| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 21.22% | 36.29% |
| CAGR﹪ | 21.41% | 36.63% |
| Sharpe | 1.57 | 2.35 |
| Prob. Sharpe Ratio | 93.92% | 99.02% |
| Smart Sharpe | 1.5 | 2.25 |
| Sortino | 2.32 | 3.73 |
| Smart Sortino | 2.22 | 3.56 |
| Sortino/√2 | 1.64 | 2.64 |
| Smart Sortino/√2 | 1.57 | 2.52 |
| Omega | 1.3 | 1.46 |
| Max Drawdown | -8.88% | -4.85% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-06 |
| Longest DD Days | 76 | 57 |
| Volatility (ann.) | 12.86% | 13.69% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.41 | 7.55 |
| Skew | -0.2 | -0.03 |
| Kurtosis | 1.2 | 0.45 |
| Ulcer Performance Index | 10.15 | 24.48 |
| Risk-Adjusted Return | 21.41% | 37.0% |
| Risk-Return Ratio | 0.1 | 0.15 |
| Avg. Return | 0.08% | 0.13% |
| Avg. Win | 0.69% | 0.78% |
| Avg. Loss | -0.7% | -0.72% |
| Win/Loss Ratio | 0.99 | 1.09 |
| Profit Ratio | 0.88 | 0.79 |
| Expected Daily | 0.08% | 0.12% |
| Expected Monthly | 1.49% | 2.41% |
| Expected Yearly | 10.1% | 16.75% |
| Kelly Criterion | 9.28% | 17.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.29% |
| Expected Shortfall (cVaR) | -1.72% | -1.75% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.3 | 0.46 |
| Gain/Pain (1M) | 3.03 | 8.34 |
| Payoff Ratio | 0.99 | 1.09 |
| Profit Factor | 1.3 | 1.46 |
| Common Sense Ratio | 1.29 | 1.7 |
| CPC Index | 0.71 | 0.91 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.94 | 3.39 |
| Outlier Loss Ratio | 3.24 | 3.22 |
| MTD | 3.15% | -1.82% |
| 3M | 4.73% | 1.09% |
| 6M | 11.92% | 18.46% |
| YTD | 13.6% | 22.1% |
| 1Y | 21.22% | 36.29% |
| 3Y (ann.) | 21.41% | 36.63% |
| 5Y (ann.) | 21.41% | 36.63% |
| 10Y (ann.) | 21.41% | 36.63% |
| All-time (ann.) | 21.41% | 36.63% |
| Best Day | 2.91% | 2.59% |
| Worst Day | -2.7% | -2.41% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -4.94% | -1.82% |
| Best Year | 13.6% | 22.1% |
| Worst Year | 6.71% | 11.63% |
| Avg. Drawdown | -1.44% | -1.52% |
| Avg. Drawdown Days | 10 | 9 |
| Recovery Factor | 2.26 | 6.58 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 5.45 |
| Avg. Up Month | 3.35% | 4.94% |
| Avg. Down Month | -4.94% | -1.02% |
| Win Days | 54.8% | 57.09% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.78 |
| Alpha | - | 0.16 |
| Correlation | - | 73.14% |
| Treynor Ratio | - | 46.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 11.63 | 1.73 | + |
| 2026 | 13.60 | 22.10 | 1.63 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-06 | -4.85 | 40 |
| 2025-11-11 | 2025-11-26 | -4.40 | 16 |
| 2026-06-16 | 2026-08-11 | -3.45 | 57 |
| 2025-09-22 | 2025-10-23 | -3.21 | 32 |
| 2026-06-04 | 2026-06-12 | -3.14 | 9 |
| 2026-02-03 | 2026-02-05 | -2.62 | 3 |
| 2025-12-12 | 2025-12-18 | -2.36 | 7 |
| 2025-08-13 | 2025-09-03 | -2.10 | 22 |
| 2026-05-15 | 2026-05-22 | -1.74 | 8 |
| 2026-02-09 | 2026-02-19 | -1.64 | 11 |