| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 75.0% |
| Cumulative Return | 21.22% | 5.54% |
| CAGR﹪ | 21.41% | 5.59% |
| Sharpe | 1.57 | 1.84 |
| Prob. Sharpe Ratio | 93.92% | 96.69% |
| Smart Sharpe | 1.48 | 1.73 |
| Sortino | 2.32 | 2.85 |
| Smart Sortino | 2.19 | 2.69 |
| Sortino/√2 | 1.64 | 2.02 |
| Smart Sortino/√2 | 1.55 | 1.9 |
| Omega | 1.3 | 1.37 |
| Max Drawdown | -8.88% | -1.53% |
| Max DD Date | 2026-03-30 | 2026-02-05 |
| Max DD Period Start | 2026-01-28 | 2026-01-23 |
| Max DD Period End | 2026-04-13 | 2026-02-17 |
| Longest DD Days | 76 | 36 |
| Volatility (ann.) | 12.86% | 2.99% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.41 | 3.66 |
| Skew | -0.2 | 0.1 |
| Kurtosis | 1.2 | 0.71 |
| Ulcer Performance Index | 10.15 | 13.76 |
| Risk-Adjusted Return | 21.41% | 7.45% |
| Risk-Return Ratio | 0.1 | 0.12 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.68% | 0.19% |
| Avg. Loss | -0.74% | -0.2% |
| Win/Loss Ratio | 0.92 | 0.93 |
| Profit Ratio | 0.88 | 0.28 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.49% | 0.42% |
| Expected Yearly | 10.1% | 2.74% |
| Kelly Criterion | 5.75% | 13.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.29% |
| Expected Shortfall (cVaR) | -1.72% | -0.37% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.3 | 0.37 |
| Gain/Pain (1M) | 3.03 | 5.75 |
| Payoff Ratio | 0.92 | 0.93 |
| Profit Factor | 1.3 | 1.37 |
| Common Sense Ratio | 1.29 | 1.38 |
| CPC Index | 0.66 | 0.74 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.94 | 4.43 |
| Outlier Loss Ratio | 3.24 | 2.03 |
| MTD | 3.15% | 0.38% |
| 3M | 4.73% | 1.42% |
| 6M | 11.92% | 3.08% |
| YTD | 13.6% | 3.37% |
| 1Y | 21.22% | 5.54% |
| 3Y (ann.) | 21.41% | 5.59% |
| 5Y (ann.) | 21.41% | 5.59% |
| 10Y (ann.) | 21.41% | 5.59% |
| All-time (ann.) | 21.41% | 5.59% |
| Best Day | 2.91% | 0.68% |
| Worst Day | -2.7% | -0.48% |
| Best Month | 10.51% | 1.35% |
| Worst Month | -4.94% | -0.57% |
| Best Year | 13.6% | 3.37% |
| Worst Year | 6.71% | 2.1% |
| Avg. Drawdown | -1.44% | -0.41% |
| Avg. Drawdown Days | 10 | 9 |
| Recovery Factor | 2.26 | 3.56 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.37 | 2.4 |
| Avg. Up Month | 2.75% | 0.53% |
| Avg. Down Month | -4.94% | -0.57% |
| Win Days | 54.8% | 58.29% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.03 |
| Correlation | - | 45.13% |
| Treynor Ratio | - | 52.87% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 2.10 | 0.31 | - |
| 2026 | 13.60 | 3.37 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-02-17 | -1.53 | 26 |
| 2026-03-03 | 2026-04-07 | -1.24 | 36 |
| 2025-10-28 | 2025-11-26 | -0.86 | 30 |
| 2025-09-03 | 2025-10-02 | -0.77 | 30 |
| 2026-05-13 | 2026-06-12 | -0.75 | 31 |
| 2025-10-09 | 2025-10-20 | -0.48 | 12 |
| 2026-07-29 | 2026-08-06 | -0.47 | 9 |
| 2026-07-07 | 2026-07-23 | -0.47 | 17 |
| 2025-12-01 | 2025-12-02 | -0.38 | 2 |
| 2026-04-09 | 2026-04-13 | -0.38 | 5 |