| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 11.9% | 2.39% |
| CAGR﹪ | 27.14% | 5.17% |
| Sharpe | 1.76 | 0.6 |
| Prob. Sharpe Ratio | 88.55% | 65.72% |
| Smart Sharpe | 1.65 | 0.57 |
| Sortino | 2.72 | 0.81 |
| Smart Sortino | 2.55 | 0.76 |
| Sortino/√2 | 1.92 | 0.57 |
| Smart Sortino/√2 | 1.8 | 0.53 |
| Omega | 1.34 | 1.11 |
| Max Drawdown | -8.58% | -4.44% |
| Max DD Date | 2026-03-30 | 2026-08-05 |
| Max DD Period Start | 2026-02-26 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 58 | 69 |
| Volatility (ann.) | 14.19% | 9.01% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 3.16 | 1.16 |
| Skew | 0.02 | -0.9 |
| Kurtosis | 0.84 | 2.09 |
| Ulcer Performance Index | 4.65 | 1.22 |
| Risk-Adjusted Return | 27.14% | 5.56% |
| Risk-Return Ratio | 0.11 | 0.04 |
| Avg. Return | 0.09% | 0.02% |
| Avg. Win | 0.65% | 0.47% |
| Avg. Loss | -0.76% | -0.53% |
| Win/Loss Ratio | 0.86 | 0.88 |
| Profit Ratio | 0.95 | 0.6 |
| Expected Daily | 0.1% | 0.02% |
| Expected Monthly | 1.62% | 0.34% |
| Expected Yearly | 11.9% | 2.39% |
| Kelly Criterion | 0.99% | 1.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.91% |
| Expected Shortfall (cVaR) | -1.67% | -1.7% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.34 | 0.11 |
| Gain/Pain (1M) | 1.97 | 0.51 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 1.34 | 1.11 |
| Common Sense Ratio | 1.51 | 1.11 |
| CPC Index | 0.62 | 0.52 |
| Tail Ratio | 1.13 | 1.0 |
| Outlier Win Ratio | 3.35 | 2.69 |
| Outlier Loss Ratio | 2.77 | 3.82 |
| MTD | 1.7% | 1.63% |
| 3M | 3.07% | -0.36% |
| 6M | 11.9% | 2.39% |
| YTD | 11.9% | 2.39% |
| 1Y | 11.9% | 2.39% |
| 3Y (ann.) | 27.14% | 5.17% |
| 5Y (ann.) | 27.14% | 5.17% |
| 10Y (ann.) | 27.14% | 5.17% |
| All-time (ann.) | 27.14% | 5.17% |
| Best Day | 2.91% | 1.07% |
| Worst Day | -2.58% | -2.22% |
| Best Month | 10.51% | 2.96% |
| Worst Month | -4.94% | -2.43% |
| Best Year | 11.9% | 2.39% |
| Worst Year | 11.9% | 2.39% |
| Avg. Drawdown | -1.4% | -1.6% |
| Avg. Drawdown Days | 9 | 27 |
| Recovery Factor | 1.37 | 0.57 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.66 | 0.19 |
| Avg. Up Month | 4.54% | 1.88% |
| Avg. Down Month | -2.04% | -1.67% |
| Win Days | 54.24% | 54.13% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 13.08% |
| Treynor Ratio | - | 28.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 11.90 | 2.39 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-08-11 | -4.44 | 69 |
| 2026-03-02 | 2026-05-08 | -3.35 | 68 |
| 2026-05-14 | 2026-06-01 | -1.31 | 19 |
| 2026-02-13 | 2026-02-17 | -0.20 | 5 |
| 2026-02-26 | 2026-02-26 | -0.19 | 1 |
| 2026-02-23 | 2026-02-23 | -0.10 | 1 |