| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.29% | 23.1% |
| CAGR﹪ | 18.61% | 23.51% |
| Sharpe | 1.4 | 2.28 |
| Prob. Sharpe Ratio | 91.49% | 98.65% |
| Smart Sharpe | 1.32 | 2.16 |
| Sortino | 2.04 | 3.44 |
| Smart Sortino | 1.94 | 3.26 |
| Sortino/√2 | 1.45 | 2.43 |
| Smart Sortino/√2 | 1.37 | 2.3 |
| Omega | 1.26 | 1.43 |
| Max Drawdown | -9.78% | -5.14% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2025-10-30 | 2026-06-04 |
| Max DD Period End | 2026-04-15 | 2026-08-11 |
| Longest DD Days | 168 | 69 |
| Volatility (ann.) | 12.8% | 9.46% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.9 | 4.57 |
| Skew | -0.2 | -0.33 |
| Kurtosis | 1.26 | 0.2 |
| Ulcer Performance Index | 7.09 | 15.01 |
| Risk-Adjusted Return | 18.61% | 24.49% |
| Risk-Return Ratio | 0.09 | 0.14 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.54% | 0.49% |
| Avg. Loss | -0.63% | -0.49% |
| Win/Loss Ratio | 0.86 | 1.0 |
| Profit Ratio | 0.89 | 0.61 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.3% | 1.61% |
| Expected Yearly | 8.76% | 10.95% |
| Kelly Criterion | 1.36% | 17.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.89% |
| Expected Shortfall (cVaR) | -1.72% | -1.24% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.26 | 0.43 |
| Gain/Pain (1M) | 2.0 | 13.67 |
| Payoff Ratio | 0.86 | 1.0 |
| Profit Factor | 1.26 | 1.43 |
| Common Sense Ratio | 1.18 | 1.48 |
| CPC Index | 0.59 | 0.84 |
| Tail Ratio | 0.94 | 1.03 |
| Outlier Win Ratio | 2.98 | 2.93 |
| Outlier Loss Ratio | 3.24 | 3.03 |
| MTD | 3.15% | 0.09% |
| 3M | 4.73% | -0.38% |
| 6M | 11.92% | 3.42% |
| YTD | 13.6% | 10.66% |
| 1Y | 18.29% | 23.1% |
| 3Y (ann.) | 18.61% | 23.51% |
| 5Y (ann.) | 18.61% | 23.51% |
| 10Y (ann.) | 18.61% | 23.51% |
| All-time (ann.) | 18.61% | 23.51% |
| Best Day | 2.91% | 1.55% |
| Worst Day | -2.7% | -1.68% |
| Best Month | 10.51% | 5.56% |
| Worst Month | -4.94% | -1.6% |
| Best Year | 13.6% | 11.24% |
| Worst Year | 4.13% | 10.66% |
| Avg. Drawdown | -1.27% | -1.12% |
| Avg. Drawdown Days | 13 | 9 |
| Recovery Factor | 1.8 | 4.13 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.82 | 2.2 |
| Avg. Up Month | 2.69% | 2.11% |
| Avg. Down Month | -1.03% | -1.6% |
| Win Days | 54.44% | 58.65% |
| Win Month | 69.23% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.21 |
| Correlation | - | 7.94% |
| Treynor Ratio | - | 393.85% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 4.13 | 11.24 | 2.72 | + |
| 2026 | 13.60 | 10.66 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-08-11 | -5.14 | 69 |
| 2026-04-08 | 2026-04-28 | -3.02 | 21 |
| 2026-05-14 | 2026-06-02 | -2.39 | 20 |
| 2026-01-30 | 2026-02-05 | -1.77 | 7 |
| 2025-10-10 | 2025-10-24 | -1.68 | 15 |
| 2026-02-26 | 2026-03-17 | -1.63 | 20 |
| 2025-11-13 | 2025-12-18 | -1.43 | 36 |
| 2026-02-12 | 2026-02-19 | -1.36 | 8 |
| 2026-03-23 | 2026-03-25 | -1.14 | 3 |
| 2026-01-07 | 2026-01-12 | -1.02 | 6 |