| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,825.78% |
| CAGR﹪ | 10.76% | 10.6% |
| Sharpe | 0.77 | 0.76 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.77 | 0.76 |
| Sortino | 1.18 | 1.18 |
| Smart Sortino | 1.18 | 1.18 |
| Sortino/√2 | 0.84 | 0.84 |
| Smart Sortino/√2 | 0.84 | 0.84 |
| Omega | 1.76 | 1.76 |
| Max Drawdown | -50.78% | -49.15% |
| Max DD Date | 2009-02-28 | 2002-09-30 |
| Max DD Period Start | 2007-11-30 | 2000-09-30 |
| Max DD Period End | 2012-02-29 | 2007-03-31 |
| Longest DD Days | 2223 | 2374 |
| Volatility (ann.) | 14.76% | 14.64% |
| R^2 | 0.96 | 0.96 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.22 |
| Skew | -0.55 | -0.46 |
| Kurtosis | 0.98 | 1.39 |
| Ulcer Performance Index | 211.25 | 189.39 |
| Risk-Adjusted Return | 754.56% | 730.11% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.95% | 0.94% |
| Avg. Win | 3.41% | 3.38% |
| Avg. Loss | -3.59% | -3.54% |
| Win/Loss Ratio | 0.95 | 0.95 |
| Profit Ratio | 0.5 | 0.54 |
| Expected Daily | 0.85% | 0.84% |
| Expected Monthly | 0.85% | 0.84% |
| Expected Yearly | 10.59% | 10.44% |
| Kelly Criterion | 28.39% | 27.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -6.02% |
| Expected Shortfall (cVaR) | -8.96% | -8.87% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.76 |
| Gain/Pain (1M) | 0.76 | 0.76 |
| Payoff Ratio | 0.95 | 0.95 |
| Profit Factor | 1.76 | 1.76 |
| Common Sense Ratio | 1.85 | 1.93 |
| CPC Index | 1.09 | 1.08 |
| Tail Ratio | 1.05 | 1.1 |
| Outlier Win Ratio | 2.95 | 2.9 |
| Outlier Loss Ratio | 2.93 | 3.03 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 8.32% |
| 6M | 8.94% | 3.59% |
| YTD | 8.94% | 3.59% |
| 1Y | 20.92% | 14.98% |
| 3Y (ann.) | 18.77% | 15.93% |
| 5Y (ann.) | 12.51% | 11.53% |
| 10Y (ann.) | 15.13% | 15.86% |
| All-time (ann.) | 10.76% | 10.6% |
| Best Day | 12.7% | 17.02% |
| Worst Day | -16.52% | -16.52% |
| Best Month | 12.7% | 17.02% |
| Worst Month | -16.52% | -16.52% |
| Best Year | 38.05% | 38.68% |
| Worst Year | -36.79% | -33.74% |
| Avg. Drawdown | -6.27% | -6.16% |
| Avg. Drawdown Days | 122 | 118 |
| Recovery Factor | 7.49 | 7.63 |
| Ulcer Index | 0.14 | 0.15 |
| Serenity Index | 3.21 | 2.85 |
| Avg. Up Month | 3.41% | 3.38% |
| Avg. Down Month | -3.59% | -3.54% |
| Win Days | 65.09% | 64.43% |
| Win Month | 65.09% | 64.43% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.97 |
| Alpha | - | 0.0 |
| Correlation | - | 97.84% |
| Treynor Ratio | - | 2911.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.26 | 1.29 | + |
| 1994 | 0.40 | 2.58 | 6.50 | + |
| 1995 | 38.05 | 38.68 | 1.02 | + |
| 1996 | 22.50 | 16.49 | 0.73 | - |
| 1997 | 33.48 | 33.69 | 1.01 | + |
| 1998 | 28.69 | 29.18 | 1.02 | + |
| 1999 | 20.39 | 17.12 | 0.84 | - |
| 2000 | -9.74 | -11.28 | 1.16 | - |
| 2001 | -11.76 | -18.20 | 1.55 | - |
| 2002 | -21.58 | -22.17 | 1.03 | - |
| 2003 | 28.18 | 31.68 | 1.12 | + |
| 2004 | 10.70 | 9.40 | 0.88 | - |
| 2005 | 4.83 | 4.83 | 1.00 | - |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 6.23 | 1.21 | + |
| 2008 | -36.79 | -33.74 | 0.92 | + |
| 2009 | 26.35 | 21.83 | 0.83 | - |
| 2010 | 15.06 | 18.18 | 1.21 | + |
| 2011 | 1.89 | 0.24 | 0.12 | - |
| 2012 | 15.99 | 17.66 | 1.10 | + |
| 2013 | 32.31 | 31.09 | 0.96 | - |
| 2014 | 13.46 | 8.33 | 0.62 | - |
| 2015 | 1.23 | 2.11 | 1.71 | + |
| 2016 | 12.00 | 10.21 | 0.85 | - |
| 2017 | 21.71 | 21.92 | 1.01 | + |
| 2018 | -4.57 | 0.53 | -0.12 | + |
| 2019 | 31.22 | 32.24 | 1.03 | + |
| 2020 | 18.33 | 27.65 | 1.51 | + |
| 2021 | 28.73 | 26.95 | 0.94 | - |
| 2022 | -18.18 | -16.90 | 0.93 | + |
| 2023 | 26.18 | 25.79 | 0.99 | - |
| 2024 | 24.89 | 24.63 | 0.99 | - |
| 2025 | 17.72 | 17.27 | 0.97 | - |
| 2026 | 8.94 | 3.59 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-09-30 | 2007-03-31 | -49.15 | 2374 |
| 2007-11-30 | 2012-02-29 | -48.41 | 1553 |
| 2022-01-31 | 2023-06-30 | -23.20 | 516 |
| 2020-01-31 | 2020-05-31 | -19.45 | 122 |
| 1998-07-31 | 1998-10-31 | -15.28 | 93 |
| 2015-08-31 | 2015-09-30 | -8.49 | 31 |
| 2023-08-31 | 2023-11-30 | -8.33 | 92 |
| 2025-02-28 | 2025-05-31 | -7.58 | 93 |
| 2018-10-31 | 2018-12-31 | -7.20 | 62 |
| 1994-02-28 | 1994-07-31 | -6.98 | 154 |