| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 44.0% |
| Cumulative Return | 13.71% | 4.16% |
| CAGR﹪ | 30.11% | 8.7% |
| Sharpe | 1.92 | 8.41 |
| Prob. Sharpe Ratio | 90.94% | 100.0% |
| Smart Sharpe | 1.44 | 6.31 |
| Sortino | 2.97 | 24.5 |
| Smart Sortino | 2.23 | 18.38 |
| Sortino/√2 | 2.1 | 17.33 |
| Smart Sortino/√2 | 1.58 | 13.0 |
| Omega | 1.37 | 7.47 |
| Max Drawdown | -8.58% | -0.09% |
| Max DD Date | 2026-03-30 | 2026-02-13 |
| Max DD Period Start | 2026-02-26 | 2026-02-13 |
| Max DD Period End | 2026-04-13 | 2026-02-13 |
| Longest DD Days | 59 | 10 |
| Volatility (ann.) | 14.22% | 0.99% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 3.51 | 96.3 |
| Skew | -0.01 | 1.1 |
| Kurtosis | 0.73 | 4.39 |
| Ulcer Performance Index | 5.39 | 153.83 |
| Risk-Adjusted Return | 30.11% | 19.77% |
| Risk-Return Ratio | 0.12 | 0.53 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.63% | 0.11% |
| Avg. Loss | -1.34% | -0.09% |
| Win/Loss Ratio | 0.47 | 1.17 |
| Profit Ratio | 0.96 | 0.03 |
| Expected Daily | 0.1% | 0.03% |
| Expected Monthly | 1.85% | 0.58% |
| Expected Yearly | 13.71% | 4.16% |
| Kelly Criterion | -41.65% | 75.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.07% |
| Expected Shortfall (cVaR) | -1.67% | -0.09% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.37 | 6.47 |
| Gain/Pain (1M) | 2.29 | - |
| Payoff Ratio | 0.47 | 1.17 |
| Profit Factor | 1.37 | 7.47 |
| Common Sense Ratio | 1.54 | 8.37 |
| CPC Index | 0.35 | 7.6 |
| Tail Ratio | 1.12 | 1.12 |
| Outlier Win Ratio | 3.24 | 4.36 |
| Outlier Loss Ratio | 2.76 | 1.0 |
| MTD | 3.15% | 0.61% |
| 3M | 4.73% | 3.13% |
| 6M | 13.71% | 4.16% |
| YTD | 13.71% | 4.16% |
| 1Y | 13.71% | 4.16% |
| 3Y (ann.) | 30.11% | 8.7% |
| 5Y (ann.) | 30.11% | 8.7% |
| 10Y (ann.) | 30.11% | 8.7% |
| All-time (ann.) | 30.11% | 8.7% |
| Best Day | 2.91% | 0.35% |
| Worst Day | -2.58% | -0.09% |
| Best Month | 10.51% | 1.07% |
| Worst Month | -4.94% | 0.18% |
| Best Year | 13.71% | 4.16% |
| Worst Year | 13.71% | 4.16% |
| Avg. Drawdown | -1.4% | -0.09% |
| Avg. Drawdown Days | 9 | 3 |
| Recovery Factor | 1.56 | 45.1 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.78 | 104.85 |
| Avg. Up Month | 3.93% | 0.53% |
| Avg. Down Month | - | - |
| Win Days | 54.47% | 87.04% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.08 |
| Correlation | - | 5.8% |
| Treynor Ratio | - | 1025.92% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 4.16 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 | 2026-03-25 | -0.09 | 6 |
| 2026-03-27 | 2026-03-27 | -0.09 | 1 |
| 2026-04-17 | 2026-04-20 | -0.09 | 4 |
| 2026-04-24 | 2026-04-24 | -0.09 | 1 |