Yearly CAGR & Max Drawdown
Compound annual growth rate and the worst point each series reached below its running all-time high, per calendar year, SPY buy & hold vs. the Chris strategy.
| Year | SPY CAGR | Strategy CAGR | SPY Max DD | Strategy Max DD |
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Top 10 Best & Worst Days
Position % shown for the strategy is the size held going into that day (yesterday's signal).
| Strategy Best | Position | Return |
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| Strategy Worst | Position | Return |
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Performance by Investment % Bucket
Every day grouped by the exact position size held going into it (the strategy only ever uses these five). Same columns as the Quadrant and Regime Warning tables below, lined up to compare across all three. “Win Rate vs SPY” compares realized returns; “Directional Win Rate” only checks whether the position's side (long/flat/short) matched SPY's direction that day.
| Bucket | Days | Avg SPY Daily | Avg Strategy Daily | Win Rate vs SPY | Directional Win Rate | SPY Cumulative | Strategy Cumulative |
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SPY vs. Strategy Returns by Quadrant
Click a row to expand it and see how the position actually held on those days (not shifted, unlike the Bucket table above) breaks down within that quadrant -- e.g. a quadrant capped at 100% will only ever show 0%/100% here. Since a same-day position's payoff isn't realized until the next trading day, that breakdown's return and win-rate columns reflect the day AFTER each position was held.
| Quadrant | Days | Avg SPY Daily | Avg Strategy Daily | Win Rate vs SPY | Directional Win Rate | SPY Cumulative | Strategy Cumulative |
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SPY vs. Strategy Returns by Regime Warning
Click a row to expand it and see how the position actually held on those days (not shifted, unlike the Bucket table above) breaks down within that regime-warning state -- e.g. Warning Active will only ever show positions at 200% or below here. Since a same-day position's payoff isn't realized until the next trading day, that breakdown's return and win-rate columns reflect the day AFTER each position was held.
| Regime Warning | Days | Avg SPY Daily | Avg Strategy Daily | Win Rate vs SPY | Directional Win Rate | SPY Cumulative | Strategy Cumulative |
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