| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 21.22% | 9.53% |
| CAGR﹪ | 21.41% | 9.61% |
| Sharpe | 1.57 | 1.9 |
| Prob. Sharpe Ratio | 93.92% | 97.14% |
| Smart Sharpe | 1.52 | 1.84 |
| Sortino | 2.32 | 2.98 |
| Smart Sortino | 2.24 | 2.88 |
| Sortino/√2 | 1.64 | 2.1 |
| Smart Sortino/√2 | 1.59 | 2.04 |
| Omega | 1.3 | 1.36 |
| Max Drawdown | -8.88% | -2.83% |
| Max DD Date | 2026-03-30 | 2025-10-15 |
| Max DD Period Start | 2026-01-28 | 2025-08-13 |
| Max DD Period End | 2026-04-13 | 2025-11-28 |
| Longest DD Days | 76 | 108 |
| Volatility (ann.) | 12.86% | 4.89% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.41 | 3.4 |
| Skew | -0.2 | 0.05 |
| Kurtosis | 1.2 | -0.1 |
| Ulcer Performance Index | 10.15 | 8.85 |
| Risk-Adjusted Return | 21.41% | 11.05% |
| Risk-Return Ratio | 0.1 | 0.12 |
| Avg. Return | 0.1% | 0.04% |
| Avg. Win | 0.52% | 0.27% |
| Avg. Loss | -0.36% | -0.3% |
| Win/Loss Ratio | 1.46 | 0.93 |
| Profit Ratio | 0.88 | 0.48 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.49% | 0.7% |
| Expected Yearly | 10.1% | 4.66% |
| Kelly Criterion | 23.86% | 10.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.47% |
| Expected Shortfall (cVaR) | -1.72% | -0.59% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.36 |
| Gain/Pain (1M) | 3.03 | 3.17 |
| Payoff Ratio | 1.46 | 0.93 |
| Profit Factor | 1.3 | 1.36 |
| Common Sense Ratio | 1.29 | 1.63 |
| CPC Index | 1.04 | 0.72 |
| Tail Ratio | 0.99 | 1.2 |
| Outlier Win Ratio | 2.94 | 3.39 |
| Outlier Loss Ratio | 3.24 | 2.32 |
| MTD | 3.15% | -0.96% |
| 3M | 4.73% | 0.71% |
| 6M | 11.92% | 6.42% |
| YTD | 13.6% | 9.69% |
| 1Y | 21.22% | 9.53% |
| 3Y (ann.) | 21.41% | 9.61% |
| 5Y (ann.) | 21.41% | 9.61% |
| 10Y (ann.) | 21.41% | 9.61% |
| All-time (ann.) | 21.41% | 9.61% |
| Best Day | 2.91% | 0.86% |
| Worst Day | -2.7% | -0.75% |
| Best Month | 10.51% | 2.37% |
| Worst Month | -4.94% | -1.06% |
| Best Year | 13.6% | 9.69% |
| Worst Year | 6.71% | -0.14% |
| Avg. Drawdown | -1.44% | -0.76% |
| Avg. Drawdown Days | 10 | 14 |
| Recovery Factor | 2.26 | 3.26 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 1.07 |
| Avg. Up Month | 3.49% | 1.4% |
| Avg. Down Month | - | - |
| Win Days | 54.8% | 56.94% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.12 |
| Correlation | - | -37.62% |
| Treynor Ratio | - | -66.66% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | -0.14 | -0.02 | - |
| 2026 | 13.60 | 9.69 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-13 | 2025-11-28 | -2.83 | 108 |
| 2026-06-15 | 2026-07-16 | -2.08 | 32 |
| 2026-07-30 | 2026-08-11 | -1.80 | 13 |
| 2025-12-04 | 2026-01-20 | -1.53 | 48 |
| 2026-03-31 | 2026-04-23 | -1.34 | 24 |
| 2026-05-11 | 2026-05-18 | -0.73 | 8 |
| 2026-03-09 | 2026-03-11 | -0.66 | 3 |
| 2026-05-27 | 2026-06-09 | -0.64 | 14 |
| 2026-07-23 | 2026-07-28 | -0.64 | 6 |
| 2026-02-06 | 2026-02-10 | -0.56 | 5 |