| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 21.22% | 22.97% |
| CAGR﹪ | 21.41% | 23.18% |
| Sharpe | 1.57 | 2.96 |
| Prob. Sharpe Ratio | 93.92% | 99.81% |
| Smart Sharpe | 1.48 | 2.78 |
| Sortino | 2.32 | 4.73 |
| Smart Sortino | 2.18 | 4.44 |
| Sortino/√2 | 1.64 | 3.35 |
| Smart Sortino/√2 | 1.54 | 3.14 |
| Omega | 1.3 | 1.61 |
| Max Drawdown | -8.88% | -3.24% |
| Max DD Date | 2026-03-30 | 2025-10-07 |
| Max DD Period Start | 2026-01-28 | 2025-09-29 |
| Max DD Period End | 2026-04-13 | 2025-12-03 |
| Longest DD Days | 76 | 66 |
| Volatility (ann.) | 12.86% | 7.13% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.41 | 7.15 |
| Skew | -0.2 | -0.23 |
| Kurtosis | 1.2 | 0.15 |
| Ulcer Performance Index | 10.15 | 18.78 |
| Risk-Adjusted Return | 21.41% | 24.92% |
| Risk-Return Ratio | 0.1 | 0.19 |
| Avg. Return | 0.08% | 0.09% |
| Avg. Win | 0.73% | 0.47% |
| Avg. Loss | -0.63% | -0.38% |
| Win/Loss Ratio | 1.15 | 1.24 |
| Profit Ratio | 0.88 | 0.67 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.49% | 1.6% |
| Expected Yearly | 10.1% | 10.89% |
| Kelly Criterion | 15.58% | 23.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.66% |
| Expected Shortfall (cVaR) | -1.72% | -0.86% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.3 | 0.61 |
| Gain/Pain (1M) | 3.03 | 8.93 |
| Payoff Ratio | 1.15 | 1.24 |
| Profit Factor | 1.3 | 1.61 |
| Common Sense Ratio | 1.29 | 1.85 |
| CPC Index | 0.82 | 1.15 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.94 | 2.86 |
| Outlier Loss Ratio | 3.24 | 3.12 |
| MTD | 3.15% | 0.92% |
| 3M | 4.73% | 5.56% |
| 6M | 11.92% | 13.49% |
| YTD | 13.6% | 13.96% |
| 1Y | 21.22% | 22.97% |
| 3Y (ann.) | 21.41% | 23.18% |
| 5Y (ann.) | 21.41% | 23.18% |
| 10Y (ann.) | 21.41% | 23.18% |
| All-time (ann.) | 21.41% | 23.18% |
| Best Day | 2.91% | 1.13% |
| Worst Day | -2.7% | -1.29% |
| Best Month | 10.51% | 3.8% |
| Worst Month | -4.94% | -1.96% |
| Best Year | 13.6% | 13.96% |
| Worst Year | 6.71% | 7.91% |
| Avg. Drawdown | -1.44% | -0.74% |
| Avg. Drawdown Days | 10 | 9 |
| Recovery Factor | 2.26 | 6.46 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 2.8 |
| Avg. Up Month | 2.74% | 2.24% |
| Avg. Down Month | -1.03% | -0.43% |
| Win Days | 54.8% | 57.76% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.16 |
| Correlation | - | 41.27% |
| Treynor Ratio | - | 100.34% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 7.91 | 1.18 | + |
| 2026 | 13.60 | 13.96 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-29 | 2025-12-03 | -3.24 | 66 |
| 2026-06-05 | 2026-08-03 | -2.97 | 60 |
| 2026-02-03 | 2026-02-25 | -2.69 | 23 |
| 2026-01-13 | 2026-01-30 | -1.82 | 18 |
| 2026-03-10 | 2026-03-17 | -1.07 | 8 |
| 2025-09-12 | 2025-09-19 | -0.88 | 8 |
| 2026-03-26 | 2026-03-31 | -0.85 | 6 |
| 2025-09-23 | 2025-09-25 | -0.82 | 3 |
| 2025-12-24 | 2026-01-02 | -0.55 | 10 |
| 2026-05-01 | 2026-05-04 | -0.51 | 4 |