sortino | 1.18 | 2.2 |
| Smart Sortino | 1.13 | 2.11 |
| Sortino/√2 | 0.84 | 1.56 |
| Smart Sortino/√2 | 0.8 | 1.49 |
| Omega | 1.76 | 2.46 |
| Max Drawdown | -50.78% | -24.61% |
| Max DD Date | 2009-02-28 | 1998-08-31 |
| Max DD Period Start | 2007-11-30 | 1998-05-31 |
| Max DD Period End | 2012-02-29 | 1999-02-28 |
| Longest DD Days | 2223 | 820 |
| Volatility (ann.) | 14.76% | 16.24% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | 0.15 | 0.15 |
| Calmar | 0.21 | 0.78 |
| Skew | -0.55 | 0.22 |
| Kurtosis | 0.98 | 1.95 |
| Ulcer Performance Index | 211.25 | 6457.31 |
| Risk-Adjusted Return | 754.56% | 3907.27% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.94% | 1.59% |
| Avg. Win | 3.63% | 4.31% |
| Avg. Loss | -3.96% | -3.71% |
| Win/Loss Ratio | 0.92 | 1.16 |
| Profit Ratio | 0.5 | 0.63 |
| Expected Daily | 0.85% | 1.48% |
| Expected Monthly | 0.85% | 1.48% |
| Expected Yearly | 10.59% | 18.91% |
| Kelly Criterion | 26.94% | 37.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -6.13% |
| Expected Shortfall (cVaR) | -8.96% | -9.07% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.46 |
| Gain/Pain (1M) | 0.76 | 1.46 |
| Payoff Ratio | 0.92 | 1.16 |
| Profit Factor | 1.76 | 2.46 |
| Common Sense Ratio | 1.85 | 3.72 |
| CPC Index | 1.05 | 1.89 |
| Tail Ratio | 1.05 | 1.51 |
| Outlier Win Ratio | 2.95 | 3.64 |
| Outlier Loss Ratio | 2.93 | 2.86 |
| MTD | -1.05% | -1.0% |
| 3M | 13.91% | -7.31% |
| 6M | 8.94% | 22.77% |
| YTD | 8.94% | 22.77% |
| 1Y | 20.92% | 25.6% |
| 3Y (ann.) | 18.77% | 18.95% |
| 5Y (ann.) | 12.51% | 20.91% |
| 10Y (ann.) | 15.13% | 23.47% |
| All-time (ann.) | 10.76% | 19.21% |
| Best Day | 12.7% | 22.34% |
| Worst Day | -16.52% | -17.26% |
| Best Month | 12.7% | 22.34% |
| Worst Month | -16.52% | -17.26% |
| Best Year | 38.05% | 46.97% |
| Worst Year | -36.79% | -4.82% |
| Avg. Drawdown | -6.27% | -5.49% |
| Avg. Drawdown Days | 122 | 87 |
| Recovery Factor | 7.49 | 25.86 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 40.72 |
| Avg. Up Month | 3.63% | 4.31% |
| Avg. Down Month | -3.96% | -3.71% |
| Win Days | 65.09% | 66.33% |
| Win Month | 65.09% | 66.33% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.58 |
| Alpha | - | 0.12 |
| Correlation | - | 52.61% |
| Treynor Ratio | - | 62111.59% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 5.29 | 0.61 | - |
| 1994 | 0.40 | -4.34 | -10.92 | - |
| 1995 | 38.05 | 16.81 | 0.44 | - |
| 1996 | 22.50 | 41.67 | 1.85 | + |
| 1997 | 33.48 | 13.42 | 0.40 | - |
| 1998 | 28.69 | 24.74 | 0.86 | - |
| 1999 | 20.39 | 20.14 | 0.99 | - |
| 2000 | -9.74 | 21.04 | -2.16 | + |
| 2001 | -11.76 | -4.82 | 0.41 | + |
| 2002 | -21.58 | -3.67 | 0.17 | + |
| 2003 | 28.18 | 46.97 | 1.67 | + |
| 2004 | 10.70 | 31.21 | 2.92 | + |
| 2005 | 4.83 | 26.70 | 5.53 | + |
| 2006 | 15.85 | 31.95 | 2.02 | + |
| 2007 | 5.15 | 35.90 | 6.98 | + |
| 2008 | -36.79 | 6.75 | -0.18 | + |
| 2009 | 26.35 | 24.50 | 0.93 | - |
| 2010 | 15.06 | 16.07 | 1.07 | + |
| 2011 | 1.89 | 0.05 | 0.02 | - |
| 2012 | 15.99 | 16.23 | 1.01 | + |
| 2013 | 32.31 | 35.56 | 1.10 | + |
| 2014 | 13.46 | 19.18 | 1.42 | + |
| 2015 | 1.23 | 3.86 | 3.13 | + |
| 2016 | 12.00 | 14.94 | 1.25 | + |
| 2017 | 21.71 | 32.66 | 1.50 | + |
| 2018 | -4.57 | 2.89 | -0.63 | + |
| 2019 | 31.22 | 22.46 | 0.72 | - |
| 2020 | 18.33 | 36.33 | 1.98 | + |
| 2021 | 28.73 | 33.32 | 1.16 | + |
| 2022 | -18.18 | 24.61 | -1.35 | + |
| 2023 | 26.18 | 22.26 | 0.85 | - |
| 2024 | 24.89 | 17.18 | 0.69 | - |
| 2025 | 17.72 | 13.59 | 0.77 | - |
| 2026 | 8.94 | 22.77 | 2.55 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-05-31 | 1999-02-28 | -24.61 | 274 |
| 2008-07-31 | 2009-07-31 | -16.06 | 366 |
| 2018-09-30 | 2019-11-30 | -15.41 | 427 |
| 2022-06-30 | 2023-05-31 | -14.52 | 336 |
| 2011-05-31 | 2012-01-31 | -13.35 | 246 |
| 1993-10-31 | 1995-04-30 | -13.08 | 547 |
| 2001-01-31 | 2003-04-30 | -12.87 | 820 |
| 2021-07-31 | 2021-12-31 | -11.74 | 154 |
| 2010-05-31 | 2010-09-30 | -11.54 | 123 |
| 2012-04-30 | 2012-12-31 | -11.40 | 246 |