| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 75.0% |
| Cumulative Return | 13.71% | 3.08% |
| CAGR﹪ | 30.11% | 6.4% |
| Sharpe | 1.92 | 2.03 |
| Prob. Sharpe Ratio | 90.94% | 92.23% |
| Smart Sharpe | 1.77 | 1.87 |
| Sortino | 2.97 | 3.19 |
| Smart Sortino | 2.74 | 2.94 |
| Sortino/√2 | 2.1 | 2.26 |
| Smart Sortino/√2 | 1.94 | 2.08 |
| Omega | 1.37 | 1.42 |
| Max Drawdown | -8.58% | -1.24% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-02-26 | 2026-03-03 |
| Max DD Period End | 2026-04-13 | 2026-04-07 |
| Longest DD Days | 59 | 36 |
| Volatility (ann.) | 14.22% | 3.08% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 3.51 | 5.18 |
| Skew | -0.01 | 0.06 |
| Kurtosis | 0.73 | 0.57 |
| Ulcer Performance Index | 5.39 | 7.58 |
| Risk-Adjusted Return | 30.11% | 8.54% |
| Risk-Return Ratio | 0.12 | 0.13 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.8% | 0.18% |
| Avg. Loss | -0.7% | -0.2% |
| Win/Loss Ratio | 1.13 | 0.9 |
| Profit Ratio | 0.96 | 0.28 |
| Expected Daily | 0.1% | 0.02% |
| Expected Monthly | 1.85% | 0.43% |
| Expected Yearly | 13.71% | 3.08% |
| Kelly Criterion | 14.33% | 13.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.29% |
| Expected Shortfall (cVaR) | -1.67% | -0.39% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.37 | 0.42 |
| Gain/Pain (1M) | 2.29 | 5.39 |
| Payoff Ratio | 1.13 | 0.9 |
| Profit Factor | 1.37 | 1.42 |
| Common Sense Ratio | 1.54 | 1.83 |
| CPC Index | 0.85 | 0.75 |
| Tail Ratio | 1.12 | 1.29 |
| Outlier Win Ratio | 3.24 | 4.47 |
| Outlier Loss Ratio | 2.76 | 1.99 |
| MTD | 3.15% | 0.38% |
| 3M | 4.73% | 1.42% |
| 6M | 13.71% | 3.08% |
| YTD | 13.71% | 3.08% |
| 1Y | 13.71% | 3.08% |
| 3Y (ann.) | 30.11% | 6.4% |
| 5Y (ann.) | 30.11% | 6.4% |
| 10Y (ann.) | 30.11% | 6.4% |
| All-time (ann.) | 30.11% | 6.4% |
| Best Day | 2.91% | 0.58% |
| Worst Day | -2.58% | -0.48% |
| Best Month | 10.51% | 1.24% |
| Worst Month | -4.94% | -0.57% |
| Best Year | 13.71% | 3.08% |
| Worst Year | 13.71% | 3.08% |
| Avg. Drawdown | -1.4% | -0.38% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 1.56 | 2.47 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.78 | 1.41 |
| Avg. Up Month | 3.93% | 0.57% |
| Avg. Down Month | -4.94% | -0.57% |
| Win Days | 54.47% | 58.7% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.04 |
| Correlation | - | 37.19% |
| Treynor Ratio | - | 38.22% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 3.08 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-04-07 | -1.24 | 36 |
| 2026-05-13 | 2026-06-12 | -0.75 | 31 |
| 2026-07-29 | 2026-08-06 | -0.47 | 9 |
| 2026-07-07 | 2026-07-23 | -0.47 | 17 |
| 2026-04-09 | 2026-04-13 | -0.38 | 5 |
| 2026-06-29 | 2026-06-30 | -0.37 | 2 |
| 2026-04-21 | 2026-04-28 | -0.28 | 8 |
| 2026-05-04 | 2026-05-04 | -0.28 | 1 |
| 2026-02-20 | 2026-02-25 | -0.19 | 6 |
| 2026-08-11 | 2026-08-11 | -0.19 | 1 |