| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 21.22% | 27.69% |
| CAGR﹪ | 21.41% | 27.94% |
| Sharpe | 1.57 | 1.99 |
| Prob. Sharpe Ratio | 93.92% | 97.12% |
| Smart Sharpe | 1.44 | 1.83 |
| Sortino | 2.32 | 2.88 |
| Smart Sortino | 2.13 | 2.65 |
| Sortino/√2 | 1.64 | 2.04 |
| Smart Sortino/√2 | 1.51 | 1.87 |
| Omega | 1.3 | 1.44 |
| Max Drawdown | -8.88% | -6.1% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-06-01 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.86% | 12.78% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.41 | 4.58 |
| Skew | -0.2 | -0.59 |
| Kurtosis | 1.2 | 4.6 |
| Ulcer Performance Index | 10.15 | 15.12 |
| Risk-Adjusted Return | 21.41% | 28.22% |
| Risk-Return Ratio | 0.1 | 0.13 |
| Avg. Return | 0.08% | 0.1% |
| Avg. Win | 0.62% | 0.63% |
| Avg. Loss | -0.66% | -0.7% |
| Win/Loss Ratio | 0.94 | 0.9 |
| Profit Ratio | 0.88 | 0.6 |
| Expected Daily | 0.08% | 0.1% |
| Expected Monthly | 1.49% | 1.9% |
| Expected Yearly | 10.1% | 13.0% |
| Kelly Criterion | 6.64% | 16.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.22% |
| Expected Shortfall (cVaR) | -1.72% | -2.03% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.3 | 0.44 |
| Gain/Pain (1M) | 3.03 | 5.66 |
| Payoff Ratio | 0.94 | 0.9 |
| Profit Factor | 1.3 | 1.44 |
| Common Sense Ratio | 1.29 | 1.53 |
| CPC Index | 0.67 | 0.79 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 2.94 | 3.61 |
| Outlier Loss Ratio | 3.24 | 4.41 |
| MTD | 3.15% | 1.33% |
| 3M | 4.73% | 2.6% |
| 6M | 11.92% | 3.58% |
| YTD | 13.6% | 12.66% |
| 1Y | 21.22% | 27.69% |
| 3Y (ann.) | 21.41% | 27.94% |
| 5Y (ann.) | 21.41% | 27.94% |
| 10Y (ann.) | 21.41% | 27.94% |
| All-time (ann.) | 21.41% | 27.94% |
| Best Day | 2.91% | 3.29% |
| Worst Day | -2.7% | -3.58% |
| Best Month | 10.51% | 7.81% |
| Worst Month | -4.94% | -3.82% |
| Best Year | 13.6% | 13.34% |
| Worst Year | 6.71% | 12.66% |
| Avg. Drawdown | -1.44% | -1.49% |
| Avg. Drawdown Days | 10 | 13 |
| Recovery Factor | 2.26 | 4.14 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 2.63 |
| Avg. Up Month | 2.7% | 2.19% |
| Avg. Down Month | -2.98% | -2.29% |
| Win Days | 54.8% | 60.32% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.35 |
| Alpha | - | 0.18 |
| Correlation | - | 34.8% |
| Treynor Ratio | - | 80.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 13.34 | 1.99 | + |
| 2026 | 13.60 | 12.66 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-01 | -6.10 | 92 |
| 2025-10-09 | 2025-10-17 | -4.70 | 9 |
| 2026-01-30 | 2026-02-06 | -3.71 | 8 |
| 2026-06-04 | 2026-07-20 | -3.69 | 47 |
| 2026-07-24 | 2026-08-11 | -2.73 | 19 |
| 2025-10-21 | 2025-11-11 | -2.30 | 22 |
| 2025-11-13 | 2025-11-25 | -2.01 | 13 |
| 2026-02-12 | 2026-02-19 | -1.53 | 8 |
| 2025-12-29 | 2026-01-08 | -1.36 | 11 |
| 2025-08-14 | 2025-08-21 | -1.04 | 8 |