| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 7,236.31% |
| CAGR﹪ | 10.76% | 13.68% |
| Sharpe | 0.77 | 1.04 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 0.98 |
| Sortino | 1.18 | 1.88 |
| Smart Sortino | 1.11 | 1.76 |
| Sortino/√2 | 0.84 | 1.33 |
| Smart Sortino/√2 | 0.79 | 1.25 |
| Omega | 1.76 | 2.24 |
| Max Drawdown | -50.78% | -16.47% |
| Max DD Date | 2009-02-28 | 2003-01-31 |
| Max DD Period Start | 2007-11-30 | 2002-06-30 |
| Max DD Period End | 2012-02-29 | 2003-07-31 |
| Longest DD Days | 2223 | 854 |
| Volatility (ann.) | 14.76% | 13.22% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.21 | 0.83 |
| Skew | -0.55 | 0.13 |
| Kurtosis | 0.98 | 1.77 |
| Ulcer Performance Index | 211.25 | 1357.49 |
| Risk-Adjusted Return | 754.56% | 1377.08% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.94% | 1.16% |
| Avg. Win | 3.52% | 3.32% |
| Avg. Loss | -3.36% | -3.23% |
| Win/Loss Ratio | 1.05 | 1.03 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 1.07% |
| Expected Monthly | 0.85% | 1.07% |
| Expected Yearly | 10.59% | 13.47% |
| Kelly Criterion | 31.78% | 35.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.13% |
| Expected Shortfall (cVaR) | -8.96% | -7.27% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.24 |
| Gain/Pain (1M) | 0.76 | 1.24 |
| Payoff Ratio | 1.05 | 1.03 |
| Profit Factor | 1.76 | 2.24 |
| Common Sense Ratio | 1.85 | 3.29 |
| CPC Index | 1.2 | 1.55 |
| Tail Ratio | 1.05 | 1.47 |
| Outlier Win Ratio | 2.95 | 3.26 |
| Outlier Loss Ratio | 2.93 | 2.78 |
| MTD | -1.05% | -3.09% |
| 3M | 13.91% | 10.39% |
| 6M | 8.94% | 10.59% |
| YTD | 8.94% | 10.59% |
| 1Y | 20.92% | 14.72% |
| 3Y (ann.) | 18.77% | 13.54% |
| 5Y (ann.) | 12.51% | 11.16% |
| 10Y (ann.) | 15.13% | 13.44% |
| All-time (ann.) | 10.76% | 13.68% |
| Best Day | 12.7% | 18.13% |
| Worst Day | -16.52% | -13.82% |
| Best Month | 12.7% | 18.13% |
| Worst Month | -16.52% | -13.82% |
| Best Year | 38.05% | 37.94% |
| Worst Year | -36.79% | -9.47% |
| Avg. Drawdown | -6.27% | -4.71% |
| Avg. Drawdown Days | 122 | 113 |
| Recovery Factor | 7.49 | 27.97 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 25.52 |
| Avg. Up Month | 3.52% | 3.32% |
| Avg. Down Month | -3.36% | -3.23% |
| Win Days | 65.09% | 67.33% |
| Win Month | 65.09% | 67.33% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.55 |
| Alpha | - | 0.07 |
| Correlation | - | 61.86% |
| Treynor Ratio | - | 13062.48% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 2.85 | 0.33 | - |
| 1994 | 0.40 | 2.25 | 5.65 | + |
| 1995 | 38.05 | 30.69 | 0.81 | - |
| 1996 | 22.50 | 20.89 | 0.93 | - |
| 1997 | 33.48 | 37.94 | 1.13 | + |
| 1998 | 28.69 | 34.95 | 1.22 | + |
| 1999 | 20.39 | 27.27 | 1.34 | + |
| 2000 | -9.74 | 4.83 | -0.50 | + |
| 2001 | -11.76 | 5.77 | -0.49 | + |
| 2002 | -21.58 | -9.47 | 0.44 | + |
| 2003 | 28.18 | 31.19 | 1.11 | + |
| 2004 | 10.70 | 22.07 | 2.06 | + |
| 2005 | 4.83 | 10.45 | 2.16 | + |
| 2006 | 15.85 | 26.65 | 1.68 | + |
| 2007 | 5.15 | 1.59 | 0.31 | - |
| 2008 | -36.79 | 7.58 | -0.21 | + |
| 2009 | 26.35 | 22.10 | 0.84 | - |
| 2010 | 15.06 | 17.32 | 1.15 | + |
| 2011 | 1.89 | 5.33 | 2.81 | + |
| 2012 | 15.99 | 8.42 | 0.53 | - |
| 2013 | 32.31 | 29.63 | 0.92 | - |
| 2014 | 13.46 | 5.65 | 0.42 | - |
| 2015 | 1.23 | -8.65 | -7.01 | - |
| 2016 | 12.00 | 18.60 | 1.55 | + |
| 2017 | 21.71 | 12.50 | 0.58 | - |
| 2018 | -4.57 | -5.06 | 1.11 | - |
| 2019 | 31.22 | 10.17 | 0.33 | - |
| 2020 | 18.33 | 29.24 | 1.60 | + |
| 2021 | 28.73 | 33.17 | 1.15 | + |
| 2022 | -18.18 | -8.76 | 0.48 | + |
| 2023 | 26.18 | 19.25 | 0.74 | - |
| 2024 | 24.89 | 16.28 | 0.65 | - |
| 2025 | 17.72 | 10.28 | 0.58 | - |
| 2026 | 8.94 | 10.59 | 1.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2002-06-30 | 2003-07-31 | -16.47 | 397 |
| 2007-06-30 | 2009-06-30 | -14.92 | 732 |
| 2010-05-31 | 2010-11-30 | -14.70 | 184 |
| 2000-03-31 | 2002-02-28 | -14.50 | 700 |
| 2024-12-31 | 2025-09-30 | -12.46 | 274 |
| 2018-02-28 | 2020-06-30 | -11.36 | 854 |
| 2015-03-31 | 2016-10-31 | -10.90 | 581 |
| 2023-08-31 | 2023-11-30 | -9.54 | 92 |
| 2022-01-31 | 2023-03-31 | -8.76 | 425 |
| 1996-06-30 | 1996-10-31 | -8.51 | 124 |