| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 31.2% | 23.1% |
| CAGR﹪ | 19.34% | 14.49% |
| Sharpe | 1.08 | 1.78 |
| Prob. Sharpe Ratio | 91.69% | 98.62% |
| Smart Sharpe | 1.06 | 1.74 |
| Sortino | 1.64 | 2.81 |
| Smart Sortino | 1.61 | 2.76 |
| Sortino/√2 | 1.16 | 1.99 |
| Smart Sortino/√2 | 1.14 | 1.95 |
| Omega | 1.24 | 1.35 |
| Max Drawdown | -18.76% | -4.02% |
| Max DD Date | 2025-04-08 | 2026-05-29 |
| Max DD Period Start | 2025-02-20 | 2026-02-26 |
| Max DD Period End | 2025-06-25 | 2026-08-11 |
| Longest DD Days | 126 | 167 |
| Volatility (ann.) | 17.77% | 7.79% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.03 | 3.6 |
| Skew | 1.27 | 0.15 |
| Kurtosis | 22.1 | 5.18 |
| Ulcer Performance Index | 7.59 | 14.51 |
| Risk-Adjusted Return | 19.34% | 15.75% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.09% | 0.06% |
| Avg. Win | 0.64% | 0.45% |
| Avg. Loss | -0.7% | -0.36% |
| Win/Loss Ratio | 0.9 | 1.23 |
| Profit Ratio | 0.79 | 0.81 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.37% | 1.04% |
| Expected Yearly | 14.54% | 10.95% |
| Kelly Criterion | 6.3% | 14.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.75% |
| Expected Shortfall (cVaR) | -2.94% | -1.09% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.24 | 0.35 |
| Gain/Pain (1M) | 2.21 | 3.23 |
| Payoff Ratio | 0.9 | 1.23 |
| Profit Factor | 1.24 | 1.35 |
| Common Sense Ratio | 1.21 | 1.66 |
| CPC Index | 0.62 | 0.88 |
| Tail Ratio | 0.98 | 1.23 |
| Outlier Win Ratio | 3.56 | 3.37 |
| Outlier Loss Ratio | 3.68 | 2.67 |
| MTD | 3.15% | -2.03% |
| 3M | 3.91% | 0.09% |
| 6M | 10.24% | 0.45% |
| YTD | 11.89% | 5.59% |
| 1Y | 20.48% | 12.72% |
| 3Y (ann.) | 19.34% | 14.49% |
| 5Y (ann.) | 19.34% | 14.49% |
| 10Y (ann.) | 19.34% | 14.49% |
| All-time (ann.) | 19.34% | 14.49% |
| Best Day | 10.5% | 2.94% |
| Worst Day | -5.85% | -2.76% |
| Best Month | 10.51% | 4.45% |
| Worst Month | -5.57% | -2.03% |
| Best Year | 17.26% | 16.58% |
| Worst Year | 11.89% | 5.59% |
| Avg. Drawdown | -1.87% | -1.11% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.58 | 5.28 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 0.72 | 1.97 |
| Avg. Up Month | 2.07% | 1.81% |
| Avg. Down Month | -4.94% | -1.32% |
| Win Days | 55.56% | 52.53% |
| Win Month | 70.0% | 75.0% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.14 |
| Correlation | - | -4.85% |
| Treynor Ratio | - | -1085.57% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 17.26 | 16.58 | 0.96 | - |
| 2026 | 11.89 | 5.59 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-08-11 | -4.02 | 167 |
| 2025-06-03 | 2025-08-01 | -3.78 | 60 |
| 2025-04-02 | 2025-04-14 | -3.04 | 13 |
| 2025-09-16 | 2025-10-29 | -2.73 | 44 |
| 2025-04-23 | 2025-05-19 | -2.73 | 27 |
| 2025-02-13 | 2025-03-21 | -1.85 | 37 |
| 2025-11-18 | 2025-12-18 | -1.45 | 31 |
| 2025-08-13 | 2025-08-29 | -0.99 | 17 |
| 2025-01-24 | 2025-01-31 | -0.98 | 8 |
| 2026-02-04 | 2026-02-12 | -0.89 | 9 |