| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 21.22% | 3.96% |
| CAGR﹪ | 21.41% | 4.0% |
| Sharpe | 1.57 | 0.95 |
| Prob. Sharpe Ratio | 93.92% | 82.84% |
| Smart Sharpe | 1.53 | 0.92 |
| Sortino | 2.32 | 1.45 |
| Smart Sortino | 2.26 | 1.41 |
| Sortino/√2 | 1.64 | 1.02 |
| Smart Sortino/√2 | 1.6 | 1.0 |
| Omega | 1.3 | 1.17 |
| Max Drawdown | -8.88% | -5.09% |
| Max DD Date | 2026-03-30 | 2026-05-15 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 163 |
| Volatility (ann.) | 12.86% | 4.22% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.41 | 0.79 |
| Skew | -0.2 | 0.17 |
| Kurtosis | 1.2 | 1.71 |
| Ulcer Performance Index | 10.15 | 1.68 |
| Risk-Adjusted Return | 21.41% | 4.59% |
| Risk-Return Ratio | 0.1 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.7% | 0.23% |
| Avg. Loss | -0.57% | -0.25% |
| Win/Loss Ratio | 1.22 | 0.94 |
| Profit Ratio | 0.88 | 0.64 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.49% | 0.3% |
| Expected Yearly | 10.1% | 1.96% |
| Kelly Criterion | 17.8% | -1.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.42% |
| Expected Shortfall (cVaR) | -1.72% | -0.61% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.3 | 0.17 |
| Gain/Pain (1M) | 3.03 | 0.85 |
| Payoff Ratio | 1.22 | 0.94 |
| Profit Factor | 1.3 | 1.17 |
| Common Sense Ratio | 1.29 | 1.47 |
| CPC Index | 0.87 | 0.56 |
| Tail Ratio | 0.99 | 1.25 |
| Outlier Win Ratio | 2.94 | 4.12 |
| Outlier Loss Ratio | 3.24 | 2.85 |
| MTD | 3.15% | 0.1% |
| 3M | 4.73% | 1.76% |
| 6M | 11.92% | -0.55% |
| YTD | 13.6% | 1.36% |
| 1Y | 21.22% | 3.96% |
| 3Y (ann.) | 21.41% | 4.0% |
| 5Y (ann.) | 21.41% | 4.0% |
| 10Y (ann.) | 21.41% | 4.0% |
| All-time (ann.) | 21.41% | 4.0% |
| Best Day | 2.91% | 0.96% |
| Worst Day | -2.7% | -1.04% |
| Best Month | 10.51% | 3.05% |
| Worst Month | -4.94% | -2.96% |
| Best Year | 13.6% | 2.56% |
| Worst Year | 6.71% | 1.36% |
| Avg. Drawdown | -1.44% | -0.64% |
| Avg. Drawdown Days | 10 | 18 |
| Recovery Factor | 2.26 | 0.78 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 0.1 |
| Avg. Up Month | 0.88% | 0.81% |
| Avg. Down Month | -4.94% | -2.96% |
| Win Days | 54.8% | 50.93% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 16.05% |
| Treynor Ratio | - | 75.2% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 2.56 | 0.38 | - |
| 2026 | 13.60 | 1.36 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-11 | -5.09 | 163 |
| 2025-09-09 | 2025-11-10 | -1.24 | 63 |
| 2025-11-28 | 2025-12-12 | -0.95 | 15 |
| 2025-11-13 | 2025-11-25 | -0.57 | 13 |
| 2025-08-14 | 2025-08-18 | -0.39 | 5 |
| 2026-01-07 | 2026-01-13 | -0.38 | 7 |
| 2025-12-31 | 2026-01-05 | -0.29 | 6 |
| 2026-01-16 | 2026-01-22 | -0.29 | 7 |
| 2025-08-25 | 2025-08-25 | -0.19 | 1 |
| 2026-01-28 | 2026-02-02 | -0.19 | 6 |