| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 43.68% | 5.13% |
| CAGR﹪ | 18.88% | 2.42% |
| Sharpe | 1.11 | 0.46 |
| Prob. Sharpe Ratio | 95.02% | 74.88% |
| Smart Sharpe | 1.08 | 0.45 |
| Sortino | 1.65 | 0.67 |
| Smart Sortino | 1.6 | 0.65 |
| Sortino/√2 | 1.17 | 0.47 |
| Smart Sortino/√2 | 1.13 | 0.46 |
| Omega | 1.24 | 1.08 |
| Max Drawdown | -18.76% | -6.47% |
| Max DD Date | 2025-04-08 | 2026-04-06 |
| Max DD Period Start | 2025-02-20 | 2026-01-14 |
| Max DD Period End | 2025-06-25 | 2026-08-11 |
| Longest DD Days | 126 | 428 |
| Volatility (ann.) | 16.82% | 5.48% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.01 | 0.37 |
| Skew | 1.0 | 0.05 |
| Kurtosis | 20.43 | 1.23 |
| Ulcer Performance Index | 11.74 | 1.47 |
| Risk-Adjusted Return | 18.88% | 2.75% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.75% | 0.32% |
| Avg. Loss | -0.83% | -0.35% |
| Win/Loss Ratio | 0.91 | 0.91 |
| Profit Ratio | 0.73 | 0.56 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.4% | 0.19% |
| Expected Yearly | 12.84% | 1.68% |
| Kelly Criterion | 8.8% | -0.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -0.56% |
| Expected Shortfall (cVaR) | -2.52% | -0.75% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.24 | 0.08 |
| Gain/Pain (1M) | 2.36 | 0.41 |
| Payoff Ratio | 0.91 | 0.91 |
| Profit Factor | 1.24 | 1.08 |
| Common Sense Ratio | 1.21 | 1.13 |
| CPC Index | 0.63 | 0.51 |
| Tail Ratio | 0.98 | 1.04 |
| Outlier Win Ratio | 3.56 | 4.14 |
| Outlier Loss Ratio | 3.72 | 2.85 |
| MTD | 3.15% | -1.96% |
| 3M | 4.73% | 0.19% |
| 6M | 11.92% | -2.6% |
| YTD | 13.6% | -3.31% |
| 1Y | 22.27% | 5.45% |
| 3Y (ann.) | 18.88% | 2.42% |
| 5Y (ann.) | 18.88% | 2.42% |
| 10Y (ann.) | 18.88% | 2.42% |
| All-time (ann.) | 18.88% | 2.42% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -5.85% | -1.32% |
| Best Month | 10.51% | 3.94% |
| Worst Month | -5.57% | -3.64% |
| Best Year | 17.72% | 13.14% |
| Worst Year | 7.44% | -3.9% |
| Avg. Drawdown | -1.77% | -1.15% |
| Avg. Drawdown Days | 13 | 44 |
| Recovery Factor | 2.09 | 0.82 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 1.1 | 0.08 |
| Avg. Up Month | 3.29% | 1.39% |
| Avg. Down Month | -1.89% | -1.4% |
| Win Days | 56.63% | 52.27% |
| Win Month | 69.23% | 53.85% |
| Win Quarter | 77.78% | 66.67% |
| Win Year | 100.0% | 33.33% |
| Beta | - | 0.05 |
| Alpha | - | 0.02 |
| Correlation | - | 15.13% |
| Treynor Ratio | - | 104.15% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 7.44 | -3.90 | -0.52 | - |
| 2025 | 17.72 | 13.14 | 0.74 | - |
| 2026 | 13.60 | -3.31 | -0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-08-11 | -6.47 | 210 |
| 2024-07-11 | 2025-09-11 | -6.30 | 428 |
| 2025-10-17 | 2025-10-28 | -1.25 | 12 |
| 2025-11-18 | 2025-12-09 | -1.22 | 22 |
| 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 |
| 2025-12-12 | 2025-12-15 | -0.24 | 4 |
| 2025-12-24 | 2025-12-24 | -0.18 | 1 |