| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 13.71% | 5.47% |
| CAGR﹪ | 30.11% | 11.54% |
| Sharpe | 1.92 | 1.94 |
| Prob. Sharpe Ratio | 90.94% | 91.14% |
| Smart Sharpe | 1.86 | 1.87 |
| Sortino | 2.97 | 3.01 |
| Smart Sortino | 2.88 | 2.92 |
| Sortino/√2 | 2.1 | 2.13 |
| Smart Sortino/√2 | 2.04 | 2.06 |
| Omega | 1.37 | 1.36 |
| Max Drawdown | -8.58% | -2.08% |
| Max DD Date | 2026-03-30 | 2026-07-06 |
| Max DD Period Start | 2026-02-26 | 2026-06-15 |
| Max DD Period End | 2026-04-13 | 2026-07-16 |
| Longest DD Days | 59 | 32 |
| Volatility (ann.) | 14.22% | 5.73% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 3.51 | 5.56 |
| Skew | -0.01 | -0.01 |
| Kurtosis | 0.73 | -0.53 |
| Ulcer Performance Index | 5.39 | 7.23 |
| Risk-Adjusted Return | 30.11% | 13.26% |
| Risk-Return Ratio | 0.12 | 0.12 |
| Avg. Return | 0.13% | 0.05% |
| Avg. Win | 0.52% | 0.32% |
| Avg. Loss | -0.42% | -0.36% |
| Win/Loss Ratio | 1.24 | 0.88 |
| Profit Ratio | 0.96 | 0.45 |
| Expected Daily | 0.1% | 0.04% |
| Expected Monthly | 1.85% | 0.76% |
| Expected Yearly | 13.71% | 5.47% |
| Kelly Criterion | 17.85% | 9.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.55% |
| Expected Shortfall (cVaR) | -1.67% | -0.67% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.37 | 0.36 |
| Gain/Pain (1M) | 2.29 | 5.62 |
| Payoff Ratio | 1.24 | 0.88 |
| Profit Factor | 1.37 | 1.36 |
| Common Sense Ratio | 1.54 | 1.38 |
| CPC Index | 0.93 | 0.69 |
| Tail Ratio | 1.12 | 1.02 |
| Outlier Win Ratio | 3.24 | 3.19 |
| Outlier Loss Ratio | 2.76 | 1.94 |
| MTD | 3.15% | -0.96% |
| 3M | 4.73% | 0.71% |
| 6M | 13.71% | 5.47% |
| YTD | 13.71% | 5.47% |
| 1Y | 13.71% | 5.47% |
| 3Y (ann.) | 30.11% | 11.54% |
| 5Y (ann.) | 30.11% | 11.54% |
| 10Y (ann.) | 30.11% | 11.54% |
| All-time (ann.) | 30.11% | 11.54% |
| Best Day | 2.91% | 0.86% |
| Worst Day | -2.58% | -0.75% |
| Best Month | 10.51% | 2.06% |
| Worst Month | -4.94% | -0.96% |
| Best Year | 13.71% | 5.47% |
| Worst Year | 13.71% | 5.47% |
| Avg. Drawdown | -1.4% | -0.63% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 1.56 | 2.61 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.78 | 1.52 |
| Avg. Up Month | 4.12% | 0.87% |
| Avg. Down Month | - | - |
| Win Days | 54.47% | 57.55% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.16 |
| Alpha | - | 0.15 |
| Correlation | - | -39.92% |
| Treynor Ratio | - | -34.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 5.47 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-15 | 2026-07-16 | -2.08 | 32 |
| 2026-07-30 | 2026-08-11 | -1.80 | 13 |
| 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 |
| 2026-02-17 | 2026-02-24 | -0.56 | 8 |
| 2026-03-16 | 2026-03-23 | -0.48 | 8 |
| 2026-05-06 | 2026-05-07 | -0.43 | 2 |