| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 15.17% | 5.45% |
| CAGR﹪ | 44.88% | 14.95% |
| Sharpe | 2.65 | 3.63 |
| Prob. Sharpe Ratio | 95.02% | 99.09% |
| Smart Sharpe | 2.53 | 3.47 |
| Sortino | 4.42 | 6.64 |
| Smart Sortino | 4.22 | 6.34 |
| Sortino/√2 | 3.12 | 4.7 |
| Smart Sortino/√2 | 2.98 | 4.49 |
| Omega | 1.56 | 1.89 |
| Max Drawdown | -4.49% | -0.99% |
| Max DD Date | 2026-06-10 | 2026-03-24 |
| Max DD Period Start | 2026-06-03 | 2026-02-26 |
| Max DD Period End | 2026-07-31 | 2026-04-02 |
| Longest DD Days | 59 | 36 |
| Volatility (ann.) | 14.39% | 3.86% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 9.98 | 15.06 |
| Skew | 0.14 | 0.56 |
| Kurtosis | 0.92 | 2.46 |
| Ulcer Performance Index | 8.66 | 14.84 |
| Risk-Adjusted Return | 44.88% | 16.99% |
| Risk-Return Ratio | 0.17 | 0.23 |
| Avg. Return | 0.21% | 0.06% |
| Avg. Win | 0.91% | 0.25% |
| Avg. Loss | -0.7% | -0.19% |
| Win/Loss Ratio | 1.31 | 1.27 |
| Profit Ratio | 1.21 | 0.52 |
| Expected Daily | 0.15% | 0.06% |
| Expected Monthly | 2.04% | 0.76% |
| Expected Yearly | 15.17% | 5.45% |
| Kelly Criterion | 17.31% | 29.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.34% | -0.34% |
| Expected Shortfall (cVaR) | -1.68% | -0.43% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.56 | 0.89 |
| Gain/Pain (1M) | 8.06 | 15.04 |
| Payoff Ratio | 1.31 | 1.27 |
| Profit Factor | 1.56 | 1.89 |
| Common Sense Ratio | 1.86 | 2.44 |
| CPC Index | 1.08 | 1.46 |
| Tail Ratio | 1.19 | 1.29 |
| Outlier Win Ratio | 3.22 | 4.41 |
| Outlier Loss Ratio | 2.8 | 2.99 |
| MTD | 3.15% | 0.78% |
| 3M | 3.91% | 3.38% |
| 6M | 15.17% | 5.45% |
| YTD | 15.17% | 5.45% |
| 1Y | 15.17% | 5.45% |
| 3Y (ann.) | 44.88% | 14.95% |
| 5Y (ann.) | 44.88% | 14.95% |
| 10Y (ann.) | 44.88% | 14.95% |
| All-time (ann.) | 44.88% | 14.95% |
| Best Day | 2.91% | 0.97% |
| Worst Day | -2.58% | -0.62% |
| Best Month | 8.48% | 1.5% |
| Worst Month | -1.03% | -0.36% |
| Best Year | 15.17% | 5.45% |
| Worst Year | 15.17% | 5.45% |
| Avg. Drawdown | -1.26% | -0.33% |
| Avg. Drawdown Days | 12 | 6 |
| Recovery Factor | 3.23 | 5.38 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.9 | 4.08 |
| Avg. Up Month | 3.32% | 0.84% |
| Avg. Down Month | -0.97% | -0.36% |
| Win Days | 53.12% | 60.71% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.06 |
| Correlation | - | 76.6% |
| Treynor Ratio | - | 26.53% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 15.17 | 5.45 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-02 | -0.99 | 36 |
| 2026-06-02 | 2026-06-12 | -0.97 | 11 |
| 2026-07-16 | 2026-08-03 | -0.95 | 19 |
| 2026-04-23 | 2026-04-30 | -0.27 | 8 |
| 2026-06-23 | 2026-06-24 | -0.26 | 2 |
| 2026-07-07 | 2026-07-08 | -0.26 | 2 |
| 2026-04-20 | 2026-04-21 | -0.18 | 2 |
| 2026-05-27 | 2026-05-28 | -0.18 | 2 |
| 2026-08-10 | 2026-08-11 | -0.17 | 2 |
| 2026-04-15 | 2026-04-16 | -0.09 | 2 |