| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 32.79% | 73.98% |
| CAGR﹪ | 14.98% | 31.33% |
| Sharpe | 0.91 | 1.49 |
| Prob. Sharpe Ratio | 90.82% | 98.14% |
| Smart Sharpe | 0.88 | 1.44 |
| Sortino | 1.34 | 2.21 |
| Smart Sortino | 1.29 | 2.13 |
| Sortino/√2 | 0.95 | 1.56 |
| Smart Sortino/√2 | 0.91 | 1.51 |
| Omega | 1.19 | 1.3 |
| Max Drawdown | -19.21% | -16.94% |
| Max DD Date | 2025-04-08 | 2024-08-05 |
| Max DD Period Start | 2025-02-20 | 2024-07-18 |
| Max DD Period End | 2025-07-01 | 2024-09-26 |
| Longest DD Days | 132 | 128 |
| Volatility (ann.) | 16.81% | 19.55% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.78 | 1.85 |
| Skew | 1.03 | -0.37 |
| Kurtosis | 21.3 | 3.87 |
| Ulcer Performance Index | 8.16 | 17.63 |
| Risk-Adjusted Return | 14.98% | 31.33% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.69% | 1.07% |
| Avg. Loss | -0.81% | -1.0% |
| Win/Loss Ratio | 0.86 | 1.07 |
| Profit Ratio | 0.68 | 1.01 |
| Expected Daily | 0.06% | 0.11% |
| Expected Monthly | 1.14% | 2.24% |
| Expected Yearly | 9.91% | 20.27% |
| Kelly Criterion | 6.93% | 9.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -1.91% |
| Expected Shortfall (cVaR) | -2.51% | -3.28% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.19 | 0.3 |
| Gain/Pain (1M) | 1.6 | 3.11 |
| Payoff Ratio | 0.86 | 1.07 |
| Profit Factor | 1.19 | 1.3 |
| Common Sense Ratio | 1.11 | 1.56 |
| CPC Index | 0.58 | 0.74 |
| Tail Ratio | 0.93 | 1.2 |
| Outlier Win Ratio | 3.71 | 3.39 |
| Outlier Loss Ratio | 3.73 | 4.05 |
| MTD | -1.54% | 3.21% |
| 3M | 14.06% | 13.94% |
| 6M | 8.06% | 22.82% |
| YTD | 7.94% | 22.04% |
| 1Y | 21.95% | 53.59% |
| 3Y (ann.) | 14.98% | 31.33% |
| 5Y (ann.) | 14.98% | 31.33% |
| 10Y (ann.) | 14.98% | 31.33% |
| All-time (ann.) | 14.98% | 31.33% |
| Best Day | 10.5% | 5.53% |
| Worst Day | -5.89% | -7.1% |
| Best Month | 10.19% | 11.6% |
| Worst Month | -5.88% | -7.82% |
| Best Year | 13.03% | 25.39% |
| Worst Year | 7.94% | 13.69% |
| Avg. Drawdown | -2.04% | -2.74% |
| Avg. Drawdown Days | 15 | 16 |
| Recovery Factor | 1.62 | 3.5 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.77 | 1.79 |
| Avg. Up Month | 3.48% | 4.62% |
| Avg. Down Month | -3.77% | -3.35% |
| Win Days | 57.03% | 53.12% |
| Win Month | 60.0% | 68.0% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.45 |
| Alpha | - | 0.22 |
| Correlation | - | 39.12% |
| Treynor Ratio | - | 162.6% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 8.84 | 13.69 | 1.55 | + |
| 2025 | 13.03 | 25.39 | 1.95 | + |
| 2026 | 7.94 | 22.04 | 2.77 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-18 | 2024-09-26 | -16.94 | 71 |
| 2025-03-18 | 2025-07-23 | -11.98 | 128 |
| 2026-03-02 | 2026-05-05 | -9.72 | 65 |
| 2024-12-10 | 2025-01-28 | -5.73 | 50 |
| 2026-06-02 | 2026-06-16 | -5.29 | 15 |
| 2024-11-12 | 2024-11-22 | -5.04 | 11 |
| 2025-08-13 | 2025-09-10 | -4.89 | 29 |
| 2025-10-28 | 2025-11-11 | -4.26 | 15 |
| 2025-09-24 | 2025-10-24 | -3.79 | 31 |
| 2026-05-15 | 2026-05-29 | -3.67 | 15 |