| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 10.7% | 9.09% |
| CAGR﹪ | 16.37% | 13.85% |
| Sharpe | 1.26 | 3.76 |
| Prob. Sharpe Ratio | 84.86% | 99.93% |
| Smart Sharpe | 1.24 | 3.71 |
| Sortino | 1.9 | 6.74 |
| Smart Sortino | 1.88 | 6.66 |
| Sortino/√2 | 1.35 | 4.77 |
| Smart Sortino/√2 | 1.33 | 4.71 |
| Omega | 1.23 | 1.84 |
| Max Drawdown | -9.16% | -1.08% |
| Max DD Date | 2026-03-24 | 2026-03-24 |
| Max DD Period Start | 2025-09-23 | 2026-01-28 |
| Max DD Period End | 2026-04-16 | 2026-04-02 |
| Longest DD Days | 206 | 65 |
| Volatility (ann.) | 12.7% | 3.47% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.79 | 12.78 |
| Skew | 0.1 | 0.41 |
| Kurtosis | 1.28 | 2.08 |
| Ulcer Performance Index | 3.1 | 25.61 |
| Risk-Adjusted Return | 16.37% | 15.06% |
| Risk-Return Ratio | 0.08 | 0.24 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.71% | 0.23% |
| Avg. Loss | -0.68% | -0.17% |
| Win/Loss Ratio | 1.05 | 1.31 |
| Profit Ratio | 1.0 | 0.62 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 0.79% | 0.67% |
| Expected Yearly | 5.22% | 4.45% |
| Kelly Criterion | 7.48% | 29.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.31% |
| Expected Shortfall (cVaR) | -1.64% | -0.42% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.23 | 0.84 |
| Gain/Pain (1M) | 1.16 | 11.17 |
| Payoff Ratio | 1.05 | 1.31 |
| Profit Factor | 1.23 | 1.84 |
| Common Sense Ratio | 1.22 | 2.49 |
| CPC Index | 0.68 | 1.45 |
| Tail Ratio | 0.99 | 1.35 |
| Outlier Win Ratio | 3.21 | 3.71 |
| Outlier Loss Ratio | 2.79 | 2.51 |
| MTD | 3.15% | 0.78% |
| 3M | 3.91% | 3.38% |
| 6M | 13.36% | 5.35% |
| YTD | 12.43% | 5.93% |
| 1Y | 10.7% | 9.09% |
| 3Y (ann.) | 16.37% | 13.85% |
| 5Y (ann.) | 16.37% | 13.85% |
| 10Y (ann.) | 16.37% | 13.85% |
| All-time (ann.) | 16.37% | 13.85% |
| Best Day | 2.91% | 0.97% |
| Worst Day | -2.58% | -0.62% |
| Best Month | 8.48% | 1.5% |
| Worst Month | -3.62% | -0.43% |
| Best Year | 12.43% | 5.93% |
| Worst Year | -1.53% | 2.99% |
| Avg. Drawdown | -1.7% | -0.3% |
| Avg. Drawdown Days | 27 | 9 |
| Recovery Factor | 1.17 | 8.07 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.33 | 6.65 |
| Avg. Up Month | 2.53% | 0.91% |
| Avg. Down Month | -2.29% | -0.39% |
| Win Days | 52.66% | 60.0% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.1 |
| Correlation | - | 70.98% |
| Treynor Ratio | - | 46.9% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -1.53 | 2.99 | -1.95 | + |
| 2026 | 12.43 | 5.93 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-28 | 2026-04-02 | -1.08 | 65 |
| 2026-06-02 | 2026-06-12 | -0.97 | 11 |
| 2026-07-16 | 2026-08-03 | -0.95 | 19 |
| 2025-11-04 | 2025-12-18 | -0.69 | 45 |
| 2025-10-16 | 2025-10-28 | -0.43 | 13 |
| 2026-04-15 | 2026-04-30 | -0.27 | 16 |
| 2025-09-16 | 2025-09-17 | -0.26 | 2 |
| 2026-06-23 | 2026-06-24 | -0.26 | 2 |
| 2026-07-07 | 2026-07-08 | -0.26 | 2 |
| 2026-05-27 | 2026-05-29 | -0.18 | 3 |