| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 46.0% |
| Cumulative Return | 20.8% | 10.81% |
| CAGR﹪ | 21.17% | 10.99% |
| Sharpe | 1.55 | 8.9 |
| Prob. Sharpe Ratio | 93.6% | 100.0% |
| Smart Sharpe | 1.36 | 7.78 |
| Sortino | 2.29 | 36.19 |
| Smart Sortino | 2.0 | 31.61 |
| Sortino/√2 | 1.62 | 25.59 |
| Smart Sortino/√2 | 1.41 | 22.35 |
| Omega | 1.3 | 11.98 |
| Max Drawdown | -8.88% | -0.09% |
| Max DD Date | 2026-03-30 | 2025-12-12 |
| Max DD Period Start | 2026-01-28 | 2025-12-12 |
| Max DD Period End | 2026-04-13 | 2025-12-12 |
| Longest DD Days | 76 | 5 |
| Volatility (ann.) | 12.91% | 1.17% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.38 | 120.58 |
| Skew | -0.2 | 1.96 |
| Kurtosis | 1.17 | 6.91 |
| Ulcer Performance Index | 9.91 | 502.68 |
| Risk-Adjusted Return | 21.17% | 23.9% |
| Risk-Return Ratio | 0.1 | 0.56 |
| Avg. Return | 0.13% | 0.09% |
| Avg. Win | 0.59% | 0.1% |
| Avg. Loss | -1.03% | -0.09% |
| Win/Loss Ratio | 0.57 | 1.16 |
| Profit Ratio | 0.91 | 0.03 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.46% | 0.79% |
| Expected Yearly | 9.91% | 5.27% |
| Kelly Criterion | -25.39% | 81.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.08% |
| Expected Shortfall (cVaR) | -1.72% | -0.09% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 5 | 1 |
| Gain/Pain Ratio | 0.3 | 10.98 |
| Gain/Pain (1M) | 2.97 | - |
| Payoff Ratio | 0.57 | 1.16 |
| Profit Factor | 1.3 | 11.98 |
| Common Sense Ratio | 1.29 | - |
| CPC Index | 0.4 | 12.51 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 2.91 | 7.38 |
| Outlier Loss Ratio | 3.24 | 1.06 |
| MTD | 3.15% | 0.52% |
| 3M | 4.73% | 3.13% |
| 6M | 11.92% | 4.25% |
| YTD | 13.6% | 4.91% |
| 1Y | 20.8% | 10.81% |
| 3Y (ann.) | 21.17% | 10.99% |
| 5Y (ann.) | 21.17% | 10.99% |
| 10Y (ann.) | 21.17% | 10.99% |
| All-time (ann.) | 21.17% | 10.99% |
| Best Day | 2.91% | 0.44% |
| Worst Day | -2.7% | -0.09% |
| Best Month | 10.51% | 2.08% |
| Worst Month | -4.94% | 0.36% |
| Best Year | 13.6% | 5.62% |
| Worst Year | 6.34% | 4.91% |
| Avg. Drawdown | -1.44% | -0.09% |
| Avg. Drawdown Days | 10 | 2 |
| Recovery Factor | 2.22 | 112.69 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.35 | 393.39 |
| Avg. Up Month | 2.67% | 0.84% |
| Avg. Down Month | - | - |
| Win Days | 54.44% | 90.27% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.1 |
| Correlation | - | 5.45% |
| Treynor Ratio | - | 2185.16% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 5.62 | 0.84 | - |
| 2026 | 13.60 | 4.91 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-12 | 2025-12-12 | -0.09 | 1 |
| 2025-12-22 | 2025-12-22 | -0.09 | 1 |
| 2026-01-09 | 2026-01-09 | -0.09 | 1 |
| 2026-02-20 | 2026-02-20 | -0.09 | 1 |
| 2026-03-03 | 2026-03-06 | -0.09 | 4 |
| 2026-03-20 | 2026-03-20 | -0.09 | 1 |
| 2026-03-27 | 2026-03-31 | -0.09 | 5 |
| 2026-04-10 | 2026-04-10 | -0.09 | 1 |
| 2026-04-17 | 2026-04-20 | -0.09 | 4 |
| 2025-10-27 | 2025-10-27 | -0.08 | 1 |