| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 13.63% | 1.75% |
| CAGR﹪ | 30.2% | 3.65% |
| Sharpe | 1.92 | 0.56 |
| Prob. Sharpe Ratio | 90.83% | 64.98% |
| Smart Sharpe | 1.9 | 0.55 |
| Sortino | 2.97 | 0.78 |
| Smart Sortino | 2.94 | 0.77 |
| Sortino/√2 | 2.1 | 0.55 |
| Smart Sortino/√2 | 2.08 | 0.55 |
| Omega | 1.37 | 1.09 |
| Max Drawdown | -8.58% | -4.66% |
| Max DD Date | 2026-03-30 | 2026-08-05 |
| Max DD Period Start | 2026-02-26 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 90 |
| Volatility (ann.) | 14.28% | 6.84% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 3.52 | 0.78 |
| Skew | -0.01 | -0.33 |
| Kurtosis | 0.7 | -0.0 |
| Ulcer Performance Index | 5.34 | 0.88 |
| Risk-Adjusted Return | 30.2% | 4.01% |
| Risk-Return Ratio | 0.12 | 0.04 |
| Avg. Return | 0.14% | 0.02% |
| Avg. Win | 0.63% | 0.39% |
| Avg. Loss | -0.69% | -0.38% |
| Win/Loss Ratio | 0.91 | 1.04 |
| Profit Ratio | 0.99 | 0.6 |
| Expected Daily | 0.1% | 0.01% |
| Expected Monthly | 1.84% | 0.25% |
| Expected Yearly | 13.63% | 1.75% |
| Kelly Criterion | 3.81% | 7.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.69% |
| Expected Shortfall (cVaR) | -1.67% | -0.93% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.37 | 0.09 |
| Gain/Pain (1M) | 2.28 | 0.59 |
| Payoff Ratio | 0.91 | 1.04 |
| Profit Factor | 1.37 | 1.09 |
| Common Sense Ratio | 1.54 | 0.98 |
| CPC Index | 0.68 | 0.6 |
| Tail Ratio | 1.13 | 0.89 |
| Outlier Win Ratio | 3.21 | 2.72 |
| Outlier Loss Ratio | 2.76 | 2.61 |
| MTD | 3.15% | 0.35% |
| 3M | 4.73% | -1.61% |
| 6M | 13.63% | 1.75% |
| YTD | 13.63% | 1.75% |
| 1Y | 13.63% | 1.75% |
| 3Y (ann.) | 30.2% | 3.65% |
| 5Y (ann.) | 30.2% | 3.65% |
| 10Y (ann.) | 30.2% | 3.65% |
| All-time (ann.) | 30.2% | 3.65% |
| Best Day | 2.91% | 0.88% |
| Worst Day | -2.58% | -1.28% |
| Best Month | 10.51% | 2.45% |
| Worst Month | -4.94% | -1.37% |
| Best Year | 13.63% | 1.75% |
| Worst Year | 13.63% | 1.75% |
| Avg. Drawdown | -1.4% | -1.58% |
| Avg. Drawdown Days | 9 | 30 |
| Recovery Factor | 1.55 | 0.4 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.76 | 0.09 |
| Avg. Up Month | 4.88% | 1.24% |
| Avg. Down Month | -2.98% | -1.15% |
| Win Days | 54.1% | 52.73% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.04 |
| Correlation | - | 1.83% |
| Treynor Ratio | - | 199.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 1.75 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-11 | -4.66 | 90 |
| 2026-03-02 | 2026-04-21 | -2.31 | 51 |
| 2026-05-06 | 2026-05-08 | -0.68 | 3 |
| 2026-04-30 | 2026-05-04 | -0.17 | 5 |
| 2026-02-17 | 2026-02-17 | -0.09 | 1 |