| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 21.22% | 15.7% |
| CAGR﹪ | 21.41% | 15.83% |
| Sharpe | 1.57 | 1.82 |
| Prob. Sharpe Ratio | 93.92% | 96.42% |
| Smart Sharpe | 1.47 | 1.7 |
| Sortino | 2.32 | 2.75 |
| Smart Sortino | 2.17 | 2.57 |
| Sortino/√2 | 1.64 | 1.95 |
| Smart Sortino/√2 | 1.54 | 1.82 |
| Omega | 1.3 | 1.35 |
| Max Drawdown | -8.88% | -6.47% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-06-11 |
| Longest DD Days | 76 | 102 |
| Volatility (ann.) | 12.86% | 8.28% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.41 | 2.45 |
| Skew | -0.2 | -0.05 |
| Kurtosis | 1.2 | 0.72 |
| Ulcer Performance Index | 10.15 | 9.65 |
| Risk-Adjusted Return | 21.41% | 16.84% |
| Risk-Return Ratio | 0.1 | 0.11 |
| Avg. Return | 0.09% | 0.06% |
| Avg. Win | 0.71% | 0.46% |
| Avg. Loss | -0.71% | -0.5% |
| Win/Loss Ratio | 1.0 | 0.92 |
| Profit Ratio | 0.88 | 0.56 |
| Expected Daily | 0.08% | 0.06% |
| Expected Monthly | 1.49% | 1.13% |
| Expected Yearly | 10.1% | 7.56% |
| Kelly Criterion | 9.57% | 13.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.8% |
| Expected Shortfall (cVaR) | -1.72% | -1.06% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.35 |
| Gain/Pain (1M) | 3.03 | 2.3 |
| Payoff Ratio | 1.0 | 0.92 |
| Profit Factor | 1.3 | 1.35 |
| Common Sense Ratio | 1.29 | 1.31 |
| CPC Index | 0.71 | 0.73 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.94 | 3.5 |
| Outlier Loss Ratio | 3.24 | 2.73 |
| MTD | 3.15% | 1.12% |
| 3M | 4.73% | 5.54% |
| 6M | 11.92% | 4.78% |
| YTD | 13.6% | 8.88% |
| 1Y | 21.22% | 15.7% |
| 3Y (ann.) | 21.41% | 15.83% |
| 5Y (ann.) | 21.41% | 15.83% |
| 10Y (ann.) | 21.41% | 15.83% |
| All-time (ann.) | 21.41% | 15.83% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.7% | -1.24% |
| Best Month | 10.51% | 4.63% |
| Worst Month | -4.94% | -5.18% |
| Best Year | 13.6% | 8.88% |
| Worst Year | 6.71% | 6.26% |
| Avg. Drawdown | -1.44% | -1.03% |
| Avg. Drawdown Days | 10 | 11 |
| Recovery Factor | 2.26 | 2.3 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 1.03 |
| Avg. Up Month | 2.42% | 2.02% |
| Avg. Down Month | -4.94% | -5.18% |
| Win Days | 54.8% | 58.3% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.49 |
| Alpha | - | 0.05 |
| Correlation | - | 76.72% |
| Treynor Ratio | - | 31.76% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 6.26 | 0.93 | - |
| 2026 | 13.60 | 8.88 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-11 | -6.47 | 102 |
| 2025-11-13 | 2025-11-25 | -3.29 | 13 |
| 2025-10-06 | 2025-11-11 | -1.99 | 37 |
| 2026-02-10 | 2026-02-25 | -1.66 | 16 |
| 2025-12-12 | 2025-12-24 | -1.61 | 13 |
| 2026-06-17 | 2026-06-24 | -1.00 | 8 |
| 2025-12-29 | 2026-01-02 | -0.97 | 5 |
| 2026-01-16 | 2026-01-20 | -0.96 | 5 |
| 2026-06-30 | 2026-07-15 | -0.85 | 16 |
| 2026-07-29 | 2026-08-03 | -0.76 | 6 |