| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 13.71% | 14.82% |
| CAGR﹪ | 30.11% | 32.74% |
| Sharpe | 1.92 | 3.97 |
| Prob. Sharpe Ratio | 90.94% | 99.65% |
| Smart Sharpe | 1.73 | 3.58 |
| Sortino | 2.97 | 6.62 |
| Smart Sortino | 2.69 | 5.98 |
| Sortino/√2 | 2.1 | 4.68 |
| Smart Sortino/√2 | 1.9 | 4.23 |
| Omega | 1.37 | 1.88 |
| Max Drawdown | -8.58% | -2.97% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-02-26 | 2026-06-18 |
| Max DD Period End | 2026-04-13 | 2026-08-03 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 14.22% | 7.21% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 3.51 | 11.03 |
| Skew | -0.01 | -0.26 |
| Kurtosis | 0.73 | 0.03 |
| Ulcer Performance Index | 5.39 | 15.14 |
| Risk-Adjusted Return | 30.11% | 35.2% |
| Risk-Return Ratio | 0.12 | 0.25 |
| Avg. Return | 0.11% | 0.12% |
| Avg. Win | 0.81% | 0.47% |
| Avg. Loss | -0.67% | -0.41% |
| Win/Loss Ratio | 1.21 | 1.15 |
| Profit Ratio | 0.96 | 0.54 |
| Expected Daily | 0.1% | 0.11% |
| Expected Monthly | 1.85% | 1.99% |
| Expected Yearly | 13.71% | 14.82% |
| Kelly Criterion | 16.93% | 29.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.63% |
| Expected Shortfall (cVaR) | -1.67% | -0.85% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | 0.88 |
| Gain/Pain (1M) | 2.29 | 35.65 |
| Payoff Ratio | 1.21 | 1.15 |
| Profit Factor | 1.37 | 1.88 |
| Common Sense Ratio | 1.54 | 2.12 |
| CPC Index | 0.91 | 1.35 |
| Tail Ratio | 1.12 | 1.12 |
| Outlier Win Ratio | 3.24 | 2.83 |
| Outlier Loss Ratio | 2.76 | 2.63 |
| MTD | 3.15% | 0.92% |
| 3M | 4.73% | 5.56% |
| 6M | 13.71% | 14.82% |
| YTD | 13.71% | 14.82% |
| 1Y | 13.71% | 14.82% |
| 3Y (ann.) | 30.11% | 32.74% |
| 5Y (ann.) | 30.11% | 32.74% |
| 10Y (ann.) | 30.11% | 32.74% |
| All-time (ann.) | 30.11% | 32.74% |
| Best Day | 2.91% | 1.13% |
| Worst Day | -2.58% | -1.21% |
| Best Month | 10.51% | 3.46% |
| Worst Month | -4.94% | -0.43% |
| Best Year | 13.71% | 14.82% |
| Worst Year | 13.71% | 14.82% |
| Avg. Drawdown | -1.4% | -0.66% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 1.56 | 4.7 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.78 | 2.74 |
| Avg. Up Month | 3.93% | 2.57% |
| Avg. Down Month | -1.03% | -0.43% |
| Win Days | 54.47% | 62.28% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.24 |
| Alpha | - | 0.22 |
| Correlation | - | 47.37% |
| Treynor Ratio | - | 61.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 14.82 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-18 | 2026-08-03 | -2.97 | 47 |
| 2026-06-05 | 2026-06-16 | -2.36 | 12 |
| 2026-03-10 | 2026-03-17 | -1.07 | 8 |
| 2026-03-26 | 2026-03-31 | -0.85 | 6 |
| 2026-05-01 | 2026-05-04 | -0.51 | 4 |
| 2026-05-27 | 2026-05-27 | -0.44 | 1 |
| 2026-03-03 | 2026-03-06 | -0.40 | 4 |
| 2026-04-02 | 2026-04-07 | -0.39 | 6 |
| 2026-04-09 | 2026-04-15 | -0.39 | 7 |
| 2026-04-17 | 2026-04-21 | -0.39 | 5 |