| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 13.71% | 6.24% |
| CAGR﹪ | 30.11% | 13.2% |
| Sharpe | 1.92 | 1.45 |
| Prob. Sharpe Ratio | 90.94% | 84.27% |
| Smart Sharpe | 1.71 | 1.29 |
| Sortino | 2.97 | 2.14 |
| Smart Sortino | 2.65 | 1.91 |
| Sortino/√2 | 2.1 | 1.51 |
| Smart Sortino/√2 | 1.87 | 1.35 |
| Omega | 1.37 | 1.27 |
| Max Drawdown | -8.58% | -6.47% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-02-26 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-06-11 |
| Longest DD Days | 59 | 102 |
| Volatility (ann.) | 14.22% | 8.83% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 3.51 | 2.04 |
| Skew | -0.01 | -0.06 |
| Kurtosis | 0.73 | 0.71 |
| Ulcer Performance Index | 5.39 | 2.86 |
| Risk-Adjusted Return | 30.11% | 14.2% |
| Risk-Return Ratio | 0.12 | 0.09 |
| Avg. Return | 0.12% | 0.05% |
| Avg. Win | 0.83% | 0.49% |
| Avg. Loss | -0.8% | -0.57% |
| Win/Loss Ratio | 1.04 | 0.85 |
| Profit Ratio | 0.96 | 0.56 |
| Expected Daily | 0.1% | 0.05% |
| Expected Monthly | 1.85% | 0.87% |
| Expected Yearly | 13.71% | 6.24% |
| Kelly Criterion | 10.63% | 6.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.86% |
| Expected Shortfall (cVaR) | -1.67% | -1.05% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | 0.27 |
| Gain/Pain (1M) | 2.29 | 1.03 |
| Payoff Ratio | 1.04 | 0.85 |
| Profit Factor | 1.37 | 1.27 |
| Common Sense Ratio | 1.54 | 1.0 |
| CPC Index | 0.78 | 0.61 |
| Tail Ratio | 1.12 | 0.79 |
| Outlier Win Ratio | 3.24 | 3.4 |
| Outlier Loss Ratio | 2.76 | 2.44 |
| MTD | 3.15% | 1.12% |
| 3M | 4.73% | 5.54% |
| 6M | 13.71% | 6.24% |
| YTD | 13.71% | 6.24% |
| 1Y | 13.71% | 6.24% |
| 3Y (ann.) | 30.11% | 13.2% |
| 5Y (ann.) | 30.11% | 13.2% |
| 10Y (ann.) | 30.11% | 13.2% |
| All-time (ann.) | 30.11% | 13.2% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.58% | -1.19% |
| Best Month | 10.51% | 4.63% |
| Worst Month | -4.94% | -5.18% |
| Best Year | 13.71% | 6.24% |
| Worst Year | 13.71% | 6.24% |
| Avg. Drawdown | -1.4% | -1.04% |
| Avg. Drawdown Days | 9 | 13 |
| Recovery Factor | 1.56 | 0.96 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.78 | 0.32 |
| Avg. Up Month | 3.6% | 2.3% |
| Avg. Down Month | -4.94% | -5.18% |
| Win Days | 54.47% | 57.02% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.0 |
| Correlation | - | 74.69% |
| Treynor Ratio | - | 13.46% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 6.24 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-11 | -6.47 | 102 |
| 2026-06-17 | 2026-06-24 | -1.00 | 8 |
| 2026-02-23 | 2026-02-24 | -0.87 | 2 |
| 2026-06-30 | 2026-07-15 | -0.85 | 16 |
| 2026-07-29 | 2026-08-03 | -0.76 | 6 |
| 2026-07-17 | 2026-07-23 | -0.64 | 7 |
| 2026-08-10 | 2026-08-11 | -0.28 | 2 |
| 2026-02-19 | 2026-02-19 | -0.22 | 1 |
| 2026-02-17 | 2026-02-17 | -0.15 | 1 |
| 2026-06-26 | 2026-06-26 | -0.14 | 1 |