| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 19.45% | 12.41% |
| CAGR﹪ | 20.61% | 13.13% |
| Sharpe | 1.51 | 1.83 |
| Prob. Sharpe Ratio | 92.66% | 96.32% |
| Smart Sharpe | 1.48 | 1.8 |
| Sortino | 2.22 | 2.88 |
| Smart Sortino | 2.18 | 2.83 |
| Sortino/√2 | 1.57 | 2.04 |
| Smart Sortino/√2 | 1.54 | 2.0 |
| Omega | 1.29 | 1.33 |
| Max Drawdown | -8.88% | -4.02% |
| Max DD Date | 2026-03-30 | 2026-05-29 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 167 |
| Volatility (ann.) | 13.01% | 6.86% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.32 | 3.26 |
| Skew | -0.18 | 0.06 |
| Kurtosis | 1.16 | 0.04 |
| Ulcer Performance Index | 9.13 | 7.42 |
| Risk-Adjusted Return | 20.61% | 14.12% |
| Risk-Return Ratio | 0.09 | 0.12 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.64% | 0.38% |
| Avg. Loss | -0.51% | -0.38% |
| Win/Loss Ratio | 1.26 | 1.01 |
| Profit Ratio | 0.9 | 0.69 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.38% | 0.9% |
| Expected Yearly | 9.29% | 6.03% |
| Kelly Criterion | 18.1% | 10.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.66% |
| Expected Shortfall (cVaR) | -1.72% | -0.86% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.29 | 0.33 |
| Gain/Pain (1M) | 2.8 | 2.11 |
| Payoff Ratio | 1.26 | 1.01 |
| Profit Factor | 1.29 | 1.33 |
| Common Sense Ratio | 1.28 | 1.7 |
| CPC Index | 0.88 | 0.74 |
| Tail Ratio | 1.0 | 1.28 |
| Outlier Win Ratio | 2.92 | 3.16 |
| Outlier Loss Ratio | 3.26 | 2.26 |
| MTD | 3.15% | -2.03% |
| 3M | 3.91% | 0.09% |
| 6M | 10.24% | 0.45% |
| YTD | 11.89% | 5.59% |
| 1Y | 19.45% | 12.41% |
| 3Y (ann.) | 20.61% | 13.13% |
| 5Y (ann.) | 20.61% | 13.13% |
| 10Y (ann.) | 20.61% | 13.13% |
| All-time (ann.) | 20.61% | 13.13% |
| Best Day | 2.91% | 1.25% |
| Worst Day | -2.7% | -1.34% |
| Best Month | 10.51% | 4.45% |
| Worst Month | -4.94% | -2.03% |
| Best Year | 11.89% | 6.46% |
| Worst Year | 6.76% | 5.59% |
| Avg. Drawdown | -1.54% | -0.85% |
| Avg. Drawdown Days | 11 | 18 |
| Recovery Factor | 2.09 | 2.96 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.26 | 0.89 |
| Avg. Up Month | 1.3% | 2.02% |
| Avg. Down Month | -4.94% | -1.32% |
| Win Days | 54.39% | 54.75% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.12 |
| Correlation | - | 0.89% |
| Treynor Ratio | - | 2641.05% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.76 | 6.46 | 0.96 | - |
| 2026 | 11.89 | 5.59 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-08-11 | -4.02 | 167 |
| 2025-09-16 | 2025-10-29 | -2.73 | 44 |
| 2025-11-28 | 2025-12-18 | -1.45 | 21 |
| 2025-08-13 | 2025-08-29 | -0.99 | 17 |
| 2026-02-04 | 2026-02-12 | -0.89 | 9 |
| 2025-12-24 | 2026-01-06 | -0.76 | 14 |
| 2025-11-21 | 2025-11-25 | -0.51 | 5 |
| 2026-01-22 | 2026-01-23 | -0.37 | 2 |
| 2025-11-04 | 2025-11-05 | -0.35 | 2 |
| 2025-11-18 | 2025-11-19 | -0.34 | 2 |