| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 21.22% | 7.78% |
| CAGR﹪ | 21.41% | 7.84% |
| Sharpe | 1.57 | 0.97 |
| Prob. Sharpe Ratio | 93.92% | 83.5% |
| Smart Sharpe | 1.52 | 0.94 |
| Sortino | 2.32 | 1.48 |
| Smart Sortino | 2.24 | 1.43 |
| Sortino/√2 | 1.64 | 1.05 |
| Smart Sortino/√2 | 1.58 | 1.01 |
| Omega | 1.3 | 1.17 |
| Max Drawdown | -8.88% | -5.85% |
| Max DD Date | 2026-03-30 | 2025-12-09 |
| Max DD Period Start | 2026-01-28 | 2025-10-17 |
| Max DD Period End | 2026-04-13 | 2026-03-12 |
| Longest DD Days | 76 | 147 |
| Volatility (ann.) | 12.86% | 8.08% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.41 | 1.34 |
| Skew | -0.2 | 0.18 |
| Kurtosis | 1.2 | 0.16 |
| Ulcer Performance Index | 10.15 | 2.97 |
| Risk-Adjusted Return | 21.41% | 8.71% |
| Risk-Return Ratio | 0.1 | 0.06 |
| Avg. Return | 0.1% | 0.03% |
| Avg. Win | 0.64% | 0.46% |
| Avg. Loss | -0.69% | -0.44% |
| Win/Loss Ratio | 0.93 | 1.06 |
| Profit Ratio | 0.88 | 0.61 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.49% | 0.58% |
| Expected Yearly | 10.1% | 3.82% |
| Kelly Criterion | 6.4% | 9.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.81% |
| Expected Shortfall (cVaR) | -1.72% | -0.99% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.17 |
| Gain/Pain (1M) | 3.03 | 1.05 |
| Payoff Ratio | 0.93 | 1.06 |
| Profit Factor | 1.3 | 1.17 |
| Common Sense Ratio | 1.29 | 1.27 |
| CPC Index | 0.67 | 0.66 |
| Tail Ratio | 0.99 | 1.09 |
| Outlier Win Ratio | 2.94 | 3.67 |
| Outlier Loss Ratio | 3.24 | 2.47 |
| MTD | 3.15% | 2.52% |
| 3M | 4.73% | -0.68% |
| 6M | 11.92% | 6.6% |
| YTD | 13.6% | 8.65% |
| 1Y | 21.22% | 7.78% |
| 3Y (ann.) | 21.41% | 7.84% |
| 5Y (ann.) | 21.41% | 7.84% |
| 10Y (ann.) | 21.41% | 7.84% |
| All-time (ann.) | 21.41% | 7.84% |
| Best Day | 2.91% | 1.62% |
| Worst Day | -2.7% | -1.25% |
| Best Month | 10.51% | 2.79% |
| Worst Month | -4.94% | -2.24% |
| Best Year | 13.6% | 8.65% |
| Worst Year | 6.71% | -0.81% |
| Avg. Drawdown | -1.44% | -1.28% |
| Avg. Drawdown Days | 10 | 20 |
| Recovery Factor | 2.26 | 1.33 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.37 | 0.29 |
| Avg. Up Month | 3.75% | 2.16% |
| Avg. Down Month | -1.03% | -0.79% |
| Win Days | 54.8% | 53.12% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.06 |
| Correlation | - | 14.7% |
| Treynor Ratio | - | 84.14% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | -0.81 | -0.12 | - |
| 2026 | 13.60 | 8.65 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-17 | 2026-03-12 | -5.85 | 147 |
| 2026-04-30 | 2026-08-11 | -4.44 | 104 |
| 2025-08-25 | 2025-09-12 | -1.74 | 19 |
| 2025-10-06 | 2025-10-10 | -1.40 | 5 |
| 2026-03-31 | 2026-04-10 | -1.29 | 11 |
| 2026-03-23 | 2026-03-26 | -1.00 | 4 |
| 2026-04-17 | 2026-04-21 | -0.68 | 5 |
| 2025-09-17 | 2025-09-19 | -0.61 | 3 |
| 2025-10-02 | 2025-10-02 | -0.50 | 1 |
| 2025-08-14 | 2025-08-14 | -0.41 | 1 |