| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 13.71% | -1.21% |
| CAGR﹪ | 30.11% | -2.46% |
| Sharpe | 1.92 | -0.49 |
| Prob. Sharpe Ratio | 90.94% | 36.62% |
| Smart Sharpe | 1.86 | -0.48 |
| Sortino | 2.97 | -0.71 |
| Smart Sortino | 2.88 | -0.68 |
| Sortino/√2 | 2.1 | -0.5 |
| Smart Sortino/√2 | 2.03 | -0.48 |
| Omega | 1.37 | 0.92 |
| Max Drawdown | -8.58% | -5.09% |
| Max DD Date | 2026-03-30 | 2026-05-15 |
| Max DD Period Start | 2026-02-26 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 163 |
| Volatility (ann.) | 14.22% | 4.82% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 3.51 | -0.48 |
| Skew | -0.01 | 0.19 |
| Kurtosis | 0.73 | 1.28 |
| Ulcer Performance Index | 5.39 | -0.36 |
| Risk-Adjusted Return | 30.11% | -2.79% |
| Risk-Return Ratio | 0.12 | -0.03 |
| Avg. Return | 0.12% | -0.01% |
| Avg. Win | 0.95% | 0.27% |
| Avg. Loss | -0.7% | -0.31% |
| Win/Loss Ratio | 1.36 | 0.86 |
| Profit Ratio | 0.96 | 0.83 |
| Expected Daily | 0.1% | -0.01% |
| Expected Monthly | 1.85% | -0.17% |
| Expected Yearly | 13.71% | -1.21% |
| Kelly Criterion | 20.94% | -19.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.51% |
| Expected Shortfall (cVaR) | -1.67% | -0.73% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | -0.08 |
| Gain/Pain (1M) | 2.29 | -0.26 |
| Payoff Ratio | 1.36 | 0.86 |
| Profit Factor | 1.37 | 0.92 |
| Common Sense Ratio | 1.54 | 0.97 |
| CPC Index | 1.01 | 0.35 |
| Tail Ratio | 1.12 | 1.05 |
| Outlier Win Ratio | 3.24 | 3.59 |
| Outlier Loss Ratio | 2.76 | 2.73 |
| MTD | 3.15% | 0.1% |
| 3M | 4.73% | 1.76% |
| 6M | 13.71% | -1.21% |
| YTD | 13.71% | -1.21% |
| 1Y | 13.71% | -1.21% |
| 3Y (ann.) | 30.11% | -2.46% |
| 5Y (ann.) | 30.11% | -2.46% |
| 10Y (ann.) | 30.11% | -2.46% |
| All-time (ann.) | 30.11% | -2.46% |
| Best Day | 2.91% | 0.96% |
| Worst Day | -2.58% | -1.04% |
| Best Month | 10.51% | 1.6% |
| Worst Month | -4.94% | -2.96% |
| Best Year | 13.71% | -1.21% |
| Worst Year | 13.71% | -1.21% |
| Avg. Drawdown | -1.4% | -2.59% |
| Avg. Drawdown Days | 9 | 82 |
| Recovery Factor | 1.56 | 0.23 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.78 | -0.02 |
| Avg. Up Month | 1.29% | 0.83% |
| Avg. Down Month | -4.94% | -2.96% |
| Win Days | 54.47% | 44.44% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.12 |
| Alpha | - | -0.06 |
| Correlation | - | 34.62% |
| Treynor Ratio | - | -10.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | -1.21 | -0.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-11 | -5.09 | 163 |
| 2026-02-19 | 2026-02-19 | -0.09 | 1 |