| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 13.63% | 4.56% |
| CAGR﹪ | 30.2% | 9.64% |
| Sharpe | 1.92 | 0.43 |
| Prob. Sharpe Ratio | 90.83% | 61.69% |
| Smart Sharpe | 1.88 | 0.42 |
| Sortino | 2.97 | 0.68 |
| Smart Sortino | 2.91 | 0.67 |
| Sortino/√2 | 2.1 | 0.48 |
| Smart Sortino/√2 | 2.06 | 0.47 |
| Omega | 1.37 | 1.07 |
| Max Drawdown | -8.58% | -26.95% |
| Max DD Date | 2026-03-30 | 2026-06-22 |
| Max DD Period Start | 2026-02-26 | 2026-03-09 |
| Max DD Period End | 2026-04-13 | 2026-07-27 |
| Longest DD Days | 59 | 141 |
| Volatility (ann.) | 14.28% | 41.14% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 3.52 | 0.36 |
| Skew | -0.01 | 0.51 |
| Kurtosis | 0.7 | -0.01 |
| Ulcer Performance Index | 5.34 | 0.36 |
| Risk-Adjusted Return | 30.2% | 9.74% |
| Risk-Return Ratio | 0.12 | 0.03 |
| Avg. Return | 0.09% | 0.07% |
| Avg. Win | 0.44% | 1.79% |
| Avg. Loss | -0.54% | -1.22% |
| Win/Loss Ratio | 0.81 | 1.46 |
| Profit Ratio | 0.99 | 1.94 |
| Expected Daily | 0.1% | 0.04% |
| Expected Monthly | 1.84% | 0.64% |
| Expected Yearly | 13.63% | 4.56% |
| Kelly Criterion | -2.31% | 1.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -4.19% |
| Expected Shortfall (cVaR) | -1.67% | -4.66% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.37 | 0.07 |
| Gain/Pain (1M) | 2.28 | 0.36 |
| Payoff Ratio | 0.81 | 1.46 |
| Profit Factor | 1.37 | 1.07 |
| Common Sense Ratio | 1.54 | 1.47 |
| CPC Index | 0.6 | 0.65 |
| Tail Ratio | 1.13 | 1.37 |
| Outlier Win Ratio | 3.21 | 2.45 |
| Outlier Loss Ratio | 2.76 | 2.71 |
| MTD | 3.15% | -2.86% |
| 3M | 4.73% | 13.54% |
| 6M | 13.63% | 4.56% |
| YTD | 13.63% | 4.56% |
| 1Y | 13.63% | 4.56% |
| 3Y (ann.) | 30.2% | 9.64% |
| 5Y (ann.) | 30.2% | 9.64% |
| 10Y (ann.) | 30.2% | 9.64% |
| All-time (ann.) | 30.2% | 9.64% |
| Best Day | 2.91% | 7.13% |
| Worst Day | -2.58% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -4.94% | -9.8% |
| Best Year | 13.63% | 4.56% |
| Worst Year | 13.63% | 4.56% |
| Avg. Drawdown | -1.4% | -6.8% |
| Avg. Drawdown Days | 9 | 27 |
| Recovery Factor | 1.55 | 0.31 |
| Ulcer Index | 0.03 | 0.13 |
| Serenity Index | 0.76 | 0.07 |
| Avg. Up Month | 0.33% | 16.8% |
| Avg. Down Month | -1.03% | -6.29% |
| Win Days | 54.1% | 41.67% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -1.35 |
| Alpha | - | 0.54 |
| Correlation | - | -46.78% |
| Treynor Ratio | - | -3.38% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 4.56 | 0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-09 | 2026-07-27 | -26.95 | 141 |
| 2026-07-30 | 2026-08-11 | -9.38 | 13 |
| 2026-03-02 | 2026-03-02 | -1.59 | 1 |
| 2026-02-23 | 2026-02-25 | -1.24 | 3 |
| 2026-02-17 | 2026-02-17 | -1.03 | 1 |
| 2026-03-04 | 2026-03-04 | -0.65 | 1 |