| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.82% | 39.04% |
| CAGR﹪ | 17.82% | 39.04% |
| Sharpe | 1.34 | 1.72 |
| Prob. Sharpe Ratio | 90.73% | 95.77% |
| Smart Sharpe | 1.21 | 1.55 |
| Sortino | 1.95 | 2.7 |
| Smart Sortino | 1.76 | 2.44 |
| Sortino/√2 | 1.38 | 1.91 |
| Smart Sortino/√2 | 1.24 | 1.72 |
| Omega | 1.25 | 1.33 |
| Max Drawdown | -9.52% | -9.77% |
| 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.) | 12.87% | 20.39% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 1.87 | 4.0 |
| Skew | -0.2 | 0.1 |
| Kurtosis | 1.23 | 1.14 |
| Ulcer Performance Index | 7.69 | 12.41 |
| Risk-Adjusted Return | 17.82% | 39.04% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.07% | 0.14% |
| Avg. Win | 0.75% | 1.19% |
| Avg. Loss | -0.66% | -1.04% |
| Win/Loss Ratio | 1.15 | 1.15 |
| Profit Ratio | 0.88 | 0.97 |
| Expected Daily | 0.07% | 0.13% |
| Expected Monthly | 1.27% | 2.57% |
| Expected Yearly | 8.55% | 17.91% |
| Kelly Criterion | 14.6% | 14.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -1.97% |
| Expected Shortfall (cVaR) | -1.74% | -3.08% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | 0.25 | 0.33 |
| Gain/Pain (1M) | 2.17 | 2.86 |
| Payoff Ratio | 1.15 | 1.15 |
| Profit Factor | 1.25 | 1.33 |
| Common Sense Ratio | 1.22 | 1.71 |
| CPC Index | 0.78 | 0.83 |
| Tail Ratio | 0.98 | 1.29 |
| Outlier Win Ratio | 2.94 | 3.75 |
| Outlier Loss Ratio | 3.21 | 3.62 |
| 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.) | 17.82% | 39.04% |
| 5Y (ann.) | 17.82% | 39.04% |
| 10Y (ann.) | 17.82% | 39.04% |
| All-time (ann.) | 17.82% | 39.04% |
| Best Day | 2.91% | 4.19% |
| Worst Day | -2.75% | -3.81% |
| Best Month | 10.19% | 11.21% |
| Worst Month | -5.21% | -7.87% |
| Best Year | 11.18% | 26.47% |
| Worst Year | 5.98% | 9.94% |
| Avg. Drawdown | -1.45% | -2.36% |
| Avg. Drawdown Days | 12 | 11 |
| Recovery Factor | 1.81 | 3.59 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.96 | 1.99 |
| Avg. Up Month | 4.51% | 4.22% |
| Avg. Down Month | -5.21% | -7.87% |
| Win Days | 54.37% | 53.97% |
| Win Month | 53.85% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.88 |
| Alpha | - | 0.2 |
| Correlation | - | 55.76% |
| Treynor Ratio | - | 44.2% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 5.98 | 9.94 | 1.66 | + |
| 2026 | 11.18 | 26.47 | 2.37 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2025-12-30 | 2026-01-08 | -2.66 | 10 |