| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 22.3% | 53.84% |
| CAGR﹪ | 14.45% | 33.47% |
| Sharpe | 0.84 | 1.58 |
| Prob. Sharpe Ratio | 85.51% | 97.38% |
| Smart Sharpe | 0.78 | 1.46 |
| Sortino | 1.26 | 2.48 |
| Smart Sortino | 1.17 | 2.3 |
| Sortino/√2 | 0.89 | 1.75 |
| Smart Sortino/√2 | 0.83 | 1.62 |
| Omega | 1.18 | 1.3 |
| Max Drawdown | -19.21% | -11.98% |
| Max DD Date | 2025-04-08 | 2025-04-07 |
| Max DD Period Start | 2025-02-20 | 2025-03-18 |
| Max DD Period End | 2025-07-01 | 2025-07-23 |
| Longest DD Days | 132 | 128 |
| Volatility (ann.) | 17.86% | 19.47% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.75 | 2.79 |
| Skew | 1.3 | 0.12 |
| Kurtosis | 22.47 | 1.0 |
| Ulcer Performance Index | 5.0 | 12.48 |
| Risk-Adjusted Return | 14.45% | 33.47% |
| Risk-Return Ratio | 0.05 | 0.1 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.73% | 1.15% |
| Avg. Loss | -0.8% | -0.97% |
| Win/Loss Ratio | 0.91 | 1.19 |
| Profit Ratio | 0.79 | 1.1 |
| Expected Daily | 0.05% | 0.11% |
| Expected Monthly | 1.07% | 2.29% |
| Expected Yearly | 10.59% | 24.03% |
| Kelly Criterion | 5.83% | 11.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.79% | -1.9% |
| Expected Shortfall (cVaR) | -3.07% | -2.94% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.18 | 0.3 |
| Gain/Pain (1M) | 1.41 | 3.38 |
| Payoff Ratio | 0.91 | 1.19 |
| Profit Factor | 1.18 | 1.3 |
| Common Sense Ratio | 1.13 | 1.59 |
| CPC Index | 0.59 | 0.81 |
| Tail Ratio | 0.96 | 1.23 |
| Outlier Win Ratio | 3.63 | 3.56 |
| Outlier Loss Ratio | 3.69 | 3.59 |
| 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.) | 14.45% | 33.47% |
| 5Y (ann.) | 14.45% | 33.47% |
| 10Y (ann.) | 14.45% | 33.47% |
| All-time (ann.) | 14.45% | 33.47% |
| Best Day | 10.5% | 4.19% |
| Worst Day | -5.89% | -3.81% |
| Best Month | 10.19% | 11.21% |
| Worst Month | -5.88% | -7.87% |
| Best Year | 11.18% | 26.47% |
| Worst Year | 10.01% | 21.65% |
| Avg. Drawdown | -1.94% | -2.53% |
| Avg. Drawdown Days | 15 | 14 |
| Recovery Factor | 1.17 | 3.83 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.49 | 1.36 |
| Avg. Up Month | 3.87% | 4.11% |
| Avg. Down Month | -4.1% | -3.51% |
| Win Days | 55.05% | 52.13% |
| Win Month | 52.63% | 73.68% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.4 |
| Alpha | - | 0.25 |
| Correlation | - | 36.59% |
| Treynor Ratio | - | 135.0% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 10.01 | 21.65 | 2.16 | + |
| 2026 | 11.18 | 26.47 | 2.37 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-06-02 | 2026-06-16 | -5.28 | 15 |
| 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 |
| 2025-09-24 | 2025-10-24 | -3.79 | 31 |
| 2026-05-15 | 2026-05-29 | -3.67 | 15 |
| 2025-12-01 | 2025-12-18 | -3.19 | 18 |