| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 19.3% | 23.97% |
| CAGR﹪ | 19.9% | 24.74% |
| Sharpe | 1.48 | 2.12 |
| Prob. Sharpe Ratio | 92.57% | 97.91% |
| Smart Sharpe | 1.4 | 2.0 |
| Sortino | 2.18 | 3.18 |
| Smart Sortino | 2.06 | 3.0 |
| Sortino/√2 | 1.54 | 2.25 |
| Smart Sortino/√2 | 1.45 | 2.12 |
| Omega | 1.28 | 1.42 |
| Max Drawdown | -8.88% | -4.44% |
| Max DD Date | 2026-03-30 | 2026-08-05 |
| Max DD Period Start | 2026-01-28 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 69 |
| Volatility (ann.) | 12.81% | 10.71% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.24 | 5.57 |
| Skew | -0.2 | -0.37 |
| Kurtosis | 1.29 | 1.0 |
| Ulcer Performance Index | 9.24 | 15.09 |
| Risk-Adjusted Return | 19.9% | 26.31% |
| Risk-Return Ratio | 0.09 | 0.13 |
| Avg. Return | 0.08% | 0.1% |
| Avg. Win | 0.62% | 0.62% |
| Avg. Loss | -0.69% | -0.62% |
| Win/Loss Ratio | 0.89 | 1.0 |
| Profit Ratio | 0.88 | 0.63 |
| Expected Daily | 0.07% | 0.09% |
| Expected Monthly | 1.37% | 1.67% |
| Expected Yearly | 9.22% | 11.34% |
| Kelly Criterion | 3.73% | 14.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.02% |
| Expected Shortfall (cVaR) | -1.72% | -1.61% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.28 | 0.42 |
| Gain/Pain (1M) | 2.74 | 4.45 |
| Payoff Ratio | 0.89 | 1.0 |
| Profit Factor | 1.28 | 1.42 |
| Common Sense Ratio | 1.22 | 1.7 |
| CPC Index | 0.62 | 0.81 |
| Tail Ratio | 0.95 | 1.2 |
| Outlier Win Ratio | 2.98 | 3.14 |
| Outlier Loss Ratio | 3.27 | 3.62 |
| MTD | 1.7% | 1.63% |
| 3M | 3.07% | -0.36% |
| 6M | 10.14% | 1.59% |
| YTD | 11.79% | 9.86% |
| 1Y | 19.3% | 23.97% |
| 3Y (ann.) | 19.9% | 24.74% |
| 5Y (ann.) | 19.9% | 24.74% |
| 10Y (ann.) | 19.9% | 24.74% |
| All-time (ann.) | 19.9% | 24.74% |
| Best Day | 2.91% | 1.93% |
| Worst Day | -2.7% | -2.22% |
| Best Month | 10.51% | 5.71% |
| Worst Month | -4.94% | -2.43% |
| Best Year | 11.79% | 12.85% |
| Worst Year | 6.71% | 9.86% |
| Avg. Drawdown | -1.44% | -1.45% |
| Avg. Drawdown Days | 10 | 13 |
| Recovery Factor | 2.08 | 4.96 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.26 | 2.71 |
| Avg. Up Month | 2.84% | 2.51% |
| Avg. Down Month | -2.04% | -1.67% |
| Win Days | 54.69% | 57.39% |
| Win Month | 69.23% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.17 |
| Correlation | - | 35.87% |
| Treynor Ratio | - | 79.92% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 12.85 | 1.91 | + |
| 2026 | 11.79 | 9.86 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-08-11 | -4.44 | 69 |
| 2025-11-13 | 2025-12-18 | -3.54 | 36 |
| 2026-03-02 | 2026-05-08 | -3.35 | 68 |
| 2025-10-09 | 2025-10-15 | -2.72 | 7 |
| 2026-01-30 | 2026-02-06 | -2.45 | 8 |
| 2025-10-28 | 2025-11-07 | -2.30 | 11 |
| 2026-01-07 | 2026-01-09 | -1.53 | 3 |
| 2025-12-29 | 2025-12-31 | -1.47 | 3 |
| 2026-05-14 | 2026-06-01 | -1.31 | 19 |
| 2026-01-16 | 2026-01-21 | -1.30 | 6 |