| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 13.71% | 3.52% |
| CAGR﹪ | 30.11% | 7.34% |
| Sharpe | 1.92 | 3.37 |
| Prob. Sharpe Ratio | 90.94% | 99.2% |
| Smart Sharpe | 1.66 | 2.9 |
| Sortino | 2.97 | 5.83 |
| Smart Sortino | 2.57 | 5.03 |
| Sortino/√2 | 2.1 | 4.13 |
| Smart Sortino/√2 | 1.81 | 3.56 |
| Omega | 1.37 | 1.78 |
| Max Drawdown | -8.58% | -1.02% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-02-26 | 2026-03-12 |
| Max DD Period End | 2026-04-13 | 2026-04-07 |
| Longest DD Days | 59 | 27 |
| Volatility (ann.) | 14.22% | 2.11% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 3.51 | 7.22 |
| Skew | -0.01 | 0.29 |
| Kurtosis | 0.73 | 1.76 |
| Ulcer Performance Index | 5.39 | 15.59 |
| Risk-Adjusted Return | 30.11% | 9.18% |
| Risk-Return Ratio | 0.12 | 0.21 |
| Avg. Return | 0.12% | 0.04% |
| Avg. Win | 0.84% | 0.14% |
| Avg. Loss | -0.75% | -0.12% |
| Win/Loss Ratio | 1.11 | 1.18 |
| Profit Ratio | 0.96 | 0.38 |
| Expected Daily | 0.1% | 0.03% |
| Expected Monthly | 1.85% | 0.5% |
| Expected Yearly | 13.71% | 3.52% |
| Kelly Criterion | 13.5% | 26.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.19% |
| Expected Shortfall (cVaR) | -1.67% | -0.28% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.37 | 0.78 |
| Gain/Pain (1M) | 2.29 | 6.81 |
| Payoff Ratio | 1.11 | 1.18 |
| Profit Factor | 1.37 | 1.78 |
| Common Sense Ratio | 1.54 | 1.79 |
| CPC Index | 0.83 | 1.26 |
| Tail Ratio | 1.12 | 1.01 |
| Outlier Win Ratio | 3.24 | 4.57 |
| Outlier Loss Ratio | 2.76 | 2.22 |
| MTD | 3.15% | 0.37% |
| 3M | 4.73% | 1.72% |
| 6M | 13.71% | 3.52% |
| YTD | 13.71% | 3.52% |
| 1Y | 13.71% | 3.52% |
| 3Y (ann.) | 30.11% | 7.34% |
| 5Y (ann.) | 30.11% | 7.34% |
| 10Y (ann.) | 30.11% | 7.34% |
| All-time (ann.) | 30.11% | 7.34% |
| Best Day | 2.91% | 0.51% |
| Worst Day | -2.58% | -0.38% |
| Best Month | 10.51% | 1.52% |
| Worst Month | -4.94% | -0.51% |
| Best Year | 13.71% | 3.52% |
| Worst Year | 13.71% | 3.52% |
| Avg. Drawdown | -1.4% | -0.19% |
| Avg. Drawdown Days | 9 | 5 |
| Recovery Factor | 1.56 | 3.41 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.78 | 3.14 |
| Avg. Up Month | 3.93% | 0.74% |
| Avg. Down Month | -4.94% | -0.51% |
| Win Days | 54.47% | 60.2% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.05 |
| Correlation | - | 61.46% |
| Treynor Ratio | - | 38.57% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 3.52 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-12 | 2026-04-07 | -1.02 | 27 |
| 2026-06-17 | 2026-06-26 | -0.37 | 10 |
| 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 |
| 2026-03-06 | 2026-03-10 | -0.19 | 5 |
| 2026-02-23 | 2026-02-23 | -0.13 | 1 |
| 2026-02-27 | 2026-03-03 | -0.13 | 5 |
| 2026-07-06 | 2026-07-08 | -0.12 | 3 |