| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 13.71% | 3.22% |
| CAGR﹪ | 30.11% | 6.7% |
| Sharpe | 1.92 | 0.7 |
| Prob. Sharpe Ratio | 90.94% | 68.57% |
| Smart Sharpe | 1.91 | 0.69 |
| Sortino | 2.97 | 1.0 |
| Smart Sortino | 2.95 | 0.99 |
| Sortino/√2 | 2.1 | 0.71 |
| Smart Sortino/√2 | 2.09 | 0.7 |
| Omega | 1.37 | 1.12 |
| Max Drawdown | -8.58% | -5.14% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-02-26 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 69 |
| Volatility (ann.) | 14.22% | 10.01% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 3.51 | 1.3 |
| Skew | -0.01 | -0.16 |
| Kurtosis | 0.73 | -0.21 |
| Ulcer Performance Index | 5.39 | 1.54 |
| Risk-Adjusted Return | 30.11% | 7.05% |
| Risk-Return Ratio | 0.12 | 0.04 |
| Avg. Return | 0.09% | 0.03% |
| Avg. Win | 0.52% | 0.47% |
| Avg. Loss | -0.61% | -0.49% |
| Win/Loss Ratio | 0.84 | 0.97 |
| Profit Ratio | 0.96 | 0.73 |
| Expected Daily | 0.1% | 0.03% |
| Expected Monthly | 1.85% | 0.45% |
| Expected Yearly | 13.71% | 3.22% |
| Kelly Criterion | 0.41% | 3.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -1.01% |
| Expected Shortfall (cVaR) | -1.67% | -1.23% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.37 | 0.12 |
| Gain/Pain (1M) | 2.29 | 2.2 |
| Payoff Ratio | 0.84 | 0.97 |
| Profit Factor | 1.37 | 1.12 |
| Common Sense Ratio | 1.54 | 1.03 |
| CPC Index | 0.63 | 0.57 |
| Tail Ratio | 1.12 | 0.93 |
| Outlier Win Ratio | 3.24 | 2.76 |
| Outlier Loss Ratio | 2.76 | 2.68 |
| MTD | 3.15% | 0.09% |
| 3M | 4.73% | -0.38% |
| 6M | 13.71% | 3.22% |
| YTD | 13.71% | 3.22% |
| 1Y | 13.71% | 3.22% |
| 3Y (ann.) | 30.11% | 6.7% |
| 5Y (ann.) | 30.11% | 6.7% |
| 10Y (ann.) | 30.11% | 6.7% |
| All-time (ann.) | 30.11% | 6.7% |
| Best Day | 2.91% | 1.52% |
| Worst Day | -2.58% | -1.59% |
| Best Month | 10.51% | 1.35% |
| Worst Month | -4.94% | -1.6% |
| Best Year | 13.71% | 3.22% |
| Worst Year | 13.71% | 3.22% |
| Avg. Drawdown | -1.4% | -1.65% |
| Avg. Drawdown Days | 9 | 16 |
| Recovery Factor | 1.56 | 0.66 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.78 | 0.24 |
| Avg. Up Month | 3.6% | 0.86% |
| Avg. Down Month | -1.03% | -1.6% |
| Win Days | 54.47% | 52.59% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.11 |
| Correlation | - | -20.18% |
| Treynor Ratio | - | -22.64% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 3.22 | 0.23 | - |
| 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 |
| 2026-02-26 | 2026-03-17 | -1.63 | 20 |
| 2026-03-23 | 2026-03-25 | -1.14 | 3 |
| 2026-03-30 | 2026-04-06 | -0.94 | 8 |
| 2026-05-06 | 2026-05-08 | -0.84 | 3 |
| 2026-02-13 | 2026-02-17 | -0.68 | 5 |
| 2026-04-30 | 2026-05-04 | -0.65 | 5 |
| 2026-03-19 | 2026-03-19 | -0.10 | 1 |