| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 21.22% | 5.03% |
| CAGR﹪ | 21.41% | 5.07% |
| Sharpe | 1.57 | 0.88 |
| Prob. Sharpe Ratio | 93.92% | 81.1% |
| Smart Sharpe | 1.56 | 0.87 |
| Sortino | 2.32 | 1.36 |
| Smart Sortino | 2.31 | 1.35 |
| Sortino/√2 | 1.64 | 0.96 |
| Smart Sortino/√2 | 1.63 | 0.95 |
| Omega | 1.3 | 1.16 |
| Max Drawdown | -8.88% | -6.47% |
| Max DD Date | 2026-03-30 | 2026-04-06 |
| Max DD Period Start | 2026-01-28 | 2026-01-14 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 210 |
| Volatility (ann.) | 12.86% | 5.82% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.41 | 0.78 |
| Skew | -0.2 | 0.34 |
| Kurtosis | 1.2 | 1.11 |
| Ulcer Performance Index | 10.15 | 1.74 |
| Risk-Adjusted Return | 21.41% | 5.63% |
| Risk-Return Ratio | 0.1 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.63% | 0.36% |
| Avg. Loss | -0.67% | -0.32% |
| Win/Loss Ratio | 0.94 | 1.13 |
| Profit Ratio | 0.88 | 0.72 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.49% | 0.38% |
| Expected Yearly | 10.1% | 2.48% |
| Kelly Criterion | 6.55% | 7.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.58% |
| Expected Shortfall (cVaR) | -1.72% | -0.75% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.16 |
| Gain/Pain (1M) | 3.03 | 0.68 |
| Payoff Ratio | 0.94 | 1.13 |
| Profit Factor | 1.3 | 1.16 |
| Common Sense Ratio | 1.29 | 1.38 |
| CPC Index | 0.67 | 0.67 |
| Tail Ratio | 0.99 | 1.19 |
| Outlier Win Ratio | 2.94 | 3.88 |
| Outlier Loss Ratio | 3.24 | 2.75 |
| MTD | 3.15% | -1.96% |
| 3M | 4.73% | 0.19% |
| 6M | 11.92% | -2.6% |
| YTD | 13.6% | -3.31% |
| 1Y | 21.22% | 5.03% |
| 3Y (ann.) | 21.41% | 5.07% |
| 5Y (ann.) | 21.41% | 5.07% |
| 10Y (ann.) | 21.41% | 5.07% |
| All-time (ann.) | 21.41% | 5.07% |
| Best Day | 2.91% | 1.36% |
| Worst Day | -2.7% | -1.14% |
| Best Month | 10.51% | 3.94% |
| Worst Month | -4.94% | -3.64% |
| Best Year | 13.6% | 8.63% |
| Worst Year | 6.71% | -3.31% |
| Avg. Drawdown | -1.44% | -0.72% |
| Avg. Drawdown Days | 10 | 16 |
| Recovery Factor | 2.26 | 0.78 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.37 | 0.11 |
| Avg. Up Month | 2.45% | 1.49% |
| Avg. Down Month | -2.9% | -2.33% |
| Win Days | 54.8% | 50.89% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.03 |
| Correlation | - | 19.07% |
| Treynor Ratio | - | 58.27% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 8.63 | 1.29 | + |
| 2026 | 13.60 | -3.31 | -0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-08-11 | -6.47 | 210 |
| 2025-10-17 | 2025-10-29 | -1.25 | 13 |
| 2025-11-18 | 2025-12-09 | -1.22 | 22 |
| 2025-08-13 | 2025-08-27 | -0.80 | 15 |
| 2025-11-04 | 2025-11-11 | -0.76 | 8 |
| 2025-09-23 | 2025-10-02 | -0.68 | 10 |
| 2025-10-10 | 2025-10-10 | -0.39 | 1 |
| 2025-11-13 | 2025-11-14 | -0.38 | 2 |
| 2025-09-08 | 2025-09-08 | -0.30 | 1 |
| 2025-12-12 | 2025-12-15 | -0.24 | 4 |