| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,736.95% |
| CAGR﹪ | 10.76% | 9.08% |
| Sharpe | 0.77 | 1.0 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.98 |
| Sortino | 1.18 | 1.74 |
| Smart Sortino | 1.17 | 1.72 |
| Sortino/√2 | 0.84 | 1.23 |
| Smart Sortino/√2 | 0.83 | 1.22 |
| Omega | 1.76 | 2.32 |
| Max Drawdown | -50.78% | -16.74% |
| Max DD Date | 2009-02-28 | 2010-09-30 |
| Max DD Period Start | 2007-11-30 | 2010-05-31 |
| Max DD Period End | 2012-02-29 | 2011-03-31 |
| Longest DD Days | 2223 | 1400 |
| Volatility (ann.) | 14.76% | 9.18% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.21 | 0.54 |
| Skew | -0.55 | -0.03 |
| Kurtosis | 0.98 | 1.18 |
| Ulcer Performance Index | 211.25 | 342.04 |
| Risk-Adjusted Return | 754.56% | 520.04% |
| Risk-Return Ratio | 0.22 | 0.29 |
| Avg. Return | 0.95% | 0.76% |
| Avg. Win | 3.33% | 2.09% |
| Avg. Loss | -2.85% | -2.61% |
| Win/Loss Ratio | 1.17 | 0.8 |
| Profit Ratio | 0.5 | 0.23 |
| Expected Daily | 0.85% | 0.73% |
| Expected Monthly | 0.85% | 0.73% |
| Expected Yearly | 10.59% | 8.94% |
| Kelly Criterion | 35.18% | 45.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.6% |
| Expected Shortfall (cVaR) | -8.96% | -5.18% |
| Max Consecutive Wins | 15 | 18 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.32 |
| Gain/Pain (1M) | 0.76 | 1.32 |
| Payoff Ratio | 1.17 | 0.8 |
| Profit Factor | 1.76 | 2.32 |
| Common Sense Ratio | 1.85 | 3.21 |
| CPC Index | 1.34 | 1.41 |
| Tail Ratio | 1.05 | 1.38 |
| Outlier Win Ratio | 2.95 | 3.95 |
| Outlier Loss Ratio | 2.93 | 2.5 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 3.34% |
| 6M | 8.94% | 4.22% |
| YTD | 8.94% | 4.22% |
| 1Y | 20.92% | 15.63% |
| 3Y (ann.) | 18.77% | 12.57% |
| 5Y (ann.) | 12.51% | 8.4% |
| 10Y (ann.) | 15.13% | 10.87% |
| All-time (ann.) | 10.76% | 9.08% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -7.95% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -7.95% |
| Best Year | 38.05% | 34.11% |
| Worst Year | -36.79% | -9.97% |
| Avg. Drawdown | -6.27% | -4.41% |
| Avg. Drawdown Days | 122 | 179 |
| Recovery Factor | 7.49 | 18.29 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 12.9 |
| Avg. Up Month | 3.33% | 2.09% |
| Avg. Down Month | -2.85% | -2.61% |
| Win Days | 65.09% | 75.87% |
| Win Month | 65.09% | 75.87% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.38 |
| Alpha | - | 0.05 |
| Correlation | - | 61.42% |
| Treynor Ratio | - | 4546.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 1.22 | 0.14 | - |
| 1994 | 0.40 | -3.52 | -8.86 | - |
| 1995 | 38.05 | 34.11 | 0.90 | - |
| 1996 | 22.50 | 14.65 | 0.65 | - |
| 1997 | 33.48 | 26.04 | 0.78 | - |
| 1998 | 28.69 | 25.13 | 0.88 | - |
| 1999 | 20.39 | 17.59 | 0.86 | - |
| 2000 | -9.74 | -9.71 | 1.00 | + |
| 2001 | -11.76 | 3.72 | -0.32 | + |
| 2002 | -21.58 | -9.97 | 0.46 | + |
| 2003 | 28.18 | 22.89 | 0.81 | - |
| 2004 | 10.70 | 3.83 | 0.36 | - |
| 2005 | 4.83 | -5.51 | -1.14 | - |
| 2006 | 15.85 | 13.85 | 0.87 | - |
| 2007 | 5.15 | 1.84 | 0.36 | - |
| 2008 | -36.79 | 1.34 | -0.04 | + |
| 2009 | 26.35 | 29.51 | 1.12 | + |
| 2010 | 15.06 | -1.32 | -0.09 | - |
| 2011 | 1.89 | 5.88 | 3.10 | + |
| 2012 | 15.99 | 6.38 | 0.40 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 6.43 | 0.48 | - |
| 2015 | 1.23 | -5.97 | -4.84 | - |
| 2016 | 12.00 | 10.49 | 0.87 | - |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | -3.53 | 0.77 | + |
| 2019 | 31.22 | 10.46 | 0.33 | - |
| 2020 | 18.33 | 14.45 | 0.79 | - |
| 2021 | 28.73 | 20.17 | 0.70 | - |
| 2022 | -18.18 | -9.38 | 0.52 | + |
| 2023 | 26.18 | 9.40 | 0.36 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 13.96 | 0.79 | - |
| 2026 | 8.94 | 4.22 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-05-31 | 2011-03-31 | -16.74 | 305 |
| 2000-01-31 | 2003-11-30 | -15.69 | 1400 |
| 2021-09-30 | 2023-06-30 | -12.45 | 639 |
| 2018-02-28 | 2019-11-30 | -9.21 | 641 |
| 2023-08-31 | 2024-01-31 | -8.33 | 154 |
| 2020-01-31 | 2020-07-31 | -7.98 | 183 |
| 1994-02-28 | 1995-02-28 | -7.10 | 366 |
| 2012-04-30 | 2012-12-31 | -6.67 | 246 |
| 2007-06-30 | 2009-04-30 | -6.48 | 671 |
| 2014-07-31 | 2016-10-31 | -6.45 | 824 |