| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 21.22% | 12.57% |
| CAGR﹪ | 21.41% | 12.68% |
| Sharpe | 1.57 | 1.54 |
| Prob. Sharpe Ratio | 93.92% | 93.34% |
| Smart Sharpe | 1.49 | 1.46 |
| Sortino | 2.32 | 2.23 |
| Smart Sortino | 2.2 | 2.11 |
| Sortino/√2 | 1.64 | 1.58 |
| Smart Sortino/√2 | 1.55 | 1.49 |
| Omega | 1.3 | 1.29 |
| Max Drawdown | -8.88% | -4.66% |
| Max DD Date | 2026-03-30 | 2026-08-05 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 90 |
| Volatility (ann.) | 12.86% | 7.94% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.41 | 2.72 |
| Skew | -0.2 | -0.45 |
| Kurtosis | 1.2 | 0.73 |
| Ulcer Performance Index | 10.15 | 7.88 |
| Risk-Adjusted Return | 21.41% | 13.78% |
| Risk-Return Ratio | 0.1 | 0.1 |
| Avg. Return | 0.11% | 0.05% |
| Avg. Win | 0.62% | 0.46% |
| Avg. Loss | -0.66% | -0.48% |
| Win/Loss Ratio | 0.94 | 0.96 |
| Profit Ratio | 0.88 | 0.57 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.49% | 0.92% |
| Expected Yearly | 10.1% | 6.1% |
| Kelly Criterion | 6.66% | 10.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.77% |
| Expected Shortfall (cVaR) | -1.72% | -1.1% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.3 | 0.29 |
| Gain/Pain (1M) | 3.03 | 3.9 |
| Payoff Ratio | 0.94 | 0.96 |
| Profit Factor | 1.3 | 1.29 |
| Common Sense Ratio | 1.29 | 1.28 |
| CPC Index | 0.67 | 0.7 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.94 | 2.94 |
| Outlier Loss Ratio | 3.24 | 3.09 |
| MTD | 3.15% | 0.35% |
| 3M | 4.73% | -1.61% |
| 6M | 11.92% | 0.87% |
| YTD | 13.6% | 5.25% |
| 1Y | 21.22% | 12.57% |
| 3Y (ann.) | 21.41% | 12.68% |
| 5Y (ann.) | 21.41% | 12.68% |
| 10Y (ann.) | 21.41% | 12.68% |
| All-time (ann.) | 21.41% | 12.68% |
| Best Day | 2.91% | 1.28% |
| Worst Day | -2.7% | -1.81% |
| Best Month | 10.51% | 3.23% |
| Worst Month | -4.94% | -1.37% |
| Best Year | 13.6% | 6.95% |
| Worst Year | 6.71% | 5.25% |
| Avg. Drawdown | -1.44% | -1.27% |
| Avg. Drawdown Days | 10 | 17 |
| Recovery Factor | 2.26 | 2.61 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 1.09 |
| Avg. Up Month | 3.0% | 1.38% |
| Avg. Down Month | -2.98% | -1.15% |
| Win Days | 54.8% | 56.33% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.09 |
| Correlation | - | 28.64% |
| Treynor Ratio | - | 71.07% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 6.95 | 1.04 | + |
| 2026 | 13.60 | 5.25 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-11 | -4.66 | 90 |
| 2025-10-17 | 2025-12-19 | -2.85 | 64 |
| 2026-01-30 | 2026-02-24 | -2.59 | 26 |
| 2026-03-02 | 2026-04-21 | -2.31 | 51 |
| 2025-10-09 | 2025-10-15 | -1.71 | 7 |
| 2026-01-07 | 2026-01-09 | -1.42 | 3 |
| 2026-01-16 | 2026-01-22 | -1.32 | 7 |
| 2025-12-29 | 2025-12-31 | -1.08 | 3 |
| 2026-05-06 | 2026-05-08 | -0.68 | 3 |
| 2025-09-16 | 2025-09-19 | -0.65 | 4 |