| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 21.22% | 27.13% |
| CAGR﹪ | 21.41% | 27.38% |
| Sharpe | 1.57 | 1.97 |
| Prob. Sharpe Ratio | 93.92% | 96.98% |
| Smart Sharpe | 1.48 | 1.85 |
| Sortino | 2.32 | 2.83 |
| Smart Sortino | 2.18 | 2.66 |
| Sortino/√2 | 1.64 | 2.0 |
| Smart Sortino/√2 | 1.54 | 1.88 |
| Omega | 1.3 | 1.37 |
| Max Drawdown | -8.88% | -7.24% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-01-28 | 2026-05-19 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 85 |
| Volatility (ann.) | 12.86% | 12.71% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.41 | 3.78 |
| Skew | -0.2 | -0.67 |
| Kurtosis | 1.2 | 1.8 |
| Ulcer Performance Index | 10.15 | 11.25 |
| Risk-Adjusted Return | 21.41% | 28.52% |
| Risk-Return Ratio | 0.1 | 0.12 |
| Avg. Return | 0.09% | 0.1% |
| Avg. Win | 0.66% | 0.72% |
| Avg. Loss | -0.7% | -0.71% |
| Win/Loss Ratio | 0.94 | 1.01 |
| Profit Ratio | 0.88 | 0.65 |
| Expected Daily | 0.08% | 0.1% |
| Expected Monthly | 1.49% | 1.86% |
| Expected Yearly | 10.1% | 12.75% |
| Kelly Criterion | 6.65% | 15.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.22% |
| Expected Shortfall (cVaR) | -1.72% | -1.74% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.37 |
| Gain/Pain (1M) | 3.03 | 8.1 |
| Payoff Ratio | 0.94 | 1.01 |
| Profit Factor | 1.3 | 1.37 |
| Common Sense Ratio | 1.29 | 1.23 |
| CPC Index | 0.67 | 0.8 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.94 | 2.9 |
| Outlier Loss Ratio | 3.24 | 2.97 |
| MTD | 3.15% | 2.14% |
| 3M | 4.73% | 0.06% |
| 6M | 11.92% | 10.01% |
| YTD | 13.6% | 15.96% |
| 1Y | 21.22% | 27.13% |
| 3Y (ann.) | 21.41% | 27.38% |
| 5Y (ann.) | 21.41% | 27.38% |
| 10Y (ann.) | 21.41% | 27.38% |
| All-time (ann.) | 21.41% | 27.38% |
| Best Day | 2.91% | 2.25% |
| Worst Day | -2.7% | -3.74% |
| Best Month | 10.51% | 7.49% |
| Worst Month | -4.94% | -3.1% |
| Best Year | 13.6% | 15.96% |
| Worst Year | 6.71% | 9.64% |
| Avg. Drawdown | -1.44% | -1.5% |
| Avg. Drawdown Days | 10 | 8 |
| Recovery Factor | 2.26 | 3.43 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 1.52 |
| Avg. Up Month | 2.7% | 2.32% |
| Avg. Down Month | -1.03% | -3.1% |
| Win Days | 54.8% | 57.5% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.57 |
| Alpha | - | 0.13 |
| Correlation | - | 58.04% |
| Treynor Ratio | - | 47.29% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 9.64 | 1.44 | + |
| 2026 | 13.60 | 15.96 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-08-11 | -7.24 | 85 |
| 2025-11-13 | 2025-12-10 | -4.67 | 28 |
| 2026-01-30 | 2026-02-24 | -4.43 | 26 |
| 2026-03-18 | 2026-04-02 | -3.28 | 16 |
| 2025-10-29 | 2025-11-11 | -2.91 | 14 |
| 2025-10-09 | 2025-10-15 | -2.87 | 7 |
| 2026-01-16 | 2026-01-22 | -2.07 | 7 |
| 2025-09-23 | 2025-09-29 | -1.74 | 7 |
| 2026-04-08 | 2026-04-10 | -1.72 | 3 |
| 2025-12-12 | 2025-12-19 | -1.69 | 8 |