| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 68.0% |
| Cumulative Return | 21.22% | 5.88% |
| CAGR﹪ | 21.41% | 5.93% |
| Sharpe | 1.57 | 3.81 |
| Prob. Sharpe Ratio | 93.92% | 99.99% |
| Smart Sharpe | 1.41 | 3.43 |
| Sortino | 2.32 | 6.56 |
| Smart Sortino | 2.09 | 5.9 |
| Sortino/√2 | 1.64 | 4.64 |
| Smart Sortino/√2 | 1.48 | 4.17 |
| Omega | 1.3 | 1.92 |
| Max Drawdown | -8.88% | -0.6% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-07-16 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 56 |
| Volatility (ann.) | 12.86% | 1.51% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.41 | 9.85 |
| Skew | -0.2 | -0.0 |
| Kurtosis | 1.2 | 0.71 |
| Ulcer Performance Index | 10.15 | 34.87 |
| Risk-Adjusted Return | 21.41% | 8.72% |
| Risk-Return Ratio | 0.1 | 0.24 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.74% | 0.11% |
| Avg. Loss | -0.81% | -0.11% |
| Win/Loss Ratio | 0.91 | 0.96 |
| Profit Ratio | 0.88 | 0.2 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.49% | 0.44% |
| Expected Yearly | 10.1% | 2.9% |
| Kelly Criterion | 5.18% | 26.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.13% |
| Expected Shortfall (cVaR) | -1.72% | -0.17% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.3 | 0.92 |
| Gain/Pain (1M) | 3.03 | 75.42 |
| Payoff Ratio | 0.91 | 0.96 |
| Profit Factor | 1.3 | 1.92 |
| Common Sense Ratio | 1.29 | 1.98 |
| CPC Index | 0.65 | 1.18 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.94 | 3.68 |
| Outlier Loss Ratio | 3.24 | 1.88 |
| MTD | 3.15% | 0.0% |
| 3M | 4.73% | 0.76% |
| 6M | 11.92% | 2.4% |
| YTD | 13.6% | 3.35% |
| 1Y | 21.22% | 5.88% |
| 3Y (ann.) | 21.41% | 5.93% |
| 5Y (ann.) | 21.41% | 5.93% |
| 10Y (ann.) | 21.41% | 5.93% |
| All-time (ann.) | 21.41% | 5.93% |
| Best Day | 2.91% | 0.38% |
| Worst Day | -2.7% | -0.31% |
| Best Month | 10.51% | 1.31% |
| Worst Month | -4.94% | -0.08% |
| Best Year | 13.6% | 3.35% |
| Worst Year | 6.71% | 2.44% |
| Avg. Drawdown | -1.44% | -0.16% |
| Avg. Drawdown Days | 10 | 7 |
| Recovery Factor | 2.26 | 9.51 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.37 | 7.67 |
| Avg. Up Month | 2.65% | 0.61% |
| Avg. Down Month | -0.86% | -0.08% |
| Win Days | 54.8% | 63.91% |
| Win Month | 76.92% | 91.67% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.05 |
| Correlation | - | 21.03% |
| Treynor Ratio | - | 237.48% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 2.44 | 0.36 | - |
| 2026 | 13.60 | 3.35 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-16 | 2026-08-11 | -0.60 | 27 |
| 2026-02-04 | 2026-03-31 | -0.46 | 56 |
| 2025-11-13 | 2025-12-16 | -0.31 | 34 |
| 2026-01-28 | 2026-02-02 | -0.23 | 6 |
| 2026-06-26 | 2026-06-30 | -0.23 | 5 |
| 2025-12-23 | 2025-12-29 | -0.16 | 7 |
| 2025-09-04 | 2025-09-11 | -0.16 | 8 |
| 2025-09-30 | 2025-10-02 | -0.16 | 3 |
| 2026-04-27 | 2026-04-30 | -0.15 | 4 |
| 2026-05-04 | 2026-05-04 | -0.15 | 1 |