| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 856.36% | 608.25% |
| CAGR﹪ | 9.45% | 8.15% |
| Sharpe | 0.68 | 0.54 |
| Prob. Sharpe Ratio | 99.94% | 98.87% |
| Smart Sharpe | 0.55 | 0.44 |
| Sortino | 1.03 | 0.74 |
| Smart Sortino | 0.83 | 0.6 |
| Sortino/√2 | 0.73 | 0.52 |
| Smart Sortino/√2 | 0.59 | 0.42 |
| Omega | 1.66 | 1.61 |
| Max Drawdown | -50.78% | -70.93% |
| Max DD Date | 2009-02-28 | 2009-03-31 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2015-04-30 |
| Longest DD Days | 1553 | 2496 |
| Volatility (ann.) | 14.95% | 17.8% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.19 | 0.11 |
| Skew | -0.52 | -1.85 |
| Kurtosis | 0.98 | 17.16 |
| Ulcer Performance Index | 69.63 | 25.14 |
| Risk-Adjusted Return | 566.38% | 417.79% |
| Risk-Return Ratio | 0.2 | 0.16 |
| Avg. Return | 0.85% | 0.8% |
| Avg. Win | 3.62% | 3.61% |
| Avg. Loss | -3.9% | -4.06% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.45 | 0.68 |
| Expected Daily | 0.76% | 0.65% |
| Expected Monthly | 0.76% | 0.65% |
| Expected Yearly | 9.07% | 7.82% |
| Kelly Criterion | 28.4% | 16.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -7.66% |
| Expected Shortfall (cVaR) | -8.89% | -19.42% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.66 | 0.61 |
| Gain/Pain (1M) | 0.66 | 0.61 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.66 | 1.61 |
| Common Sense Ratio | 1.68 | 1.73 |
| CPC Index | 1.01 | 0.87 |
| Tail Ratio | 1.01 | 1.07 |
| Outlier Win Ratio | 3.23 | 3.22 |
| Outlier Loss Ratio | 2.8 | 5.26 |
| MTD | -1.05% | -5.35% |
| 3M | 13.91% | 8.75% |
| 6M | 8.94% | 5.18% |
| YTD | 8.94% | 5.18% |
| 1Y | 20.92% | 17.73% |
| 3Y (ann.) | 18.77% | 16.1% |
| 5Y (ann.) | 12.51% | 14.02% |
| 10Y (ann.) | 15.13% | 19.6% |
| All-time (ann.) | 9.45% | 8.15% |
| Best Day | 12.7% | 24.5% |
| Worst Day | -16.52% | -39.83% |
| Best Month | 12.7% | 24.5% |
| Worst Month | -16.52% | -39.83% |
| Best Year | 32.31% | 63.6% |
| Worst Year | -36.79% | -53.23% |
| Avg. Drawdown | -6.69% | -8.1% |
| Avg. Drawdown Days | 135 | 219 |
| Recovery Factor | 5.02 | 3.37 |
| Ulcer Index | 0.12 | 0.24 |
| Serenity Index | 2.82 | 0.88 |
| Avg. Up Month | 3.62% | 3.61% |
| Avg. Down Month | -3.9% | -4.06% |
| Win Days | 65.55% | 60.67% |
| Win Month | 65.55% | 60.67% |
| Win Quarter | 72.28% | 71.29% |
| Win Year | 80.77% | 76.92% |
| Beta | - | 0.83 |
| Alpha | - | 0.01 |
| Correlation | - | 70.01% |
| Treynor Ratio | - | 729.71% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2001 | -5.13 | -4.30 | 0.84 | + |
| 2002 | -21.58 | -37.17 | 1.72 | - |
| 2003 | 28.18 | 23.42 | 0.83 | - |
| 2004 | 10.70 | 9.63 | 0.90 | - |
| 2005 | 4.83 | 3.66 | 0.76 | - |
| 2006 | 15.85 | 9.12 | 0.58 | - |
| 2007 | 5.15 | 21.28 | 4.14 | + |
| 2008 | -36.79 | -53.23 | 1.45 | - |
| 2009 | 26.35 | -8.31 | -0.32 | - |
| 2010 | 15.06 | 28.88 | 1.92 | + |
| 2011 | 1.89 | 11.87 | 6.27 | + |
| 2012 | 15.99 | 12.13 | 0.76 | - |
| 2013 | 32.31 | 24.85 | 0.77 | - |
| 2014 | 13.46 | 13.01 | 0.97 | - |
| 2015 | 1.23 | 3.70 | 3.00 | + |
| 2016 | 12.00 | 9.58 | 0.80 | - |
| 2017 | 21.71 | 27.62 | 1.27 | + |
| 2018 | -4.57 | -4.71 | 1.03 | - |
| 2019 | 31.22 | 31.90 | 1.02 | + |
| 2020 | 18.33 | 63.60 | 3.47 | + |
| 2021 | 28.73 | 24.10 | 0.84 | - |
| 2022 | -18.18 | -9.68 | 0.53 | + |
| 2023 | 26.18 | 29.72 | 1.14 | + |
| 2024 | 24.89 | 18.35 | 0.74 | - |
| 2025 | 17.72 | 20.19 | 1.14 | + |
| 2026 | 8.94 | 5.18 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2015-04-30 | -70.93 | 2496 |
| 2001-08-31 | 2007-04-30 | -41.58 | 2069 |
| 2018-09-30 | 2019-03-31 | -12.41 | 183 |
| 2022-01-31 | 2023-04-30 | -12.34 | 455 |
| 2018-02-28 | 2018-07-31 | -9.78 | 154 |
| 2015-08-31 | 2016-02-29 | -8.92 | 183 |
| 2026-06-30 | 2026-07-31 | -6.66 | 32 |
| 2023-08-31 | 2023-10-31 | -6.33 | 62 |
| 2019-05-31 | 2019-05-31 | -6.32 | 1 |
| 2020-02-29 | 2020-02-29 | -6.00 | 1 |