| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 43.52% | 162.89% |
| CAGR﹪ | 20.74% | 65.58% |
| Sharpe | 1.21 | 1.65 |
| Prob. Sharpe Ratio | 95.7% | 98.76% |
| Smart Sharpe | 1.08 | 1.47 |
| Sortino | 1.81 | 2.47 |
| Smart Sortino | 1.62 | 2.21 |
| Sortino/√2 | 1.28 | 1.75 |
| Smart Sortino/√2 | 1.14 | 1.56 |
| Omega | 1.26 | 1.35 |
| Max Drawdown | -18.76% | -26.25% |
| Max DD Date | 2025-04-08 | 2026-07-29 |
| Max DD Period Start | 2025-02-20 | 2026-06-23 |
| Max DD Period End | 2025-06-25 | 2026-08-11 |
| Longest DD Days | 126 | 228 |
| Volatility (ann.) | 16.8% | 34.14% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 1.11 | 2.5 |
| Skew | 1.15 | -0.24 |
| Kurtosis | 22.42 | 4.24 |
| Ulcer Performance Index | 11.65 | 23.03 |
| Risk-Adjusted Return | 20.74% | 65.58% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.08% | 0.22% |
| Avg. Win | 0.78% | 1.78% |
| Avg. Loss | -0.88% | -1.79% |
| Win/Loss Ratio | 0.88 | 0.99 |
| Profit Ratio | 0.75 | 0.81 |
| Expected Daily | 0.07% | 0.2% |
| Expected Monthly | 1.52% | 4.11% |
| Expected Yearly | 12.8% | 38.02% |
| Kelly Criterion | 7.33% | 12.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -3.31% |
| Expected Shortfall (cVaR) | -2.57% | -5.38% |
| Max Consecutive Wins | 9 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.26 | 0.35 |
| Gain/Pain (1M) | 2.34 | 2.71 |
| Payoff Ratio | 0.88 | 0.99 |
| Profit Factor | 1.26 | 1.35 |
| Common Sense Ratio | 1.24 | 1.65 |
| CPC Index | 0.63 | 0.76 |
| Tail Ratio | 0.98 | 1.22 |
| Outlier Win Ratio | 3.66 | 3.8 |
| Outlier Loss Ratio | 3.81 | 4.17 |
| MTD | 3.15% | 0.94% |
| 3M | 4.73% | -4.47% |
| 6M | 11.92% | 30.09% |
| YTD | 13.6% | 55.2% |
| 1Y | 22.27% | 108.86% |
| 3Y (ann.) | 20.74% | 65.58% |
| 5Y (ann.) | 20.74% | 65.58% |
| 10Y (ann.) | 20.74% | 65.58% |
| All-time (ann.) | 20.74% | 65.58% |
| Best Day | 10.5% | 9.07% |
| Worst Day | -5.85% | -11.57% |
| Best Month | 10.51% | 24.41% |
| Worst Month | -5.57% | -15.17% |
| Best Year | 17.72% | 69.78% |
| Worst Year | 7.32% | -0.23% |
| Avg. Drawdown | -1.62% | -3.99% |
| Avg. Drawdown Days | 11 | 15 |
| Recovery Factor | 2.07 | 4.11 |
| Ulcer Index | 0.04 | 0.07 |
| Serenity Index | 1.07 | 1.89 |
| Avg. Up Month | 3.94% | 10.93% |
| Avg. Down Month | -2.28% | -4.56% |
| Win Days | 56.52% | 56.31% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 100.0% | 66.67% |
| Beta | - | 1.25 |
| Alpha | - | 0.31 |
| Correlation | - | 61.74% |
| Treynor Ratio | - | 129.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 7.32 | -0.23 | -0.03 | - |
| 2025 | 17.72 | 69.78 | 3.94 | + |
| 2026 | 13.60 | 55.20 | 4.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-08-11 | -26.25 | 50 |
| 2024-09-27 | 2025-05-12 | -19.24 | 228 |
| 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 |
| 2025-07-11 | 2025-08-12 | -3.83 | 33 |
| 2026-01-29 | 2026-02-06 | -3.20 | 9 |
| 2025-08-14 | 2025-09-04 | -3.19 | 22 |