| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 13.63% | 6.07% |
| CAGR﹪ | 30.2% | 12.95% |
| Sharpe | 1.92 | 1.7 |
| Prob. Sharpe Ratio | 90.83% | 87.64% |
| Smart Sharpe | 1.9 | 1.68 |
| Sortino | 2.97 | 2.49 |
| Smart Sortino | 2.94 | 2.46 |
| Sortino/√2 | 2.1 | 1.76 |
| Smart Sortino/√2 | 2.08 | 1.74 |
| Omega | 1.37 | 1.32 |
| Max Drawdown | -8.58% | -4.28% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-02-26 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-13 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 14.28% | 7.32% |
| R^2 | 0.83 | 0.83 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 3.52 | 3.02 |
| Skew | -0.01 | -0.35 |
| Kurtosis | 0.7 | 0.67 |
| Ulcer Performance Index | 5.34 | 4.34 |
| Risk-Adjusted Return | 30.2% | 13.92% |
| Risk-Return Ratio | 0.12 | 0.11 |
| Avg. Return | 0.12% | 0.05% |
| Avg. Win | 0.81% | 0.41% |
| Avg. Loss | -0.76% | -0.4% |
| Win/Loss Ratio | 1.08 | 1.02 |
| Profit Ratio | 0.99 | 0.55 |
| Expected Daily | 0.1% | 0.05% |
| Expected Monthly | 1.84% | 0.85% |
| Expected Yearly | 13.63% | 6.07% |
| Kelly Criterion | 11.41% | 15.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.71% |
| Expected Shortfall (cVaR) | -1.67% | -1.01% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | 0.32 |
| Gain/Pain (1M) | 2.28 | 1.8 |
| Payoff Ratio | 1.08 | 1.02 |
| Profit Factor | 1.37 | 1.32 |
| Common Sense Ratio | 1.54 | 1.47 |
| CPC Index | 0.8 | 0.77 |
| Tail Ratio | 1.13 | 1.11 |
| Outlier Win Ratio | 3.21 | 3.22 |
| Outlier Loss Ratio | 2.76 | 2.85 |
| MTD | 3.15% | 1.5% |
| 3M | 4.73% | 2.49% |
| 6M | 13.63% | 6.07% |
| YTD | 13.63% | 6.07% |
| 1Y | 13.63% | 6.07% |
| 3Y (ann.) | 30.2% | 12.95% |
| 5Y (ann.) | 30.2% | 12.95% |
| 10Y (ann.) | 30.2% | 12.95% |
| All-time (ann.) | 30.2% | 12.95% |
| Best Day | 2.91% | 1.31% |
| Worst Day | -2.58% | -1.4% |
| Best Month | 10.51% | 4.7% |
| Worst Month | -4.94% | -3.01% |
| Best Year | 13.63% | 6.07% |
| Worst Year | 13.63% | 6.07% |
| Avg. Drawdown | -1.4% | -0.84% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 1.55 | 1.41 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.76 | 0.58 |
| Avg. Up Month | 4.88% | 2.3% |
| Avg. Down Month | -4.94% | -3.01% |
| Win Days | 54.1% | 57.52% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.47 |
| Alpha | - | -0.0 |
| Correlation | - | 91.27% |
| Treynor Ratio | - | 12.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 6.07 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-13 | -4.28 | 47 |
| 2026-06-03 | 2026-06-17 | -2.19 | 15 |
| 2026-06-23 | 2026-08-03 | -1.92 | 42 |
| 2026-05-15 | 2026-05-22 | -0.97 | 8 |
| 2026-02-23 | 2026-02-23 | -0.46 | 1 |
| 2026-04-20 | 2026-04-21 | -0.45 | 2 |
| 2026-04-23 | 2026-04-23 | -0.27 | 1 |
| 2026-05-04 | 2026-05-04 | -0.27 | 1 |
| 2026-05-07 | 2026-05-08 | -0.27 | 2 |
| 2026-02-19 | 2026-02-19 | -0.18 | 1 |