| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 20.81% | 6.65% |
| CAGR﹪ | 21.09% | 6.73% |
| Sharpe | 1.55 | 3.56 |
| Prob. Sharpe Ratio | 93.61% | 99.98% |
| Smart Sharpe | 1.28 | 2.95 |
| Sortino | 2.29 | 5.99 |
| Smart Sortino | 1.89 | 4.97 |
| Sortino/√2 | 1.62 | 4.24 |
| Smart Sortino/√2 | 1.34 | 3.51 |
| Omega | 1.3 | 1.91 |
| Max Drawdown | -8.88% | -1.02% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-03-12 |
| Max DD Period End | 2026-04-13 | 2026-04-07 |
| Longest DD Days | 76 | 27 |
| Volatility (ann.) | 12.88% | 1.84% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.37 | 6.62 |
| Skew | -0.2 | 0.19 |
| Kurtosis | 1.19 | 2.92 |
| Ulcer Performance Index | 9.93 | 38.33 |
| Risk-Adjusted Return | 21.09% | 9.35% |
| Risk-Return Ratio | 0.1 | 0.22 |
| Avg. Return | 0.09% | 0.04% |
| Avg. Win | 0.74% | 0.12% |
| Avg. Loss | -0.85% | -0.12% |
| Win/Loss Ratio | 0.87 | 1.01 |
| Profit Ratio | 0.89 | 0.2 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.46% | 0.5% |
| Expected Yearly | 9.91% | 3.27% |
| Kelly Criterion | 2.47% | 31.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.16% |
| Expected Shortfall (cVaR) | -1.72% | -0.23% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.3 | 0.91 |
| Gain/Pain (1M) | 2.97 | 12.66 |
| Payoff Ratio | 0.87 | 1.01 |
| Profit Factor | 1.3 | 1.91 |
| Common Sense Ratio | 1.29 | 1.93 |
| CPC Index | 0.62 | 1.27 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.93 | 5.74 |
| Outlier Loss Ratio | 3.24 | 2.19 |
| MTD | 3.15% | 0.37% |
| 3M | 4.73% | 1.72% |
| 6M | 11.92% | 3.39% |
| YTD | 13.6% | 4.11% |
| 1Y | 20.81% | 6.65% |
| 3Y (ann.) | 21.09% | 6.73% |
| 5Y (ann.) | 21.09% | 6.73% |
| 10Y (ann.) | 21.09% | 6.73% |
| All-time (ann.) | 21.09% | 6.73% |
| Best Day | 2.91% | 0.51% |
| Worst Day | -2.7% | -0.38% |
| Best Month | 10.51% | 1.52% |
| Worst Month | -4.94% | -0.51% |
| Best Year | 13.6% | 4.11% |
| Worst Year | 6.35% | 2.44% |
| Avg. Drawdown | -1.44% | -0.17% |
| Avg. Drawdown Days | 10 | 5 |
| Recovery Factor | 2.22 | 6.34 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.35 | 7.31 |
| Avg. Up Month | 2.67% | 0.65% |
| Avg. Down Month | -4.94% | -0.51% |
| Win Days | 54.62% | 65.73% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.05 |
| Correlation | - | 62.18% |
| Treynor Ratio | - | 75.0% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 2.44 | 0.36 | - |
| 2026 | 13.60 | 4.11 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-12 | 2026-04-07 | -1.02 | 27 |
| 2025-12-15 | 2025-12-17 | -0.39 | 3 |
| 2026-06-17 | 2026-06-26 | -0.37 | 10 |
| 2025-10-30 | 2025-11-25 | -0.32 | 27 |
| 2026-04-20 | 2026-04-21 | -0.25 | 2 |
| 2026-04-30 | 2026-05-05 | -0.25 | 6 |
| 2026-06-08 | 2026-06-12 | -0.25 | 5 |
| 2026-07-17 | 2026-07-30 | -0.25 | 14 |
| 2025-10-10 | 2025-10-10 | -0.19 | 1 |
| 2026-02-04 | 2026-02-06 | -0.19 | 3 |