| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,135.39% |
| CAGR﹪ | 10.76% | 7.79% |
| Sharpe | 0.77 | 1.26 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.18 |
| Sortino | 1.18 | 2.32 |
| Smart Sortino | 1.1 | 2.16 |
| Sortino/√2 | 0.84 | 1.64 |
| Smart Sortino/√2 | 0.78 | 1.53 |
| Omega | 1.76 | 2.63 |
| Max Drawdown | -50.78% | -9.8% |
| 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 | 2005-05-31 |
| Longest DD Days | 2223 | 459 |
| Volatility (ann.) | 14.76% | 6.11% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.8 |
| Skew | -0.55 | -0.03 |
| Kurtosis | 0.98 | 1.4 |
| Ulcer Performance Index | 211.25 | 496.59 |
| Risk-Adjusted Return | 754.56% | 383.52% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 0.65% |
| Avg. Win | 3.46% | 1.58% |
| Avg. Loss | -3.68% | -1.57% |
| Win/Loss Ratio | 0.94 | 1.01 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.63% |
| Expected Monthly | 0.85% | 0.63% |
| Expected Yearly | 10.59% | 7.67% |
| Kelly Criterion | 27.98% | 41.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.26% |
| Expected Shortfall (cVaR) | -8.96% | -3.23% |
| Max Consecutive Wins | 15 | 19 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.63 |
| Gain/Pain (1M) | 0.76 | 1.63 |
| Payoff Ratio | 0.94 | 1.01 |
| Profit Factor | 1.76 | 2.63 |
| Common Sense Ratio | 1.85 | 3.78 |
| CPC Index | 1.08 | 1.87 |
| Tail Ratio | 1.05 | 1.43 |
| Outlier Win Ratio | 2.95 | 3.43 |
| Outlier Loss Ratio | 2.93 | 3.08 |
| MTD | -1.05% | 0.1% |
| 3M | 13.91% | 7.89% |
| 6M | 8.94% | 10.1% |
| YTD | 8.94% | 10.1% |
| 1Y | 20.92% | 14.85% |
| 3Y (ann.) | 18.77% | 7.15% |
| 5Y (ann.) | 12.51% | 6.02% |
| 10Y (ann.) | 15.13% | 6.06% |
| All-time (ann.) | 10.76% | 7.79% |
| Best Day | 12.7% | 8.01% |
| Worst Day | -16.52% | -5.67% |
| Best Month | 12.7% | 8.01% |
| Worst Month | -16.52% | -5.67% |
| Best Year | 38.05% | 22.44% |
| Worst Year | -36.79% | -3.04% |
| Avg. Drawdown | -6.27% | -2.19% |
| Avg. Drawdown Days | 122 | 74 |
| Recovery Factor | 7.49 | 26.38 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 32.86 |
| Avg. Up Month | 3.46% | 1.58% |
| Avg. Down Month | -3.68% | -1.57% |
| Win Days | 65.09% | 70.4% |
| Win Month | 65.09% | 70.4% |
| Win Quarter | 73.33% | 80.0% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.2 |
| Alpha | - | 0.05 |
| Correlation | - | 49.07% |
| Treynor Ratio | - | 5585.86% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 6.07 | 0.70 | - |
| 1994 | 0.40 | 1.32 | 3.33 | + |
| 1995 | 38.05 | 21.17 | 0.56 | - |
| 1996 | 22.50 | 14.54 | 0.65 | - |
| 1997 | 33.48 | 7.86 | 0.23 | - |
| 1998 | 28.69 | 5.88 | 0.21 | - |
| 1999 | 20.39 | 4.39 | 0.22 | - |
| 2000 | -9.74 | 10.59 | -1.09 | + |
| 2001 | -11.76 | 6.86 | -0.58 | + |
| 2002 | -21.58 | 11.80 | -0.55 | + |
| 2003 | 28.18 | 15.77 | 0.56 | - |
| 2004 | 10.70 | 4.66 | 0.44 | - |
| 2005 | 4.83 | 6.13 | 1.27 | + |
| 2006 | 15.85 | 12.48 | 0.79 | - |
| 2007 | 5.15 | 7.49 | 1.45 | + |
| 2008 | -36.79 | 7.49 | -0.20 | + |
| 2009 | 26.35 | 14.76 | 0.56 | - |
| 2010 | 15.06 | 12.52 | 0.83 | - |
| 2011 | 1.89 | 5.94 | 3.13 | + |
| 2012 | 15.99 | 7.83 | 0.49 | - |
| 2013 | 32.31 | 6.83 | 0.21 | - |
| 2014 | 13.46 | 5.59 | 0.42 | - |
| 2015 | 1.23 | -1.58 | -1.28 | - |
| 2016 | 12.00 | 6.58 | 0.55 | - |
| 2017 | 21.71 | 7.85 | 0.36 | - |
| 2018 | -4.57 | -3.04 | 0.67 | + |
| 2019 | 31.22 | 11.61 | 0.37 | - |
| 2020 | 18.33 | -1.55 | -0.08 | - |
| 2021 | 28.73 | 22.44 | 0.78 | - |
| 2022 | -18.18 | 1.42 | -0.08 | + |
| 2023 | 26.18 | 1.37 | 0.05 | - |
| 2024 | 24.89 | 13.13 | 0.53 | - |
| 2025 | 17.72 | 0.04 | 0.00 | - |
| 2026 | 8.94 | 10.10 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2005-05-31 | -9.80 | 397 |
| 2024-12-31 | 2026-01-31 | -8.82 | 397 |
| 2020-01-31 | 2021-01-31 | -6.96 | 367 |
| 2018-10-31 | 2019-07-31 | -6.33 | 274 |
| 2011-08-31 | 2012-03-31 | -6.07 | 214 |
| 2008-07-31 | 2009-06-30 | -5.83 | 335 |
| 2023-08-31 | 2024-02-29 | -5.66 | 183 |
| 2015-02-28 | 2016-05-31 | -4.75 | 459 |
| 2010-05-31 | 2010-07-31 | -4.55 | 62 |
| 2022-01-31 | 2022-02-28 | -4.03 | 29 |