| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 21.22% | 11.78% |
| CAGR﹪ | 21.41% | 11.88% |
| Sharpe | 1.57 | 0.5 |
| Prob. Sharpe Ratio | 93.92% | 69.34% |
| Smart Sharpe | 1.53 | 0.49 |
| Sortino | 2.32 | 0.8 |
| Smart Sortino | 2.25 | 0.78 |
| Sortino/√2 | 1.64 | 0.57 |
| Smart Sortino/√2 | 1.59 | 0.55 |
| Omega | 1.3 | 1.09 |
| Max Drawdown | -8.88% | -26.95% |
| Max DD Date | 2026-03-30 | 2026-06-22 |
| Max DD Period Start | 2026-01-28 | 2026-03-09 |
| Max DD Period End | 2026-04-13 | 2026-07-27 |
| Longest DD Days | 76 | 141 |
| Volatility (ann.) | 12.86% | 32.88% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.41 | 0.44 |
| Skew | -0.2 | 0.6 |
| Kurtosis | 1.2 | 1.09 |
| Ulcer Performance Index | 10.15 | 1.17 |
| Risk-Adjusted Return | 21.41% | 12.12% |
| Risk-Return Ratio | 0.1 | 0.03 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.48% | 1.4% |
| Avg. Loss | -0.5% | -1.16% |
| Win/Loss Ratio | 0.96 | 1.21 |
| Profit Ratio | 0.88 | 1.36 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.49% | 0.86% |
| Expected Yearly | 10.1% | 5.72% |
| Kelly Criterion | 7.89% | 1.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -3.34% |
| Expected Shortfall (cVaR) | -1.72% | -4.25% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.09 |
| Gain/Pain (1M) | 3.03 | 0.41 |
| Payoff Ratio | 0.96 | 1.21 |
| Profit Factor | 1.3 | 1.09 |
| Common Sense Ratio | 1.29 | 1.44 |
| CPC Index | 0.69 | 0.61 |
| Tail Ratio | 0.99 | 1.32 |
| Outlier Win Ratio | 2.94 | 3.51 |
| Outlier Loss Ratio | 3.24 | 3.16 |
| MTD | 3.15% | -2.86% |
| 3M | 4.73% | 13.54% |
| 6M | 11.92% | 3.96% |
| YTD | 13.6% | 3.73% |
| 1Y | 21.22% | 11.78% |
| 3Y (ann.) | 21.41% | 11.88% |
| 5Y (ann.) | 21.41% | 11.88% |
| 10Y (ann.) | 21.41% | 11.88% |
| All-time (ann.) | 21.41% | 11.88% |
| Best Day | 2.91% | 7.13% |
| Worst Day | -2.7% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -4.94% | -9.8% |
| Best Year | 13.6% | 7.76% |
| Worst Year | 6.71% | 3.73% |
| Avg. Drawdown | -1.44% | -7.15% |
| Avg. Drawdown Days | 10 | 37 |
| Recovery Factor | 2.26 | 0.61 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 1.37 | 0.17 |
| Avg. Up Month | 0.17% | 12.74% |
| Avg. Down Month | -1.03% | -6.29% |
| Win Days | 54.8% | 46.12% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -1.02 |
| Alpha | - | 0.37 |
| Correlation | - | -39.81% |
| Treynor Ratio | - | -11.57% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 7.76 | 1.16 | + |
| 2026 | 13.60 | 3.73 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-09 | 2026-07-27 | -26.95 | 141 |
| 2025-09-08 | 2025-12-16 | -13.71 | 100 |
| 2025-12-18 | 2026-02-26 | -9.54 | 71 |
| 2026-07-30 | 2026-08-11 | -9.38 | 13 |
| 2025-08-25 | 2025-08-29 | -2.02 | 5 |
| 2026-03-02 | 2026-03-02 | -1.59 | 1 |
| 2026-03-04 | 2026-03-04 | -0.65 | 1 |
| 2025-09-04 | 2025-09-04 | -0.38 | 1 |
| 2025-08-20 | 2025-08-20 | -0.11 | 1 |