| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 45.0% |
| Cumulative Return | 13.63% | 4.25% |
| CAGR﹪ | 30.2% | 8.97% |
| Sharpe | 1.92 | 8.93 |
| Prob. Sharpe Ratio | 90.83% | 100.0% |
| Smart Sharpe | 1.43 | 6.65 |
| Sortino | 2.97 | 27.18 |
| Smart Sortino | 2.21 | 20.24 |
| Sortino/√2 | 2.1 | 19.22 |
| Smart Sortino/√2 | 1.56 | 14.31 |
| Omega | 1.37 | 8.72 |
| Max Drawdown | -8.58% | -0.09% |
| Max DD Date | 2026-03-30 | 2026-02-20 |
| Max DD Period Start | 2026-02-26 | 2026-02-20 |
| Max DD Period End | 2026-04-13 | 2026-02-20 |
| Longest DD Days | 59 | 11 |
| Volatility (ann.) | 14.28% | 0.96% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 3.52 | 99.46 |
| Skew | -0.01 | 1.13 |
| Kurtosis | 0.7 | 4.91 |
| Ulcer Performance Index | 5.34 | 164.37 |
| Risk-Adjusted Return | 30.2% | 19.93% |
| Risk-Return Ratio | 0.12 | 0.56 |
| Avg. Return | 0.08% | 0.08% |
| Avg. Win | 0.61% | 0.1% |
| Avg. Loss | -1.02% | -0.09% |
| Win/Loss Ratio | 0.6 | 1.13 |
| Profit Ratio | 0.99 | 0.02 |
| Expected Daily | 0.1% | 0.03% |
| Expected Monthly | 1.84% | 0.6% |
| Expected Yearly | 13.63% | 4.25% |
| Kelly Criterion | -22.5% | 79.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.07% |
| Expected Shortfall (cVaR) | -1.67% | -0.09% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.37 | 7.72 |
| Gain/Pain (1M) | 2.28 | - |
| Payoff Ratio | 0.6 | 1.13 |
| Profit Factor | 1.37 | 8.72 |
| Common Sense Ratio | 1.54 | - |
| CPC Index | 0.44 | 8.79 |
| Tail Ratio | 1.13 | - |
| Outlier Win Ratio | 3.21 | 4.36 |
| Outlier Loss Ratio | 2.76 | 1.0 |
| MTD | 3.15% | 0.52% |
| 3M | 4.73% | 3.13% |
| 6M | 13.63% | 4.25% |
| YTD | 13.63% | 4.25% |
| 1Y | 13.63% | 4.25% |
| 3Y (ann.) | 30.2% | 8.97% |
| 5Y (ann.) | 30.2% | 8.97% |
| 10Y (ann.) | 30.2% | 8.97% |
| All-time (ann.) | 30.2% | 8.97% |
| Best Day | 2.91% | 0.35% |
| Worst Day | -2.58% | -0.09% |
| Best Month | 10.51% | 1.07% |
| Worst Month | -4.94% | 0.27% |
| Best Year | 13.63% | 4.25% |
| Worst Year | 13.63% | 4.25% |
| Avg. Drawdown | -1.4% | -0.09% |
| Avg. Drawdown Days | 9 | 4 |
| Recovery Factor | 1.55 | 46.15 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.76 | 108.75 |
| Avg. Up Month | 3.91% | 0.55% |
| Avg. Down Month | - | - |
| Win Days | 54.1% | 88.89% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.08 |
| Correlation | - | 7.78% |
| Treynor Ratio | - | 809.63% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 4.25 | 0.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 | 2026-04-27 | -0.09 | 11 |