| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.22% | 105.57% |
| CAGR﹪ | 21.41% | 106.76% |
| Sharpe | 1.57 | 1.99 |
| Prob. Sharpe Ratio | 93.92% | 97.21% |
| Smart Sharpe | 1.41 | 1.78 |
| Sortino | 2.32 | 2.94 |
| Smart Sortino | 2.07 | 2.63 |
| Sortino/√2 | 1.64 | 2.08 |
| Smart Sortino/√2 | 1.47 | 1.86 |
| Omega | 1.3 | 1.41 |
| Max Drawdown | -8.88% | -26.25% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 51 |
| Volatility (ann.) | 12.86% | 40.79% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | 0.12 | 0.12 |
| Calmar | 2.41 | 4.07 |
| Skew | -0.2 | -0.48 |
| Kurtosis | 1.2 | 2.84 |
| Ulcer Performance Index | 10.15 | 13.32 |
| Risk-Adjusted Return | 21.41% | 106.76% |
| Risk-Return Ratio | 0.1 | 0.13 |
| Avg. Return | 0.08% | 0.32% |
| Avg. Win | 0.7% | 2.17% |
| Avg. Loss | -0.73% | -2.05% |
| Win/Loss Ratio | 0.96 | 1.06 |
| Profit Ratio | 0.88 | 0.77 |
| Expected Daily | 0.08% | 0.29% |
| Expected Monthly | 1.49% | 5.7% |
| Expected Yearly | 10.1% | 43.38% |
| Kelly Criterion | 7.92% | 17.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -3.9% |
| Expected Shortfall (cVaR) | -1.72% | -6.11% |
| Max Consecutive Wins | 7 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.41 |
| Gain/Pain (1M) | 3.03 | 2.65 |
| Payoff Ratio | 0.96 | 1.06 |
| Profit Factor | 1.3 | 1.41 |
| Common Sense Ratio | 1.29 | 1.56 |
| CPC Index | 0.69 | 0.87 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.94 | 3.18 |
| Outlier Loss Ratio | 3.24 | 4.05 |
| MTD | 3.15% | 0.94% |
| 3M | 4.73% | -4.47% |
| 6M | 11.92% | 30.09% |
| YTD | 13.6% | 55.2% |
| 1Y | 21.22% | 105.57% |
| 3Y (ann.) | 21.41% | 106.76% |
| 5Y (ann.) | 21.41% | 106.76% |
| 10Y (ann.) | 21.41% | 106.76% |
| All-time (ann.) | 21.41% | 106.76% |
| Best Day | 2.91% | 8.82% |
| Worst Day | -2.7% | -11.57% |
| Best Month | 10.51% | 24.41% |
| Worst Month | -4.94% | -15.17% |
| Best Year | 13.6% | 55.2% |
| Worst Year | 6.71% | 32.45% |
| Avg. Drawdown | -1.44% | -4.33% |
| Avg. Drawdown Days | 10 | 10 |
| Recovery Factor | 2.26 | 3.06 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 1.37 | 1.37 |
| Avg. Up Month | 3.35% | 12.01% |
| Avg. Down Month | -4.94% | -13.54% |
| Win Days | 54.8% | 57.6% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.19 |
| Alpha | - | 0.37 |
| Correlation | - | 68.91% |
| Treynor Ratio | - | 48.29% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 32.45 | 4.83 | + |
| 2026 | 13.60 | 55.20 | 4.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-08-11 | -26.25 | 50 |
| 2026-02-26 | 2026-04-16 | -17.91 | 50 |
| 2026-06-03 | 2026-06-17 | -14.27 | 15 |
| 2026-05-12 | 2026-05-22 | -8.74 | 11 |
| 2025-11-04 | 2025-12-24 | -7.09 | 51 |
| 2025-10-07 | 2025-10-16 | -5.68 | 10 |
| 2026-01-29 | 2026-02-06 | -3.20 | 9 |
| 2025-08-14 | 2025-09-04 | -3.19 | 22 |
| 2026-04-20 | 2026-04-21 | -2.49 | 2 |
| 2025-09-24 | 2025-09-30 | -2.43 | 7 |