| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 46.0% |
| Cumulative Return | 20.8% | 10.71% |
| CAGR﹪ | 21.17% | 10.89% |
| Sharpe | 1.55 | 8.55 |
| Prob. Sharpe Ratio | 93.6% | 100.0% |
| Smart Sharpe | 1.35 | 7.44 |
| Sortino | 2.29 | 33.02 |
| Smart Sortino | 1.99 | 28.73 |
| Sortino/√2 | 1.62 | 23.35 |
| Smart Sortino/√2 | 1.41 | 20.31 |
| Omega | 1.3 | 10.46 |
| Max Drawdown | -8.88% | -0.09% |
| Max DD Date | 2026-03-30 | 2026-01-09 |
| Max DD Period Start | 2026-01-28 | 2026-01-09 |
| Max DD Period End | 2026-04-13 | 2026-01-09 |
| Longest DD Days | 76 | 10 |
| Volatility (ann.) | 12.91% | 1.21% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.38 | 119.89 |
| Skew | -0.2 | 1.94 |
| Kurtosis | 1.17 | 6.65 |
| Ulcer Performance Index | 9.91 | 444.74 |
| Risk-Adjusted Return | 21.17% | 23.67% |
| Risk-Return Ratio | 0.1 | 0.54 |
| Avg. Return | 0.1% | 0.09% |
| Avg. Win | 0.62% | 0.11% |
| Avg. Loss | -0.88% | -0.09% |
| Win/Loss Ratio | 0.71 | 1.19 |
| Profit Ratio | 0.91 | 0.03 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.46% | 0.79% |
| Expected Yearly | 9.91% | 5.22% |
| Kelly Criterion | -10.07% | 80.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.08% |
| Expected Shortfall (cVaR) | -1.72% | -0.09% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 5 | 1 |
| Gain/Pain Ratio | 0.3 | 9.46 |
| Gain/Pain (1M) | 2.97 | - |
| Payoff Ratio | 0.71 | 1.19 |
| Profit Factor | 1.3 | 10.46 |
| Common Sense Ratio | 1.29 | - |
| CPC Index | 0.5 | 11.13 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 2.91 | 7.29 |
| Outlier Loss Ratio | 3.24 | 1.01 |
| MTD | 3.15% | 0.61% |
| 3M | 4.73% | 3.13% |
| 6M | 11.92% | 4.25% |
| YTD | 13.6% | 4.91% |
| 1Y | 20.8% | 10.71% |
| 3Y (ann.) | 21.17% | 10.89% |
| 5Y (ann.) | 21.17% | 10.89% |
| 10Y (ann.) | 21.17% | 10.89% |
| All-time (ann.) | 21.17% | 10.89% |
| Best Day | 2.91% | 0.44% |
| Worst Day | -2.7% | -0.09% |
| Best Month | 10.51% | 2.08% |
| Worst Month | -4.94% | 0.36% |
| Best Year | 13.6% | 5.52% |
| Worst Year | 6.34% | 4.91% |
| Avg. Drawdown | -1.44% | -0.09% |
| Avg. Drawdown Days | 10 | 2 |
| Recovery Factor | 2.22 | 112.09 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.35 | 361.37 |
| Avg. Up Month | 2.67% | 0.83% |
| Avg. Down Month | - | - |
| Win Days | 54.44% | 89.38% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.1 |
| Correlation | - | 2.19% |
| Treynor Ratio | - | 5225.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 5.52 | 0.82 | - |
| 2026 | 13.60 | 4.91 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-09 | 2026-01-09 | -0.09 | 1 |
| 2026-01-16 | 2026-01-16 | -0.09 | 1 |
| 2026-01-30 | 2026-01-30 | -0.09 | 1 |
| 2026-02-06 | 2026-02-06 | -0.09 | 1 |
| 2026-02-13 | 2026-02-13 | -0.09 | 1 |
| 2026-02-20 | 2026-02-20 | -0.09 | 1 |
| 2026-03-03 | 2026-03-12 | -0.09 | 10 |
| 2026-03-20 | 2026-03-20 | -0.09 | 1 |
| 2026-03-27 | 2026-03-27 | -0.09 | 1 |
| 2026-04-17 | 2026-04-20 | -0.09 | 4 |