| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.71% | -2.39% |
| CAGR﹪ | 30.11% | -4.83% |
| Sharpe | 1.92 | -0.04 |
| Prob. Sharpe Ratio | 90.94% | 48.99% |
| Smart Sharpe | 1.84 | -0.03 |
| Sortino | 2.97 | -0.05 |
| Smart Sortino | 2.84 | -0.05 |
| Sortino/√2 | 2.1 | -0.03 |
| Smart Sortino/√2 | 2.01 | -0.03 |
| Omega | 1.37 | 0.99 |
| Max Drawdown | -8.58% | -20.8% |
| Max DD Date | 2026-03-30 | 2026-08-04 |
| Max DD Period Start | 2026-02-26 | 2026-05-05 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 99 |
| Volatility (ann.) | 14.22% | 28.09% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 3.51 | -0.23 |
| Skew | -0.01 | -0.39 |
| Kurtosis | 0.73 | 0.86 |
| Ulcer Performance Index | 5.39 | -0.22 |
| Risk-Adjusted Return | 30.11% | -4.83% |
| Risk-Return Ratio | 0.12 | -0.0 |
| Avg. Return | 0.11% | -0.0% |
| Avg. Win | 0.53% | 1.07% |
| Avg. Loss | -0.58% | -1.03% |
| Win/Loss Ratio | 0.92 | 1.04 |
| Profit Ratio | 0.96 | 0.79 |
| Expected Daily | 0.1% | -0.02% |
| Expected Monthly | 1.85% | -0.34% |
| Expected Yearly | 13.71% | -2.39% |
| Kelly Criterion | 4.83% | 6.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -2.92% |
| Expected Shortfall (cVaR) | -1.67% | -4.1% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.37 | -0.01 |
| Gain/Pain (1M) | 2.29 | -0.02 |
| Payoff Ratio | 0.92 | 1.04 |
| Profit Factor | 1.37 | 0.99 |
| Common Sense Ratio | 1.54 | 0.84 |
| CPC Index | 0.69 | 0.54 |
| Tail Ratio | 1.12 | 0.84 |
| Outlier Win Ratio | 3.24 | 3.3 |
| Outlier Loss Ratio | 2.76 | 3.44 |
| MTD | 3.15% | 0.15% |
| 3M | 4.73% | -10.21% |
| 6M | 13.71% | -2.39% |
| YTD | 13.71% | -2.39% |
| 1Y | 13.71% | -2.39% |
| 3Y (ann.) | 30.11% | -4.83% |
| 5Y (ann.) | 30.11% | -4.83% |
| 10Y (ann.) | 30.11% | -4.83% |
| All-time (ann.) | 30.11% | -4.83% |
| Best Day | 2.91% | 4.33% |
| Worst Day | -2.58% | -5.24% |
| Best Month | 10.51% | 7.58% |
| Worst Month | -4.94% | -10.29% |
| Best Year | 13.71% | -2.39% |
| Worst Year | 13.71% | -2.39% |
| Avg. Drawdown | -1.4% | -5.92% |
| Avg. Drawdown Days | 9 | 21 |
| Recovery Factor | 1.56 | 0.02 |
| Ulcer Index | 0.03 | 0.11 |
| Serenity Index | 0.78 | -0.0 |
| Avg. Up Month | 3.6% | 4.7% |
| Avg. Down Month | -1.03% | -9.73% |
| Win Days | 54.47% | 52.46% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.8 |
| Alpha | - | 0.21 |
| Correlation | - | -40.52% |
| Treynor Ratio | - | 2.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | -2.39 | -0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-08-11 | -20.80 | 99 |
| 2026-04-07 | 2026-04-27 | -8.33 | 21 |
| 2026-03-19 | 2026-04-01 | -6.39 | 14 |
| 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 |
| 2026-03-11 | 2026-03-11 | -0.53 | 1 |