| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 21.67% | 12.46% |
| CAGR﹪ | 22.06% | 12.67% |
| Sharpe | 1.61 | 1.87 |
| Prob. Sharpe Ratio | 94.26% | 96.5% |
| Smart Sharpe | 1.57 | 1.83 |
| Sortino | 2.37 | 2.75 |
| Smart Sortino | 2.32 | 2.69 |
| Sortino/√2 | 1.68 | 1.95 |
| Smart Sortino/√2 | 1.64 | 1.9 |
| Omega | 1.31 | 1.36 |
| Max Drawdown | -8.88% | -4.28% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-13 |
| Longest DD Days | 76 | 47 |
| Volatility (ann.) | 12.9% | 6.48% |
| R^2 | 0.85 | 0.85 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.48 | 2.96 |
| Skew | -0.21 | -0.4 |
| Kurtosis | 1.18 | 1.26 |
| Ulcer Performance Index | 10.33 | 11.75 |
| Risk-Adjusted Return | 22.06% | 13.63% |
| Risk-Return Ratio | 0.1 | 0.12 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.7% | 0.36% |
| Avg. Loss | -0.69% | -0.34% |
| Win/Loss Ratio | 1.01 | 1.05 |
| Profit Ratio | 0.86 | 0.58 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.52% | 0.91% |
| Expected Yearly | 10.3% | 6.05% |
| Kelly Criterion | 10.87% | 16.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.62% |
| Expected Shortfall (cVaR) | -1.72% | -0.95% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.31 | 0.36 |
| Gain/Pain (1M) | 3.08 | 3.57 |
| Payoff Ratio | 1.01 | 1.05 |
| Profit Factor | 1.31 | 1.36 |
| Common Sense Ratio | 1.3 | 1.53 |
| CPC Index | 0.73 | 0.82 |
| Tail Ratio | 0.99 | 1.12 |
| Outlier Win Ratio | 2.94 | 3.21 |
| Outlier Loss Ratio | 3.2 | 3.33 |
| MTD | 3.15% | 1.5% |
| 3M | 4.73% | 2.49% |
| 6M | 11.92% | 5.49% |
| YTD | 13.6% | 7.66% |
| 1Y | 21.67% | 12.46% |
| 3Y (ann.) | 22.06% | 12.67% |
| 5Y (ann.) | 22.06% | 12.67% |
| 10Y (ann.) | 22.06% | 12.67% |
| All-time (ann.) | 22.06% | 12.67% |
| Best Day | 2.91% | 1.31% |
| Worst Day | -2.7% | -1.4% |
| Best Month | 10.51% | 4.7% |
| Worst Month | -4.94% | -3.01% |
| Best Year | 13.6% | 7.66% |
| Worst Year | 7.11% | 4.46% |
| Avg. Drawdown | -1.42% | -0.73% |
| Avg. Drawdown Days | 10 | 8 |
| Recovery Factor | 2.3 | 2.79 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.4 | 1.58 |
| Avg. Up Month | 3.04% | 1.58% |
| Avg. Down Month | -4.94% | -3.01% |
| Win Days | 55.24% | 57.39% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.03 |
| Correlation | - | 92.25% |
| Treynor Ratio | - | 26.89% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 7.11 | 4.46 | 0.63 | - |
| 2026 | 13.60 | 7.66 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-13 | -4.28 | 47 |
| 2025-11-13 | 2025-12-09 | -2.29 | 27 |
| 2026-06-03 | 2026-06-17 | -2.19 | 15 |
| 2026-06-23 | 2026-08-03 | -1.92 | 42 |
| 2025-10-07 | 2025-10-17 | -1.66 | 11 |
| 2026-01-28 | 2026-02-06 | -1.37 | 10 |
| 2025-12-12 | 2025-12-19 | -1.02 | 8 |
| 2025-10-29 | 2025-11-10 | -1.01 | 13 |
| 2026-05-15 | 2026-05-22 | -0.97 | 8 |
| 2026-01-16 | 2026-01-22 | -0.92 | 7 |