| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.64% | 53.08% |
| CAGR﹪ | 21.64% | 53.08% |
| Sharpe | 1.64 | 2.28 |
| Prob. Sharpe Ratio | 94.61% | 98.82% |
| Smart Sharpe | 1.45 | 2.02 |
| Sortino | 2.39 | 3.59 |
| Smart Sortino | 2.11 | 3.17 |
| Sortino/√2 | 1.69 | 2.54 |
| Smart Sortino/√2 | 1.49 | 2.24 |
| Omega | 1.32 | 1.46 |
| Max Drawdown | -9.52% | -9.72% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-13 | 2026-03-02 |
| Max DD Period End | 2026-04-14 | 2026-05-05 |
| Longest DD Days | 92 | 65 |
| Volatility (ann.) | 12.43% | 19.5% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | 2.27 | 5.46 |
| Skew | -0.31 | -0.08 |
| Kurtosis | 1.59 | 1.09 |
| Ulcer Performance Index | 9.91 | 18.32 |
| Risk-Adjusted Return | 21.64% | 53.08% |
| Risk-Return Ratio | 0.1 | 0.14 |
| Avg. Return | 0.08% | 0.18% |
| Avg. Win | 0.7% | 1.13% |
| Avg. Loss | -0.64% | -1.02% |
| Win/Loss Ratio | 1.09 | 1.11 |
| Profit Ratio | 0.82 | 0.85 |
| Expected Daily | 0.08% | 0.17% |
| Expected Monthly | 1.52% | 3.33% |
| Expected Yearly | 10.29% | 23.72% |
| Kelly Criterion | 15.63% | 17.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -1.84% |
| Expected Shortfall (cVaR) | -1.67% | -2.93% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | 0.32 | 0.46 |
| Gain/Pain (1M) | 2.56 | 5.16 |
| Payoff Ratio | 1.09 | 1.11 |
| Profit Factor | 1.32 | 1.46 |
| Common Sense Ratio | 1.13 | 1.79 |
| CPC Index | 0.8 | 0.92 |
| Tail Ratio | 0.86 | 1.22 |
| Outlier Win Ratio | 3.04 | 3.22 |
| Outlier Loss Ratio | 3.31 | 3.65 |
| 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.) | 21.64% | 53.08% |
| 5Y (ann.) | 21.64% | 53.08% |
| 10Y (ann.) | 21.64% | 53.08% |
| All-time (ann.) | 21.64% | 53.08% |
| Best Day | 2.91% | 4.19% |
| Worst Day | -2.75% | -3.81% |
| Best Month | 10.19% | 11.26% |
| Worst Month | -5.21% | -7.82% |
| Best Year | 12.69% | 25.43% |
| Worst Year | 7.94% | 22.04% |
| Avg. Drawdown | -1.41% | -1.88% |
| Avg. Drawdown Days | 10 | 9 |
| Recovery Factor | 2.14 | 4.58 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.2 | 2.69 |
| Avg. Up Month | 3.82% | 4.16% |
| Avg. Down Month | -5.21% | -7.82% |
| Win Days | 55.95% | 56.75% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.84 |
| Alpha | - | 0.27 |
| Correlation | - | 53.46% |
| Treynor Ratio | - | 63.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 12.69 | 25.43 | 2.00 | + |
| 2026 | 7.94 | 22.04 | 2.77 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-05 | -9.72 | 65 |
| 2026-06-02 | 2026-06-16 | -5.29 | 15 |
| 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 |
| 2025-12-01 | 2025-12-18 | -3.19 | 18 |
| 2025-12-30 | 2026-01-08 | -2.66 | 10 |
| 2025-07-10 | 2025-07-16 | -2.38 | 7 |
| 2025-11-18 | 2025-11-24 | -2.35 | 7 |