| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,029.65% |
| CAGR﹪ | 10.76% | 9.56% |
| Sharpe | 0.77 | 1.05 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.0 |
| Sortino | 1.18 | 1.86 |
| Smart Sortino | 1.13 | 1.77 |
| Sortino/√2 | 0.84 | 1.31 |
| Smart Sortino/√2 | 0.8 | 1.25 |
| Omega | 1.76 | 2.21 |
| Max Drawdown | -50.78% | -23.05% |
| 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% | 9.11% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 0.41 |
| Skew | -0.55 | -0.08 |
| Kurtosis | 0.98 | 1.62 |
| Ulcer Performance Index | 211.25 | 456.18 |
| Risk-Adjusted Return | 754.56% | 580.25% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.8% |
| Avg. Win | 3.65% | 2.39% |
| Avg. Loss | -4.26% | -2.33% |
| Win/Loss Ratio | 0.86 | 1.03 |
| Profit Ratio | 0.5 | 0.7 |
| Expected Daily | 0.85% | 0.76% |
| Expected Monthly | 0.85% | 0.76% |
| Expected Yearly | 10.59% | 9.41% |
| Kelly Criterion | 24.36% | 28.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.53% |
| Expected Shortfall (cVaR) | -8.96% | -5.15% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.76 | 1.21 |
| Gain/Pain (1M) | 0.76 | 1.21 |
| Payoff Ratio | 0.86 | 1.03 |
| Profit Factor | 1.76 | 2.21 |
| Common Sense Ratio | 1.85 | 3.04 |
| CPC Index | 0.98 | 1.45 |
| Tail Ratio | 1.05 | 1.37 |
| Outlier Win Ratio | 2.95 | 3.43 |
| Outlier Loss Ratio | 2.93 | 3.33 |
| MTD | -1.05% | -1.27% |
| 3M | 13.91% | 3.6% |
| 6M | 8.94% | 4.98% |
| YTD | 8.94% | 4.98% |
| 1Y | 20.92% | 16.12% |
| 3Y (ann.) | 18.77% | 12.12% |
| 5Y (ann.) | 12.51% | 5.49% |
| 10Y (ann.) | 15.13% | 7.26% |
| All-time (ann.) | 10.76% | 9.56% |
| Best Day | 12.7% | 11.47% |
| Worst Day | -16.52% | -9.68% |
| Best Month | 12.7% | 11.47% |
| Worst Month | -16.52% | -9.68% |
| Best Year | 38.05% | 22.59% |
| Worst Year | -36.79% | -18.37% |
| Avg. Drawdown | -6.27% | -3.4% |
| Avg. Drawdown Days | 122 | 91 |
| Recovery Factor | 7.49 | 13.92 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 13.95 |
| Avg. Up Month | 3.65% | 2.39% |
| Avg. Down Month | -4.26% | -2.33% |
| Win Days | 65.09% | 63.93% |
| Win Month | 65.09% | 63.93% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.32 |
| Alpha | - | 0.06 |
| Correlation | - | 51.4% |
| Treynor Ratio | - | 6396.71% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 22.59 | 2.59 | + |
| 1994 | 0.40 | 0.67 | 1.68 | + |
| 1995 | 38.05 | 17.55 | 0.46 | - |
| 1996 | 22.50 | 13.39 | 0.60 | - |
| 1997 | 33.48 | 6.19 | 0.18 | - |
| 1998 | 28.69 | 12.79 | 0.45 | - |
| 1999 | 20.39 | 9.77 | 0.48 | - |
| 2000 | -9.74 | 7.68 | -0.79 | + |
| 2001 | -11.76 | -2.83 | 0.24 | + |
| 2002 | -21.58 | 11.16 | -0.52 | + |
| 2003 | 28.18 | 22.41 | 0.80 | - |
| 2004 | 10.70 | 12.46 | 1.17 | + |
| 2005 | 4.83 | 10.99 | 2.28 | + |
| 2006 | 15.85 | 12.93 | 0.82 | - |
| 2007 | 5.15 | 13.31 | 2.59 | + |
| 2008 | -36.79 | 5.85 | -0.16 | + |
| 2009 | 26.35 | 5.88 | 0.22 | - |
| 2010 | 15.06 | 20.91 | 1.39 | + |
| 2011 | 1.89 | 16.15 | 8.52 | + |
| 2012 | 15.99 | 10.52 | 0.66 | - |
| 2013 | 32.31 | -1.80 | -0.06 | - |
| 2014 | 13.46 | 12.88 | 0.96 | - |
| 2015 | 1.23 | -3.02 | -2.45 | - |
| 2016 | 12.00 | 7.90 | 0.66 | - |
| 2017 | 21.71 | 15.94 | 0.73 | - |
| 2018 | -4.57 | -3.56 | 0.78 | + |
| 2019 | 31.22 | 19.42 | 0.62 | - |
| 2020 | 18.33 | 18.36 | 1.00 | + |
| 2021 | 28.73 | 6.77 | 0.24 | - |
| 2022 | -18.18 | -18.37 | 1.01 | - |
| 2023 | 26.18 | 12.40 | 0.47 | - |
| 2024 | 24.89 | 9.33 | 0.38 | - |
| 2025 | 17.72 | 20.78 | 1.17 | + |
| 2026 | 8.94 | 4.98 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -23.05 | 882 |
| 2008-05-31 | 2008-11-30 | -12.85 | 184 |
| 2009-01-31 | 2009-07-31 | -11.45 | 182 |
| 2000-09-30 | 2002-03-31 | -9.15 | 548 |
| 2016-08-31 | 2017-06-30 | -9.00 | 304 |
| 2015-02-28 | 2016-03-31 | -8.25 | 398 |
| 2018-02-28 | 2019-04-30 | -8.03 | 427 |
| 2004-04-30 | 2004-09-30 | -7.45 | 154 |
| 2013-05-31 | 2014-01-31 | -7.37 | 246 |
| 1994-02-28 | 1995-03-31 | -6.28 | 397 |