| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 36.76% | 80.29% |
| CAGR﹪ | 15.52% | 31.2% |
| Sharpe | 0.95 | 1.47 |
| Prob. Sharpe Ratio | 92.38% | 98.37% |
| Smart Sharpe | 0.92 | 1.43 |
| Sortino | 1.4 | 2.21 |
| Smart Sortino | 1.36 | 2.14 |
| Sortino/√2 | 0.99 | 1.56 |
| Smart Sortino/√2 | 0.96 | 1.51 |
| Omega | 1.2 | 1.29 |
| 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.) | 16.6% | 19.76% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.81 | 1.84 |
| Skew | 1.0 | -0.27 |
| Kurtosis | 20.99 | 3.61 |
| Ulcer Performance Index | 9.37 | 19.35 |
| Risk-Adjusted Return | 15.52% | 31.2% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.71% | 1.09% |
| Avg. Loss | -0.79% | -1.0% |
| Win/Loss Ratio | 0.9 | 1.09 |
| Profit Ratio | 0.71 | 1.03 |
| Expected Daily | 0.06% | 0.11% |
| Expected Monthly | 1.17% | 2.21% |
| Expected Yearly | 11.0% | 21.71% |
| Kelly Criterion | 7.89% | 9.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -1.93% |
| Expected Shortfall (cVaR) | -2.47% | -3.28% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.2 | 0.29 |
| Gain/Pain (1M) | 1.76 | 3.3 |
| Payoff Ratio | 0.9 | 1.09 |
| Profit Factor | 1.2 | 1.29 |
| Common Sense Ratio | 1.15 | 1.56 |
| CPC Index | 0.61 | 0.74 |
| Tail Ratio | 0.95 | 1.21 |
| Outlier Win Ratio | 3.6 | 3.76 |
| Outlier Loss Ratio | 3.78 | 3.97 |
| MTD | 3.06% | 1.71% |
| 3M | 3.78% | 6.34% |
| 6M | 9.95% | 11.8% |
| YTD | 11.18% | 26.47% |
| 1Y | 17.82% | 39.04% |
| 3Y (ann.) | 15.52% | 31.2% |
| 5Y (ann.) | 15.52% | 31.2% |
| 10Y (ann.) | 15.52% | 31.2% |
| All-time (ann.) | 15.52% | 31.2% |
| Best Day | 10.5% | 5.53% |
| Worst Day | -5.89% | -7.1% |
| Best Month | 10.19% | 11.6% |
| Worst Month | -5.88% | -7.87% |
| Best Year | 13.03% | 26.47% |
| Worst Year | 8.84% | 13.69% |
| Avg. Drawdown | -1.96% | -2.86% |
| Avg. Drawdown Days | 16 | 16 |
| Recovery Factor | 1.78 | 3.73 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.86 | 1.98 |
| Avg. Up Month | 3.44% | 4.38% |
| Avg. Down Month | -3.77% | -3.36% |
| Win Days | 56.49% | 52.83% |
| Win Month | 59.26% | 70.37% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.48 |
| Alpha | - | 0.22 |
| Correlation | - | 40.4% |
| Treynor Ratio | - | 166.93% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 8.84 | 13.69 | 1.55 | + |
| 2025 | 13.03 | 25.39 | 1.95 | + |
| 2026 | 11.18 | 26.47 | 2.37 | + |
| 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 | -9.77 | 65 |
| 2026-07-07 | 2026-08-03 | -6.40 | 28 |
| 2024-12-10 | 2025-01-28 | -5.73 | 50 |
| 2026-06-02 | 2026-06-16 | -5.28 | 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 |
| 2026-06-22 | 2026-06-29 | -3.99 | 8 |