| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 9,263.95% |
| CAGR﹪ | 10.76% | 14.51% |
| Sharpe | 0.77 | 0.94 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.77 | 0.94 |
| Sortino | 1.18 | 1.55 |
| Smart Sortino | 1.18 | 1.55 |
| Sortino/√2 | 0.84 | 1.1 |
| Smart Sortino/√2 | 0.84 | 1.09 |
| Omega | 1.76 | 2.22 |
| Max Drawdown | -50.78% | -29.16% |
| Max DD Date | 2009-02-28 | 2000-04-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2003-04-30 |
| Longest DD Days | 2223 | 1096 |
| Volatility (ann.) | 14.76% | 15.93% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.21 | 0.5 |
| Skew | -0.55 | -0.62 |
| Kurtosis | 0.98 | 5.69 |
| Ulcer Performance Index | 211.25 | 984.5 |
| Risk-Adjusted Return | 754.56% | 1621.23% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.95% | 1.25% |
| Avg. Win | 3.68% | 3.89% |
| Avg. Loss | -3.39% | -4.29% |
| Win/Loss Ratio | 1.08 | 0.91 |
| Profit Ratio | 0.5 | 0.39 |
| Expected Daily | 0.85% | 1.14% |
| Expected Monthly | 0.85% | 1.14% |
| Expected Yearly | 10.59% | 14.28% |
| Kelly Criterion | 32.86% | 37.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -6.32% |
| Expected Shortfall (cVaR) | -8.96% | -11.06% |
| Max Consecutive Wins | 15 | 31 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.22 |
| Gain/Pain (1M) | 0.76 | 1.22 |
| Payoff Ratio | 1.08 | 0.91 |
| Profit Factor | 1.76 | 2.22 |
| Common Sense Ratio | 1.85 | 3.35 |
| CPC Index | 1.24 | 1.42 |
| Tail Ratio | 1.05 | 1.51 |
| Outlier Win Ratio | 2.95 | 3.72 |
| Outlier Loss Ratio | 2.93 | 3.01 |
| MTD | -1.05% | -3.14% |
| 3M | 13.91% | 13.57% |
| 6M | 8.94% | 8.45% |
| YTD | 8.94% | 8.45% |
| 1Y | 20.92% | 26.31% |
| 3Y (ann.) | 18.77% | 17.75% |
| 5Y (ann.) | 12.51% | 14.74% |
| 10Y (ann.) | 15.13% | 18.46% |
| All-time (ann.) | 10.76% | 14.51% |
| Best Day | 12.7% | 17.74% |
| Worst Day | -16.52% | -29.16% |
| Best Month | 12.7% | 17.74% |
| Worst Month | -16.52% | -29.16% |
| Best Year | 38.05% | 89.17% |
| Worst Year | -36.79% | -18.53% |
| Avg. Drawdown | -6.27% | -6.21% |
| Avg. Drawdown Days | 122 | 128 |
| Recovery Factor | 7.49 | 17.13 |
| Ulcer Index | 0.14 | 0.09 |
| Serenity Index | 3.21 | 11.7 |
| Avg. Up Month | 3.68% | 3.89% |
| Avg. Down Month | -3.39% | -4.29% |
| Win Days | 65.09% | 70.4% |
| Win Month | 65.09% | 70.4% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.61 |
| Alpha | - | 0.08 |
| Correlation | - | 56.39% |
| Treynor Ratio | - | 15226.18% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | -0.17 | -0.02 | - |
| 1994 | 0.40 | -2.83 | -7.13 | - |
| 1995 | 38.05 | 40.66 | 1.07 | + |
| 1996 | 22.50 | 23.11 | 1.03 | + |
| 1997 | 33.48 | 16.42 | 0.49 | - |
| 1998 | 28.69 | 33.58 | 1.17 | + |
| 1999 | 20.39 | 89.17 | 4.37 | + |
| 2000 | -9.74 | -18.53 | 1.90 | - |
| 2001 | -11.76 | 3.30 | -0.28 | + |
| 2002 | -21.58 | 1.57 | -0.07 | + |
| 2003 | 28.18 | 56.48 | 2.00 | + |
| 2004 | 10.70 | 15.44 | 1.44 | + |
| 2005 | 4.83 | 15.09 | 3.12 | + |
| 2006 | 15.85 | 14.21 | 0.90 | - |
| 2007 | 5.15 | 18.65 | 3.62 | + |
| 2008 | -36.79 | -9.92 | 0.27 | + |
| 2009 | 26.35 | 21.04 | 0.80 | - |
| 2010 | 15.06 | 3.80 | 0.25 | - |
| 2011 | 1.89 | -11.66 | -6.15 | - |
| 2012 | 15.99 | 13.14 | 0.82 | - |
| 2013 | 32.31 | 38.96 | 1.21 | + |
| 2014 | 13.46 | 12.80 | 0.95 | - |
| 2015 | 1.23 | -6.01 | -4.87 | - |
| 2016 | 12.00 | -6.57 | -0.55 | - |
| 2017 | 21.71 | 54.76 | 2.52 | + |
| 2018 | -4.57 | 8.20 | -1.79 | + |
| 2019 | 31.22 | 14.72 | 0.47 | - |
| 2020 | 18.33 | 18.35 | 1.00 | + |
| 2021 | 28.73 | 20.77 | 0.72 | - |
| 2022 | -18.18 | -5.51 | 0.30 | + |
| 2023 | 26.18 | 25.86 | 0.99 | - |
| 2024 | 24.89 | 23.16 | 0.93 | - |
| 2025 | 17.72 | 15.86 | 0.90 | - |
| 2026 | 8.94 | 8.45 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2003-04-30 | -29.16 | 1096 |
| 2015-08-31 | 2017-03-31 | -24.69 | 579 |
| 2018-09-30 | 2019-12-31 | -20.63 | 458 |
| 2011-05-31 | 2012-08-31 | -20.41 | 459 |
| 2007-11-30 | 2009-11-30 | -15.92 | 732 |
| 2010-05-31 | 2010-12-31 | -14.47 | 215 |
| 2004-02-29 | 2004-09-30 | -12.20 | 215 |
| 1994-02-28 | 1995-01-31 | -10.66 | 338 |
| 2012-10-31 | 2013-06-30 | -10.30 | 243 |
| 2005-01-31 | 2005-06-30 | -10.22 | 151 |