| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.22% | 5.22% |
| CAGR﹪ | 21.41% | 5.26% |
| Sharpe | 1.57 | 0.34 |
| Prob. Sharpe Ratio | 93.92% | 63.23% |
| Smart Sharpe | 1.52 | 0.33 |
| Sortino | 2.32 | 0.47 |
| Smart Sortino | 2.24 | 0.45 |
| Sortino/√2 | 1.64 | 0.33 |
| Smart Sortino/√2 | 1.58 | 0.32 |
| Omega | 1.3 | 1.06 |
| Max Drawdown | -8.88% | -20.8% |
| Max DD Date | 2026-03-30 | 2026-08-04 |
| Max DD Period Start | 2026-01-28 | 2026-05-05 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 103 |
| Volatility (ann.) | 12.86% | 22.3% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.41 | 0.25 |
| Skew | -0.2 | -0.48 |
| Kurtosis | 1.2 | 2.12 |
| Ulcer Performance Index | 10.15 | 0.63 |
| Risk-Adjusted Return | 21.41% | 5.26% |
| Risk-Return Ratio | 0.1 | 0.02 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.58% | 0.92% |
| Avg. Loss | -0.62% | -0.98% |
| Win/Loss Ratio | 0.93 | 0.95 |
| Profit Ratio | 0.88 | 0.77 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.49% | 0.39% |
| Expected Yearly | 10.1% | 2.58% |
| Kelly Criterion | 6.3% | 4.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -2.28% |
| Expected Shortfall (cVaR) | -1.72% | -3.61% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.3 | 0.06 |
| Gain/Pain (1M) | 3.03 | 0.33 |
| Payoff Ratio | 0.93 | 0.95 |
| Profit Factor | 1.3 | 1.06 |
| Common Sense Ratio | 1.29 | 1.13 |
| CPC Index | 0.66 | 0.54 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.94 | 3.59 |
| Outlier Loss Ratio | 3.24 | 4.15 |
| MTD | 3.15% | 0.15% |
| 3M | 4.73% | -10.21% |
| 6M | 11.92% | -2.52% |
| YTD | 13.6% | 3.09% |
| 1Y | 21.22% | 5.22% |
| 3Y (ann.) | 21.41% | 5.26% |
| 5Y (ann.) | 21.41% | 5.26% |
| 10Y (ann.) | 21.41% | 5.26% |
| All-time (ann.) | 21.41% | 5.26% |
| Best Day | 2.91% | 4.33% |
| Worst Day | -2.7% | -5.24% |
| Best Month | 10.51% | 8.35% |
| Worst Month | -4.94% | -10.29% |
| Best Year | 13.6% | 3.09% |
| Worst Year | 6.71% | 2.06% |
| Avg. Drawdown | -1.44% | -4.35% |
| Avg. Drawdown Days | 10 | 22 |
| Recovery Factor | 2.26 | 0.36 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 1.37 | 0.07 |
| Avg. Up Month | 2.42% | 2.57% |
| Avg. Down Month | -1.03% | -9.73% |
| Win Days | 54.8% | 53.63% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.41 |
| Alpha | - | 0.16 |
| Correlation | - | -23.37% |
| Treynor Ratio | - | -12.88% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 2.06 | 0.31 | - |
| 2026 | 13.60 | 3.09 | 0.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-08-11 | -20.80 | 99 |
| 2026-04-07 | 2026-04-27 | -8.33 | 21 |
| 2025-10-17 | 2026-01-27 | -8.22 | 103 |
| 2026-03-19 | 2026-04-01 | -6.39 | 14 |
| 2026-01-30 | 2026-02-13 | -4.76 | 15 |
| 2025-09-03 | 2025-10-06 | -3.68 | 34 |
| 2026-03-13 | 2026-03-16 | -2.00 | 4 |
| 2026-03-03 | 2026-03-09 | -1.91 | 7 |
| 2026-04-30 | 2026-05-01 | -1.51 | 2 |
| 2025-08-13 | 2025-08-14 | -0.92 | 2 |