| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 13.71% | 6.38% |
| CAGR﹪ | 30.11% | 13.51% |
| Sharpe | 1.92 | 1.59 |
| Prob. Sharpe Ratio | 90.94% | 86.85% |
| Smart Sharpe | 1.79 | 1.48 |
| Sortino | 2.97 | 2.54 |
| Smart Sortino | 2.77 | 2.36 |
| Sortino/√2 | 2.1 | 1.79 |
| Smart Sortino/√2 | 1.96 | 1.67 |
| Omega | 1.37 | 1.29 |
| Max Drawdown | -8.58% | -4.44% |
| Max DD Date | 2026-03-30 | 2026-07-30 |
| Max DD Period Start | 2026-02-26 | 2026-04-30 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 104 |
| Volatility (ann.) | 14.22% | 8.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 3.51 | 3.04 |
| Skew | -0.01 | 0.24 |
| Kurtosis | 0.73 | -0.08 |
| Ulcer Performance Index | 5.39 | 3.28 |
| Risk-Adjusted Return | 30.11% | 14.69% |
| Risk-Return Ratio | 0.12 | 0.1 |
| Avg. Return | 0.13% | 0.06% |
| Avg. Win | 0.72% | 0.48% |
| Avg. Loss | -0.71% | -0.42% |
| Win/Loss Ratio | 1.02 | 1.15 |
| Profit Ratio | 0.96 | 0.74 |
| Expected Daily | 0.1% | 0.05% |
| Expected Monthly | 1.85% | 0.89% |
| Expected Yearly | 13.71% | 6.38% |
| Kelly Criterion | 9.94% | 12.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.8% |
| Expected Shortfall (cVaR) | -1.67% | -0.91% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.37 | 0.29 |
| Gain/Pain (1M) | 2.29 | 1.72 |
| Payoff Ratio | 1.02 | 1.15 |
| Profit Factor | 1.37 | 1.29 |
| Common Sense Ratio | 1.54 | 1.64 |
| CPC Index | 0.76 | 0.78 |
| Tail Ratio | 1.12 | 1.27 |
| Outlier Win Ratio | 3.24 | 3.19 |
| Outlier Loss Ratio | 2.76 | 2.34 |
| MTD | 3.15% | 2.52% |
| 3M | 4.73% | -0.68% |
| 6M | 13.71% | 6.38% |
| YTD | 13.71% | 6.38% |
| 1Y | 13.71% | 6.38% |
| 3Y (ann.) | 30.11% | 13.51% |
| 5Y (ann.) | 30.11% | 13.51% |
| 10Y (ann.) | 30.11% | 13.51% |
| All-time (ann.) | 30.11% | 13.51% |
| Best Day | 2.91% | 1.61% |
| Worst Day | -2.58% | -1.0% |
| Best Month | 10.51% | 2.79% |
| Worst Month | -4.94% | -1.49% |
| Best Year | 13.71% | 6.38% |
| Worst Year | 13.71% | 6.38% |
| Avg. Drawdown | -1.4% | -1.01% |
| Avg. Drawdown Days | 9 | 14 |
| Recovery Factor | 1.56 | 1.43 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.78 | 0.42 |
| Avg. Up Month | 4.78% | 2.61% |
| Avg. Down Month | -1.03% | -0.79% |
| Win Days | 54.47% | 53.1% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.14 |
| Correlation | - | -6.35% |
| Treynor Ratio | - | -174.19% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 6.38 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-30 | 2026-08-11 | -4.44 | 104 |
| 2026-03-05 | 2026-03-12 | -1.33 | 8 |
| 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 |
| 2026-03-02 | 2026-03-03 | -0.41 | 2 |
| 2026-02-24 | 2026-02-24 | -0.31 | 1 |
| 2026-03-16 | 2026-03-17 | -0.30 | 2 |
| 2026-02-17 | 2026-02-17 | -0.21 | 1 |
| 2026-03-19 | 2026-03-19 | -0.10 | 1 |