| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 21.22% | 11.83% |
| CAGR﹪ | 21.41% | 11.93% |
| Sharpe | 1.57 | 1.98 |
| Prob. Sharpe Ratio | 93.92% | 97.49% |
| Smart Sharpe | 1.46 | 1.84 |
| Sortino | 2.32 | 3.0 |
| Smart Sortino | 2.15 | 2.78 |
| Sortino/√2 | 1.64 | 2.12 |
| Smart Sortino/√2 | 1.52 | 1.97 |
| Omega | 1.3 | 1.38 |
| Max Drawdown | -8.88% | -3.48% |
| Max DD Date | 2026-03-30 | 2026-07-30 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 90 |
| Volatility (ann.) | 12.86% | 5.78% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.41 | 3.43 |
| Skew | -0.2 | -0.09 |
| Kurtosis | 1.2 | 0.73 |
| Ulcer Performance Index | 10.15 | 9.91 |
| Risk-Adjusted Return | 21.41% | 13.71% |
| Risk-Return Ratio | 0.1 | 0.12 |
| Avg. Return | 0.09% | 0.05% |
| Avg. Win | 0.64% | 0.34% |
| Avg. Loss | -0.69% | -0.35% |
| Win/Loss Ratio | 0.93 | 0.97 |
| Profit Ratio | 0.88 | 0.44 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.49% | 0.86% |
| Expected Yearly | 10.1% | 5.75% |
| Kelly Criterion | 6.16% | 15.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.55% |
| Expected Shortfall (cVaR) | -1.72% | -0.7% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.3 | 0.38 |
| Gain/Pain (1M) | 3.03 | 4.41 |
| Payoff Ratio | 0.93 | 0.97 |
| Profit Factor | 1.3 | 1.38 |
| Common Sense Ratio | 1.29 | 1.43 |
| CPC Index | 0.66 | 0.78 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.94 | 3.14 |
| Outlier Loss Ratio | 3.24 | 2.42 |
| MTD | 3.15% | 0.12% |
| 3M | 4.73% | -2.1% |
| 6M | 11.92% | 3.84% |
| YTD | 13.6% | 7.84% |
| 1Y | 21.22% | 11.83% |
| 3Y (ann.) | 21.41% | 11.93% |
| 5Y (ann.) | 21.41% | 11.93% |
| 10Y (ann.) | 21.41% | 11.93% |
| All-time (ann.) | 21.41% | 11.93% |
| Best Day | 2.91% | 1.5% |
| Worst Day | -2.7% | -1.06% |
| Best Month | 10.51% | 3.34% |
| Worst Month | -4.94% | -1.53% |
| Best Year | 13.6% | 7.84% |
| Worst Year | 6.71% | 3.7% |
| Avg. Drawdown | -1.44% | -0.89% |
| Avg. Drawdown Days | 10 | 12 |
| Recovery Factor | 2.26 | 3.26 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 1.24 |
| Avg. Up Month | 3.07% | 1.26% |
| Avg. Down Month | -1.03% | -0.47% |
| Win Days | 54.8% | 58.53% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.1 |
| Correlation | - | 13.32% |
| Treynor Ratio | - | 197.63% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 3.70 | 0.55 | - |
| 2026 | 13.60 | 7.84 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-11 | -3.48 | 90 |
| 2025-10-22 | 2026-01-02 | -2.60 | 73 |
| 2026-02-10 | 2026-02-24 | -1.35 | 15 |
| 2025-09-17 | 2025-10-01 | -1.13 | 15 |
| 2026-01-30 | 2026-02-03 | -1.11 | 5 |
| 2026-04-08 | 2026-04-22 | -1.06 | 15 |
| 2026-01-15 | 2026-01-23 | -1.00 | 9 |
| 2025-10-09 | 2025-10-15 | -0.99 | 7 |
| 2026-02-05 | 2026-02-06 | -0.87 | 2 |
| 2026-05-05 | 2026-05-08 | -0.81 | 4 |