| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 624.59% |
| CAGR﹪ | 10.76% | 6.09% |
| Sharpe | 0.77 | 1.06 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 0.95 |
| Sortino | 1.18 | 1.82 |
| Smart Sortino | 1.06 | 1.63 |
| Sortino/√2 | 0.84 | 1.29 |
| Smart Sortino/√2 | 0.75 | 1.16 |
| Omega | 1.76 | 2.2 |
| Max Drawdown | -50.78% | -9.27% |
| Max DD Date | 2009-02-28 | 2004-07-31 |
| Max DD Period Start | 2007-11-30 | 2004-04-30 |
| Max DD Period End | 2012-02-29 | 2005-06-30 |
| Longest DD Days | 2223 | 671 |
| Volatility (ann.) | 14.76% | 5.77% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.21 | 0.66 |
| Skew | -0.55 | -0.22 |
| Kurtosis | 0.98 | 0.52 |
| Ulcer Performance Index | 211.25 | 265.63 |
| Risk-Adjusted Return | 754.56% | 246.07% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.51% |
| Avg. Win | 3.63% | 1.57% |
| Avg. Loss | -3.73% | -1.6% |
| Win/Loss Ratio | 0.97 | 0.98 |
| Profit Ratio | 0.5 | 0.64 |
| Expected Daily | 0.85% | 0.49% |
| Expected Monthly | 0.85% | 0.49% |
| Expected Yearly | 10.59% | 6.0% |
| Kelly Criterion | 29.17% | 29.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.23% |
| Expected Shortfall (cVaR) | -8.96% | -3.18% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.2 |
| Gain/Pain (1M) | 0.76 | 1.2 |
| Payoff Ratio | 0.97 | 0.98 |
| Profit Factor | 1.76 | 2.2 |
| Common Sense Ratio | 1.85 | 2.55 |
| CPC Index | 1.11 | 1.4 |
| Tail Ratio | 1.05 | 1.16 |
| Outlier Win Ratio | 2.95 | 3.12 |
| Outlier Loss Ratio | 2.93 | 3.03 |
| MTD | -1.05% | 0.88% |
| 3M | 13.91% | 3.78% |
| 6M | 8.94% | 4.05% |
| YTD | 8.94% | 4.05% |
| 1Y | 20.92% | 6.01% |
| 3Y (ann.) | 18.77% | 1.52% |
| 5Y (ann.) | 12.51% | 1.57% |
| 10Y (ann.) | 15.13% | 4.14% |
| All-time (ann.) | 10.76% | 6.09% |
| Best Day | 12.7% | 6.16% |
| Worst Day | -16.52% | -4.42% |
| Best Month | 12.7% | 6.16% |
| Worst Month | -16.52% | -4.42% |
| Best Year | 38.05% | 19.99% |
| Worst Year | -36.79% | -5.03% |
| Avg. Drawdown | -6.27% | -2.3% |
| Avg. Drawdown Days | 122 | 103 |
| Recovery Factor | 7.49 | 22.01 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 24.67 |
| Avg. Up Month | 3.63% | 1.57% |
| Avg. Down Month | -3.73% | -1.6% |
| Win Days | 65.09% | 64.93% |
| Win Month | 65.09% | 64.93% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.18 |
| Alpha | - | 0.04 |
| Correlation | - | 45.99% |
| Treynor Ratio | - | 3475.78% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.66 | 0.88 | - |
| 1994 | 0.40 | 2.16 | 5.45 | + |
| 1995 | 38.05 | 19.99 | 0.53 | - |
| 1996 | 22.50 | 13.20 | 0.59 | - |
| 1997 | 33.48 | 6.59 | 0.20 | - |
| 1998 | 28.69 | 6.07 | 0.21 | - |
| 1999 | 20.39 | 2.62 | 0.13 | - |
| 2000 | -9.74 | 8.13 | -0.83 | + |
| 2001 | -11.76 | 2.74 | -0.23 | + |
| 2002 | -21.58 | 11.63 | -0.54 | + |
| 2003 | 28.18 | 12.73 | 0.45 | - |
| 2004 | 10.70 | 3.82 | 0.36 | - |
| 2005 | 4.83 | 3.76 | 0.78 | - |
| 2006 | 15.85 | 10.42 | 0.66 | - |
| 2007 | 5.15 | 5.09 | 0.99 | - |
| 2008 | -36.79 | 2.74 | -0.07 | + |
| 2009 | 26.35 | 9.08 | 0.34 | - |
| 2010 | 15.06 | 14.23 | 0.95 | - |
| 2011 | 1.89 | 4.28 | 2.26 | + |
| 2012 | 15.99 | 7.50 | 0.47 | - |
| 2013 | 32.31 | 3.93 | 0.12 | - |
| 2014 | 13.46 | 5.29 | 0.39 | - |
| 2015 | 1.23 | -5.03 | -4.07 | - |
| 2016 | 12.00 | 5.89 | 0.49 | - |
| 2017 | 21.71 | 6.00 | 0.28 | - |
| 2018 | -4.57 | -2.26 | 0.49 | + |
| 2019 | 31.22 | 13.19 | 0.42 | - |
| 2020 | 18.33 | 4.45 | 0.24 | - |
| 2021 | 28.73 | 17.54 | 0.61 | - |
| 2022 | -18.18 | -0.14 | 0.01 | + |
| 2023 | 26.18 | 0.60 | 0.02 | - |
| 2024 | 24.89 | 2.46 | 0.10 | - |
| 2025 | 17.72 | -1.76 | -0.10 | - |
| 2026 | 8.94 | 4.05 | 0.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2005-06-30 | -9.27 | 427 |
| 2024-10-31 | 2026-07-31 | -8.13 | 639 |
| 2015-02-28 | 2016-06-30 | -7.86 | 489 |
| 2011-05-31 | 2012-03-31 | -6.46 | 306 |
| 2022-04-30 | 2024-02-29 | -5.53 | 671 |
| 2008-07-31 | 2009-07-31 | -5.11 | 366 |
| 2020-02-29 | 2020-06-30 | -4.45 | 123 |
| 2024-04-30 | 2024-06-30 | -4.42 | 62 |
| 2018-09-30 | 2019-02-28 | -3.94 | 152 |
| 2021-11-30 | 2022-02-28 | -3.78 | 91 |