| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,212.58% |
| CAGR﹪ | 10.76% | 9.83% |
| Sharpe | 0.77 | 0.93 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 0.87 |
| Sortino | 1.18 | 1.5 |
| Smart Sortino | 1.11 | 1.41 |
| Sortino/√2 | 0.84 | 1.06 |
| Smart Sortino/√2 | 0.79 | 1.0 |
| Omega | 1.76 | 1.99 |
| Max Drawdown | -50.78% | -23.76% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2009-07-31 |
| Longest DD Days | 2223 | 1462 |
| Volatility (ann.) | 14.76% | 10.76% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 0.41 |
| Skew | -0.55 | -0.37 |
| Kurtosis | 0.98 | 1.08 |
| Ulcer Performance Index | 211.25 | 335.28 |
| Risk-Adjusted Return | 754.56% | 616.32% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.95% | 0.84% |
| Avg. Win | 3.5% | 2.62% |
| Avg. Loss | -4.07% | -2.99% |
| Win/Loss Ratio | 0.86 | 0.88 |
| Profit Ratio | 0.5 | 0.48 |
| Expected Daily | 0.85% | 0.78% |
| Expected Monthly | 0.85% | 0.78% |
| Expected Yearly | 10.59% | 9.68% |
| Kelly Criterion | 24.47% | 29.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.28% |
| Expected Shortfall (cVaR) | -8.96% | -6.56% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.76 | 0.99 |
| Gain/Pain (1M) | 0.76 | 0.99 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 1.76 | 1.99 |
| Common Sense Ratio | 1.85 | 2.52 |
| CPC Index | 0.98 | 1.17 |
| Tail Ratio | 1.05 | 1.27 |
| Outlier Win Ratio | 2.95 | 3.45 |
| Outlier Loss Ratio | 2.93 | 2.92 |
| MTD | -1.05% | -2.32% |
| 3M | 13.91% | 7.65% |
| 6M | 8.94% | 10.53% |
| YTD | 8.94% | 10.53% |
| 1Y | 20.92% | 21.5% |
| 3Y (ann.) | 18.77% | 8.46% |
| 5Y (ann.) | 12.51% | 2.63% |
| 10Y (ann.) | 15.13% | 7.3% |
| All-time (ann.) | 10.76% | 9.83% |
| Best Day | 12.7% | 10.38% |
| Worst Day | -16.52% | -11.43% |
| Best Month | 12.7% | 10.38% |
| Worst Month | -16.52% | -11.43% |
| Best Year | 38.05% | 36.53% |
| Worst Year | -36.79% | -19.37% |
| Avg. Drawdown | -6.27% | -5.08% |
| Avg. Drawdown Days | 122 | 157 |
| Recovery Factor | 7.49 | 14.09 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 9.39 |
| Avg. Up Month | 3.5% | 2.62% |
| Avg. Down Month | -4.07% | -2.99% |
| Win Days | 65.09% | 67.16% |
| Win Month | 65.09% | 67.16% |
| Win Quarter | 73.33% | 68.15% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.49 |
| Alpha | - | 0.04 |
| Correlation | - | 67.18% |
| Treynor Ratio | - | 4518.54% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 36.53 | 4.19 | + |
| 1994 | 0.40 | -1.67 | -4.21 | - |
| 1995 | 38.05 | 19.67 | 0.52 | - |
| 1996 | 22.50 | 11.94 | 0.53 | - |
| 1997 | 33.48 | 18.10 | 0.54 | - |
| 1998 | 28.69 | 8.60 | 0.30 | - |
| 1999 | 20.39 | 16.39 | 0.80 | - |
| 2000 | -9.74 | 0.71 | -0.07 | + |
| 2001 | -11.76 | -4.12 | 0.35 | + |
| 2002 | -21.58 | -1.57 | 0.07 | + |
| 2003 | 28.18 | 33.41 | 1.19 | + |
| 2004 | 10.70 | 12.66 | 1.18 | + |
| 2005 | 4.83 | 7.29 | 1.51 | + |
| 2006 | 15.85 | 18.96 | 1.20 | + |
| 2007 | 5.15 | 8.58 | 1.67 | + |
| 2008 | -36.79 | -9.75 | 0.27 | + |
| 2009 | 26.35 | 34.21 | 1.30 | + |
| 2010 | 15.06 | 18.57 | 1.23 | + |
| 2011 | 1.89 | 16.90 | 8.92 | + |
| 2012 | 15.99 | 12.10 | 0.76 | - |
| 2013 | 32.31 | 15.83 | 0.49 | - |
| 2014 | 13.46 | 7.82 | 0.58 | - |
| 2015 | 1.23 | -7.14 | -5.78 | - |
| 2016 | 12.00 | -0.42 | -0.04 | - |
| 2017 | 21.71 | 19.05 | 0.88 | - |
| 2018 | -4.57 | -3.93 | 0.86 | + |
| 2019 | 31.22 | 11.14 | 0.36 | - |
| 2020 | 18.33 | 19.51 | 1.06 | + |
| 2021 | 28.73 | 16.56 | 0.58 | - |
| 2022 | -18.18 | -19.37 | 1.07 | - |
| 2023 | 26.18 | 7.80 | 0.30 | - |
| 2024 | 24.89 | 1.45 | 0.06 | - |
| 2025 | 17.72 | 16.01 | 0.90 | - |
| 2026 | 8.94 | 10.53 | 1.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-07-31 | -23.76 | 610 |
| 2021-09-30 | 2025-09-30 | -23.51 | 1462 |
| 2015-02-28 | 2017-07-31 | -15.67 | 885 |
| 2000-03-31 | 2003-06-30 | -9.92 | 1187 |
| 2010-05-31 | 2010-09-30 | -8.91 | 123 |
| 2018-09-30 | 2019-11-30 | -8.80 | 427 |
| 2004-04-30 | 2004-10-31 | -8.25 | 185 |
| 1998-05-31 | 1999-03-31 | -7.39 | 305 |
| 1994-02-28 | 1994-07-31 | -7.19 | 154 |
| 2026-03-31 | 2026-04-30 | -7.04 | 31 |