| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 13.71% | 11.65% |
| CAGR﹪ | 30.11% | 25.34% |
| Sharpe | 1.92 | 1.97 |
| Prob. Sharpe Ratio | 90.94% | 90.79% |
| Smart Sharpe | 1.71 | 1.75 |
| Sortino | 2.97 | 2.87 |
| Smart Sortino | 2.64 | 2.55 |
| Sortino/√2 | 2.1 | 2.03 |
| Smart Sortino/√2 | 1.87 | 1.8 |
| Omega | 1.37 | 1.37 |
| Max Drawdown | -8.58% | -7.24% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-02-26 | 2026-05-19 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 85 |
| Volatility (ann.) | 14.22% | 11.84% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 3.51 | 3.5 |
| Skew | -0.01 | -0.53 |
| Kurtosis | 0.73 | 0.19 |
| Ulcer Performance Index | 5.39 | 3.78 |
| Risk-Adjusted Return | 30.11% | 26.39% |
| Risk-Return Ratio | 0.12 | 0.12 |
| Avg. Return | 0.12% | 0.1% |
| Avg. Win | 0.74% | 0.7% |
| Avg. Loss | -0.76% | -0.6% |
| Win/Loss Ratio | 0.98 | 1.16 |
| Profit Ratio | 0.96 | 0.73 |
| Expected Daily | 0.1% | 0.09% |
| Expected Monthly | 1.85% | 1.59% |
| Expected Yearly | 13.71% | 11.65% |
| Kelly Criterion | 8.08% | 17.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -1.13% |
| Expected Shortfall (cVaR) | -1.67% | -1.6% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | 0.37 |
| Gain/Pain (1M) | 2.29 | 3.71 |
| Payoff Ratio | 0.98 | 1.16 |
| Profit Factor | 1.37 | 1.37 |
| Common Sense Ratio | 1.54 | 1.22 |
| CPC Index | 0.73 | 0.88 |
| Tail Ratio | 1.12 | 0.89 |
| Outlier Win Ratio | 3.24 | 2.36 |
| Outlier Loss Ratio | 2.76 | 2.89 |
| MTD | 3.15% | 2.14% |
| 3M | 4.73% | 0.06% |
| 6M | 13.71% | 11.65% |
| YTD | 13.71% | 11.65% |
| 1Y | 13.71% | 11.65% |
| 3Y (ann.) | 30.11% | 25.34% |
| 5Y (ann.) | 30.11% | 25.34% |
| 10Y (ann.) | 30.11% | 25.34% |
| All-time (ann.) | 30.11% | 25.34% |
| Best Day | 2.91% | 1.43% |
| Worst Day | -2.58% | -2.26% |
| Best Month | 10.51% | 7.49% |
| Worst Month | -4.94% | -3.1% |
| Best Year | 13.71% | 11.65% |
| Worst Year | 13.71% | 11.65% |
| Avg. Drawdown | -1.4% | -1.28% |
| Avg. Drawdown Days | 9 | 8 |
| Recovery Factor | 1.56 | 1.57 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.78 | 0.43 |
| Avg. Up Month | 3.93% | 2.78% |
| Avg. Down Month | -1.03% | -3.1% |
| Win Days | 54.47% | 55.56% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.14 |
| Correlation | - | 40.37% |
| Treynor Ratio | - | 34.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 11.65 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-08-11 | -7.24 | 85 |
| 2026-03-18 | 2026-04-02 | -3.28 | 16 |
| 2026-04-08 | 2026-04-10 | -1.72 | 3 |
| 2026-03-03 | 2026-03-06 | -1.52 | 4 |
| 2026-04-17 | 2026-04-21 | -1.46 | 5 |
| 2026-03-10 | 2026-03-11 | -1.38 | 2 |
| 2026-05-06 | 2026-05-08 | -1.34 | 3 |
| 2026-04-14 | 2026-04-14 | -0.55 | 1 |
| 2026-02-17 | 2026-02-17 | -0.52 | 1 |
| 2026-03-13 | 2026-03-16 | -0.31 | 4 |