| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.22% | 34.58% |
| CAGR﹪ | 21.41% | 34.9% |
| Sharpe | 1.57 | 1.86 |
| Prob. Sharpe Ratio | 93.92% | 96.64% |
| Smart Sharpe | 1.48 | 1.75 |
| Sortino | 2.32 | 2.81 |
| Smart Sortino | 2.19 | 2.65 |
| Sortino/√2 | 1.64 | 1.99 |
| Smart Sortino/√2 | 1.55 | 1.87 |
| Omega | 1.3 | 1.37 |
| Max Drawdown | -8.88% | -13.19% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-05-12 |
| Longest DD Days | 76 | 72 |
| Volatility (ann.) | 12.86% | 16.91% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.41 | 2.65 |
| Skew | -0.2 | -0.12 |
| Kurtosis | 1.2 | 1.43 |
| Ulcer Performance Index | 10.15 | 9.46 |
| Risk-Adjusted Return | 21.41% | 34.9% |
| Risk-Return Ratio | 0.1 | 0.12 |
| Avg. Return | 0.08% | 0.13% |
| Avg. Win | 0.7% | 0.93% |
| Avg. Loss | -0.74% | -0.96% |
| Win/Loss Ratio | 0.95 | 0.97 |
| Profit Ratio | 0.88 | 0.72 |
| Expected Daily | 0.08% | 0.12% |
| Expected Monthly | 1.49% | 2.31% |
| Expected Yearly | 10.1% | 16.01% |
| Kelly Criterion | 7.05% | 14.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.63% |
| Expected Shortfall (cVaR) | -1.72% | -2.26% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.3 | 0.37 |
| Gain/Pain (1M) | 3.03 | 2.14 |
| Payoff Ratio | 0.95 | 0.97 |
| Profit Factor | 1.3 | 1.37 |
| Common Sense Ratio | 1.29 | 1.39 |
| CPC Index | 0.67 | 0.77 |
| Tail Ratio | 0.99 | 1.02 |
| Outlier Win Ratio | 2.94 | 3.57 |
| Outlier Loss Ratio | 3.24 | 3.64 |
| MTD | 3.15% | 4.75% |
| 3M | 4.73% | 1.44% |
| 6M | 11.92% | 3.47% |
| YTD | 13.6% | 18.33% |
| 1Y | 21.22% | 34.58% |
| 3Y (ann.) | 21.41% | 34.9% |
| 5Y (ann.) | 21.41% | 34.9% |
| 10Y (ann.) | 21.41% | 34.9% |
| All-time (ann.) | 21.41% | 34.9% |
| Best Day | 2.91% | 3.82% |
| Worst Day | -2.7% | -3.43% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -9.19% |
| Best Year | 13.6% | 18.33% |
| Worst Year | 6.71% | 13.74% |
| Avg. Drawdown | -1.44% | -1.78% |
| Avg. Drawdown Days | 10 | 11 |
| Recovery Factor | 2.26 | 2.36 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.37 | 0.93 |
| Avg. Up Month | 2.7% | 3.71% |
| Avg. Down Month | -2.98% | -7.23% |
| Win Days | 54.8% | 57.66% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.95 |
| Alpha | - | 0.12 |
| Correlation | - | 72.36% |
| Treynor Ratio | - | 36.34% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 13.74 | 2.05 | + |
| 2026 | 13.60 | 18.33 | 1.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-05-12 | -13.19 | 72 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2025-11-13 | 2025-11-25 | -3.75 | 13 |
| 2025-10-28 | 2025-11-11 | -3.29 | 15 |
| 2025-10-07 | 2025-10-23 | -3.20 | 17 |
| 2026-05-15 | 2026-05-22 | -3.01 | 8 |
| 2026-01-30 | 2026-02-06 | -2.85 | 8 |
| 2025-08-25 | 2025-09-04 | -1.14 | 11 |
| 2025-09-17 | 2025-09-26 | -1.12 | 10 |
| 2025-12-12 | 2025-12-18 | -0.97 | 7 |