| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,716.28% |
| CAGR﹪ | 10.76% | 9.04% |
| Sharpe | 0.77 | 1.0 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.95 |
| Sortino | 1.18 | 1.72 |
| Smart Sortino | 1.13 | 1.64 |
| Sortino/√2 | 0.84 | 1.21 |
| Smart Sortino/√2 | 0.8 | 1.16 |
| Omega | 1.76 | 2.12 |
| Max Drawdown | -50.78% | -23.04% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-06-30 |
| Longest DD Days | 2223 | 882 |
| Volatility (ann.) | 14.76% | 9.13% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.21 | 0.39 |
| Skew | -0.55 | -0.16 |
| Kurtosis | 0.98 | 1.7 |
| Ulcer Performance Index | 211.25 | 380.92 |
| Risk-Adjusted Return | 754.56% | 515.66% |
| Risk-Return Ratio | 0.22 | 0.29 |
| Avg. Return | 0.95% | 0.76% |
| Avg. Win | 3.63% | 2.35% |
| Avg. Loss | -4.22% | -2.42% |
| Win/Loss Ratio | 0.86 | 0.97 |
| Profit Ratio | 0.5 | 0.66 |
| Expected Daily | 0.85% | 0.72% |
| Expected Monthly | 0.85% | 0.72% |
| Expected Yearly | 10.59% | 8.9% |
| Kelly Criterion | 24.54% | 27.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.58% |
| Expected Shortfall (cVaR) | -8.96% | -5.26% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.76 | 1.12 |
| Gain/Pain (1M) | 0.76 | 1.12 |
| Payoff Ratio | 0.86 | 0.97 |
| Profit Factor | 1.76 | 2.12 |
| Common Sense Ratio | 1.85 | 2.93 |
| CPC Index | 0.99 | 1.32 |
| Tail Ratio | 1.05 | 1.38 |
| Outlier Win Ratio | 2.95 | 3.22 |
| Outlier Loss Ratio | 2.93 | 3.21 |
| MTD | -1.05% | -1.21% |
| 3M | 13.91% | 3.89% |
| 6M | 8.94% | 5.63% |
| YTD | 8.94% | 5.63% |
| 1Y | 20.92% | 16.59% |
| 3Y (ann.) | 18.77% | 12.02% |
| 5Y (ann.) | 12.51% | 5.46% |
| 10Y (ann.) | 15.13% | 7.22% |
| All-time (ann.) | 10.76% | 9.04% |
| Best Day | 12.7% | 11.37% |
| Worst Day | -16.52% | -10.07% |
| Best Month | 12.7% | 11.37% |
| Worst Month | -16.52% | -10.07% |
| Best Year | 38.05% | 21.58% |
| Worst Year | -36.79% | -18.19% |
| Avg. Drawdown | -6.27% | -3.48% |
| Avg. Drawdown Days | 122 | 94 |
| Recovery Factor | 7.49 | 13.23 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 13.48 |
| Avg. Up Month | 3.63% | 2.35% |
| Avg. Down Month | -4.22% | -2.42% |
| Win Days | 65.09% | 64.18% |
| Win Month | 65.09% | 64.18% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.32 |
| Alpha | - | 0.05 |
| Correlation | - | 51.37% |
| Treynor Ratio | - | 5401.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 20.14 | 2.31 | + |
| 1994 | 0.40 | -0.68 | -1.72 | - |
| 1995 | 38.05 | 18.29 | 0.48 | - |
| 1996 | 22.50 | 11.85 | 0.53 | - |
| 1997 | 33.48 | 3.28 | 0.10 | - |
| 1998 | 28.69 | 12.74 | 0.44 | - |
| 1999 | 20.39 | 11.19 | 0.55 | - |
| 2000 | -9.74 | 9.02 | -0.93 | + |
| 2001 | -11.76 | -4.51 | 0.38 | + |
| 2002 | -21.58 | 8.27 | -0.38 | + |
| 2003 | 28.18 | 21.58 | 0.77 | - |
| 2004 | 10.70 | 12.13 | 1.13 | + |
| 2005 | 4.83 | 11.05 | 2.29 | + |
| 2006 | 15.85 | 11.32 | 0.71 | - |
| 2007 | 5.15 | 11.62 | 2.26 | + |
| 2008 | -36.79 | 5.28 | -0.14 | + |
| 2009 | 26.35 | 6.34 | 0.24 | - |
| 2010 | 15.06 | 21.11 | 1.40 | + |
| 2011 | 1.89 | 16.26 | 8.58 | + |
| 2012 | 15.99 | 9.81 | 0.61 | - |
| 2013 | 32.31 | -2.55 | -0.08 | - |
| 2014 | 13.46 | 12.05 | 0.89 | - |
| 2015 | 1.23 | -3.73 | -3.02 | - |
| 2016 | 12.00 | 7.68 | 0.64 | - |
| 2017 | 21.71 | 15.59 | 0.72 | - |
| 2018 | -4.57 | -4.20 | 0.92 | + |
| 2019 | 31.22 | 19.22 | 0.62 | - |
| 2020 | 18.33 | 19.51 | 1.06 | + |
| 2021 | 28.73 | 6.25 | 0.22 | - |
| 2022 | -18.18 | -18.19 | 1.00 | - |
| 2023 | 26.18 | 13.26 | 0.51 | - |
| 2024 | 24.89 | 8.24 | 0.33 | - |
| 2025 | 17.72 | 20.46 | 1.15 | + |
| 2026 | 8.94 | 5.63 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -23.04 | 882 |
| 2008-05-31 | 2008-11-30 | -13.84 | 184 |
| 2009-01-31 | 2009-07-31 | -11.52 | 182 |
| 2000-09-30 | 2002-04-30 | -11.03 | 578 |
| 2016-08-31 | 2017-06-30 | -9.13 | 304 |
| 2015-02-28 | 2016-05-31 | -8.80 | 459 |
| 2018-02-28 | 2019-04-30 | -8.47 | 427 |
| 2004-04-30 | 2004-09-30 | -7.66 | 154 |
| 2013-05-31 | 2014-01-31 | -7.65 | 246 |
| 1994-02-28 | 1995-04-30 | -6.75 | 427 |