| SPY IO Long 2003-2019 | SPY ETF |
| Starting Capital | $10,000.00 |
| Ending Capital | $104,289.63 |
| Net Profit | $94,289.63 |
| Net Profit % | 942.90% |
| Market Exposure % | 66.59% |
| Years Tested | 16.46 |
| % Profit p/yr (CAGR) | 15.30% |
| Risk Adj Return | 22.98% |
| Total Trades | 226 |
| Avg P/L (Expectancy $) | $402.78 |
| Avg P/L (Expectancy %) | 1.08% |
| Avg Bars Held | 8.2 |
| Capital Risk % | 100% |
| Leverage | 1.5x |
| Winning Trades | 167 (73.89%) |
| Gross Profit | $168,635.34 |
| Avg Profit | $1,009.79 |
| Avg Profit % | 2.41% |
| Max Winning Trade | $6,462.63 |
| Max Winning Trade % | 17.31% |
| Max Winning Streak | 15 |
| Losing Trades | 59 (26.11%) |
| Gross Loss | $(77,608.06) |
| Avg Loss | $(1,315.39) |
| Avg Loss % | -2.69% |
| Max Losing Trade | $(8,992.74) |
| Max Losing Trade% | -10.47% |
| Max Losing Streak | 3 |
| Profit Factor | 2.17 |
| Payoff Ratio | 0.9 |
| Sharpe Ratio | 1.65 |
| Ulcer Index | 3.11% |
| Max Drawdown | 12.50% |
| Max Drawdown $ | $(12,822.50) |
| Recovery Factor | 7.35 |
| CAR/MaxDD | 1.22 |
| Annual Returns | IO | SPY |
| 2003 | 29.02% | 22.19% |
| 2004 | 10.04% | 8.67% |
| 2005 | 5.13% | 3.50% |
| 2006 | 20.59% | 11.78% |
| 2007 | 8.66% | 3.42% |
| 2008 | 25.82% | -37.74% |
| 2009 | 25.50% | 19.88% |
| 2010 | 27.38% | 10.96% |
| 2011 | 21.74% | -1.22% |
| 2012 | 17.39% | 11.69% |
| 2013 | 19.01% | 26.45% |
| 2014 | 10.55% | 12.37% |
| 2015 | 11.03% | -0.76% |
| 2016 | 8.56% | 11.20% |
| 2017 | 12.92% | 18.48% |
| 2018 | 3.59% | -7.01% |
| 2019 | -3.13% | 16.10% |
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