| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 37,728.67% |
| CAGR﹪ | 10.76% | 19.39% |
| Sharpe | 0.77 | 1.13 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.11 |
| Sortino | 1.18 | 2.05 |
| Smart Sortino | 1.16 | 2.02 |
| Sortino/√2 | 0.84 | 1.45 |
| Smart Sortino/√2 | 0.82 | 1.43 |
| Omega | 1.76 | 2.37 |
| Max Drawdown | -50.78% | -27.57% |
| 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 | 1999-03-31 |
| Longest DD Days | 2223 | 823 |
| Volatility (ann.) | 14.76% | 17.14% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | 0.15 | 0.15 |
| Calmar | 0.21 | 0.7 |
| Skew | -0.55 | 0.09 |
| Kurtosis | 0.98 | 1.63 |
| Ulcer Performance Index | 211.25 | 5821.0 |
| Risk-Adjusted Return | 754.56% | 4029.98% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.94% | 1.62% |
| Avg. Win | 3.59% | 4.4% |
| Avg. Loss | -3.96% | -3.97% |
| Win/Loss Ratio | 0.91 | 1.11 |
| Profit Ratio | 0.5 | 0.58 |
| Expected Daily | 0.85% | 1.49% |
| Expected Monthly | 0.85% | 1.49% |
| Expected Yearly | 10.59% | 19.07% |
| Kelly Criterion | 26.6% | 36.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -6.53% |
| Expected Shortfall (cVaR) | -8.96% | -9.24% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.37 |
| Gain/Pain (1M) | 0.76 | 1.37 |
| Payoff Ratio | 0.91 | 1.11 |
| Profit Factor | 1.76 | 2.37 |
| Common Sense Ratio | 1.85 | 3.61 |
| CPC Index | 1.04 | 1.75 |
| Tail Ratio | 1.05 | 1.53 |
| Outlier Win Ratio | 2.95 | 3.51 |
| Outlier Loss Ratio | 2.93 | 2.89 |
| MTD | -1.05% | -7.78% |
| 3M | 13.91% | -15.74% |
| 6M | 8.94% | 16.09% |
| YTD | 8.94% | 16.09% |
| 1Y | 20.92% | 16.46% |
| 3Y (ann.) | 18.77% | 22.11% |
| 5Y (ann.) | 12.51% | 27.0% |
| 10Y (ann.) | 15.13% | 27.22% |
| All-time (ann.) | 10.76% | 19.39% |
| Best Day | 12.7% | 22.34% |
| Worst Day | -16.52% | -17.82% |
| Best Month | 12.7% | 22.34% |
| Worst Month | -16.52% | -17.82% |
| Best Year | 38.05% | 40.93% |
| Worst Year | -36.79% | -15.56% |
| Avg. Drawdown | -6.27% | -6.31% |
| Avg. Drawdown Days | 122 | 96 |
| Recovery Factor | 7.49 | 23.45 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 26.93 |
| Avg. Up Month | 3.59% | 4.4% |
| Avg. Down Month | -3.96% | -3.97% |
| Win Days | 65.09% | 66.83% |
| Win Month | 65.09% | 66.83% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.6 |
| Alpha | - | 0.12 |
| Correlation | - | 51.96% |
| Treynor Ratio | - | 62540.55% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.44 | 1.43 | + |
| 1994 | 0.40 | -3.71 | -9.33 | - |
| 1995 | 38.05 | 23.21 | 0.61 | - |
| 1996 | 22.50 | 40.26 | 1.79 | + |
| 1997 | 33.48 | 14.36 | 0.43 | - |
| 1998 | 28.69 | 12.13 | 0.42 | - |
| 1999 | 20.39 | 20.11 | 0.99 | - |
| 2000 | -9.74 | 35.86 | -3.68 | + |
| 2001 | -11.76 | -3.51 | 0.30 | + |
| 2002 | -21.58 | -15.56 | 0.72 | + |
| 2003 | 28.18 | 40.93 | 1.45 | + |
| 2004 | 10.70 | 33.94 | 3.17 | + |
| 2005 | 4.83 | 29.09 | 6.03 | + |
| 2006 | 15.85 | 35.48 | 2.24 | + |
| 2007 | 5.15 | 35.56 | 6.91 | + |
| 2008 | -36.79 | -3.58 | 0.10 | + |
| 2009 | 26.35 | 26.08 | 0.99 | - |
| 2010 | 15.06 | 11.39 | 0.76 | - |
| 2011 | 1.89 | -4.08 | -2.15 | - |
| 2012 | 15.99 | 14.23 | 0.89 | - |
| 2013 | 32.31 | 29.51 | 0.91 | - |
| 2014 | 13.46 | 17.84 | 1.33 | + |
| 2015 | 1.23 | 0.03 | 0.02 | - |
| 2016 | 12.00 | 16.10 | 1.34 | + |
| 2017 | 21.71 | 34.26 | 1.58 | + |
| 2018 | -4.57 | 3.76 | -0.82 | + |
| 2019 | 31.22 | 28.09 | 0.90 | - |
| 2020 | 18.33 | 34.53 | 1.88 | + |
| 2021 | 28.73 | 33.43 | 1.16 | + |
| 2022 | -18.18 | 37.89 | -2.08 | + |
| 2023 | 26.18 | 34.37 | 1.31 | + |
| 2024 | 24.89 | 21.00 | 0.84 | - |
| 2025 | 17.72 | 20.86 | 1.18 | + |
| 2026 | 8.94 | 16.09 | 1.80 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-05-31 | 1999-03-31 | -27.57 | 305 |
| 2001-06-30 | 2003-09-30 | -25.88 | 823 |
| 2026-05-31 | 2026-07-31 | -17.38 | 62 |
| 2011-05-31 | 2012-01-31 | -16.42 | 246 |
| 2008-06-30 | 2009-06-30 | -15.21 | 366 |
| 1993-10-31 | 1995-03-31 | -15.04 | 517 |
| 2018-09-30 | 2019-10-31 | -14.37 | 397 |
| 2010-05-31 | 2010-09-30 | -11.54 | 123 |
| 2012-04-30 | 2012-12-31 | -11.40 | 246 |
| 2021-07-31 | 2021-12-31 | -10.69 | 154 |