| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.71% | 12.14% |
| CAGR﹪ | 30.11% | 26.46% |
| Sharpe | 1.92 | 1.6 |
| Prob. Sharpe Ratio | 90.94% | 86.15% |
| Smart Sharpe | 1.74 | 1.44 |
| Sortino | 2.97 | 2.32 |
| Smart Sortino | 2.69 | 2.1 |
| Sortino/√2 | 2.1 | 1.64 |
| Smart Sortino/√2 | 1.9 | 1.48 |
| Omega | 1.37 | 1.3 |
| Max Drawdown | -8.58% | -9.28% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-02-26 | 2026-02-19 |
| Max DD Period End | 2026-04-13 | 2026-04-17 |
| Longest DD Days | 59 | 58 |
| Volatility (ann.) | 14.22% | 15.45% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 3.51 | 2.85 |
| Skew | -0.01 | -0.45 |
| Kurtosis | 0.73 | 1.05 |
| Ulcer Performance Index | 5.39 | 3.38 |
| Risk-Adjusted Return | 30.11% | 26.46% |
| Risk-Return Ratio | 0.12 | 0.1 |
| Avg. Return | 0.1% | 0.1% |
| Avg. Win | 0.81% | 0.81% |
| Avg. Loss | -0.71% | -0.89% |
| Win/Loss Ratio | 1.13 | 0.9 |
| Profit Ratio | 0.96 | 0.69 |
| Expected Daily | 0.1% | 0.09% |
| Expected Monthly | 1.85% | 1.65% |
| Expected Yearly | 13.71% | 12.14% |
| Kelly Criterion | 14.29% | 10.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -1.5% |
| Expected Shortfall (cVaR) | -1.67% | -2.29% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.37 | 0.3 |
| Gain/Pain (1M) | 2.29 | 2.13 |
| Payoff Ratio | 1.13 | 0.9 |
| Profit Factor | 1.37 | 1.3 |
| Common Sense Ratio | 1.54 | 1.41 |
| CPC Index | 0.85 | 0.67 |
| Tail Ratio | 1.12 | 1.09 |
| Outlier Win Ratio | 3.24 | 2.67 |
| Outlier Loss Ratio | 2.76 | 3.22 |
| MTD | 3.15% | 1.24% |
| 3M | 4.73% | 10.9% |
| 6M | 13.71% | 12.14% |
| YTD | 13.71% | 12.14% |
| 1Y | 13.71% | 12.14% |
| 3Y (ann.) | 30.11% | 26.46% |
| 5Y (ann.) | 30.11% | 26.46% |
| 10Y (ann.) | 30.11% | 26.46% |
| All-time (ann.) | 30.11% | 26.46% |
| Best Day | 2.91% | 2.77% |
| Worst Day | -2.58% | -3.38% |
| Best Month | 10.51% | 6.62% |
| Worst Month | -4.94% | -3.8% |
| Best Year | 13.71% | 12.14% |
| Worst Year | 13.71% | 12.14% |
| Avg. Drawdown | -1.4% | -2.69% |
| Avg. Drawdown Days | 9 | 18 |
| Recovery Factor | 1.56 | 1.3 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 0.78 | 0.42 |
| Avg. Up Month | 4.74% | 3.1% |
| Avg. Down Month | -4.94% | -3.8% |
| Win Days | 54.47% | 57.38% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.7 |
| Alpha | - | 0.06 |
| Correlation | - | 64.36% |
| Treynor Ratio | - | 17.37% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 12.14 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-19 | 2026-04-17 | -9.28 | 58 |
| 2026-04-21 | 2026-06-10 | -3.45 | 51 |
| 2026-07-07 | 2026-07-14 | -2.89 | 8 |
| 2026-07-17 | 2026-07-27 | -2.69 | 11 |
| 2026-08-05 | 2026-08-11 | -1.63 | 7 |
| 2026-06-17 | 2026-06-22 | -0.86 | 6 |
| 2026-07-29 | 2026-07-31 | -0.68 | 3 |
| 2026-07-02 | 2026-07-02 | -0.05 | 1 |