| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 13.71% | 18.42% |
| CAGR﹪ | 30.11% | 41.39% |
| Sharpe | 1.92 | 2.44 |
| Prob. Sharpe Ratio | 90.94% | 95.63% |
| Smart Sharpe | 1.91 | 2.43 |
| Sortino | 2.97 | 3.95 |
| Smart Sortino | 2.96 | 3.93 |
| Sortino/√2 | 2.1 | 2.79 |
| Smart Sortino/√2 | 2.09 | 2.78 |
| Omega | 1.37 | 1.48 |
| Max Drawdown | -8.58% | -4.85% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-02-26 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-06 |
| Longest DD Days | 59 | 57 |
| Volatility (ann.) | 14.22% | 14.62% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 3.51 | 8.53 |
| Skew | -0.01 | 0.05 |
| Kurtosis | 0.73 | 0.31 |
| Ulcer Performance Index | 5.39 | 10.72 |
| Risk-Adjusted Return | 30.11% | 41.81% |
| Risk-Return Ratio | 0.12 | 0.15 |
| Avg. Return | 0.11% | 0.14% |
| Avg. Win | 0.8% | 0.85% |
| Avg. Loss | -0.79% | -0.81% |
| Win/Loss Ratio | 1.01 | 1.05 |
| Profit Ratio | 0.96 | 0.69 |
| Expected Daily | 0.1% | 0.14% |
| Expected Monthly | 1.85% | 2.44% |
| Expected Yearly | 13.71% | 18.42% |
| Kelly Criterion | 9.46% | 19.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -1.37% |
| Expected Shortfall (cVaR) | -1.67% | -1.74% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.37 | 0.48 |
| Gain/Pain (1M) | 2.29 | 5.68 |
| Payoff Ratio | 1.01 | 1.05 |
| Profit Factor | 1.37 | 1.48 |
| Common Sense Ratio | 1.54 | 1.8 |
| CPC Index | 0.76 | 0.91 |
| Tail Ratio | 1.12 | 1.22 |
| Outlier Win Ratio | 3.24 | 3.28 |
| Outlier Loss Ratio | 2.76 | 2.83 |
| MTD | 3.15% | -1.82% |
| 3M | 4.73% | 1.09% |
| 6M | 13.71% | 18.42% |
| YTD | 13.71% | 18.42% |
| 1Y | 13.71% | 18.42% |
| 3Y (ann.) | 30.11% | 41.39% |
| 5Y (ann.) | 30.11% | 41.39% |
| 10Y (ann.) | 30.11% | 41.39% |
| All-time (ann.) | 30.11% | 41.39% |
| Best Day | 2.91% | 2.59% |
| Worst Day | -2.58% | -2.41% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -4.94% | -1.82% |
| Best Year | 13.71% | 18.42% |
| Worst Year | 13.71% | 18.42% |
| Avg. Drawdown | -1.4% | -1.52% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 1.56 | 3.59 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.78 | 2.48 |
| Avg. Up Month | 5.49% | 6.7% |
| Avg. Down Month | -4.94% | -1.02% |
| Win Days | 54.47% | 58.68% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.76 |
| Alpha | - | 0.15 |
| Correlation | - | 74.41% |
| Treynor Ratio | - | 24.08% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 18.42 | 1.34 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-06 | -4.85 | 40 |
| 2026-06-16 | 2026-08-11 | -3.45 | 57 |
| 2026-06-04 | 2026-06-12 | -3.14 | 9 |
| 2026-05-15 | 2026-05-22 | -1.74 | 8 |
| 2026-02-23 | 2026-02-24 | -1.15 | 2 |
| 2026-05-07 | 2026-05-07 | -1.13 | 1 |
| 2026-04-28 | 2026-04-29 | -0.67 | 2 |
| 2026-04-23 | 2026-04-24 | -0.62 | 2 |
| 2026-04-15 | 2026-04-16 | -0.59 | 2 |
| 2026-05-12 | 2026-05-12 | -0.39 | 1 |