| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 13.44% | 4.48% |
| CAGR﹪ | 30.04% | 9.56% |
| Sharpe | 1.9 | 1.7 |
| Prob. Sharpe Ratio | 90.56% | 87.44% |
| Smart Sharpe | 1.75 | 1.56 |
| Sortino | 2.95 | 2.42 |
| Smart Sortino | 2.7 | 2.21 |
| Sortino/√2 | 2.08 | 1.71 |
| Smart Sortino/√2 | 1.91 | 1.57 |
| Omega | 1.37 | 1.32 |
| Max Drawdown | -8.58% | -3.48% |
| Max DD Date | 2026-03-30 | 2026-07-30 |
| Max DD Period Start | 2026-02-26 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 90 |
| Volatility (ann.) | 14.34% | 5.45% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 3.5 | 2.75 |
| Skew | -0.0 | -0.5 |
| Kurtosis | 0.67 | 0.37 |
| Ulcer Performance Index | 5.24 | 3.22 |
| Risk-Adjusted Return | 30.04% | 11.25% |
| Risk-Return Ratio | 0.12 | 0.11 |
| Avg. Return | 0.14% | 0.04% |
| Avg. Win | 0.71% | 0.26% |
| Avg. Loss | -0.73% | -0.35% |
| Win/Loss Ratio | 0.98 | 0.75 |
| Profit Ratio | 1.01 | 0.28 |
| Expected Daily | 0.1% | 0.04% |
| Expected Monthly | 1.82% | 0.63% |
| Expected Yearly | 13.44% | 4.48% |
| Kelly Criterion | 6.3% | 13.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.38% | -0.53% |
| Expected Shortfall (cVaR) | -1.67% | -0.67% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.37 | 0.32 |
| Gain/Pain (1M) | 2.25 | 2.02 |
| Payoff Ratio | 0.98 | 0.75 |
| Profit Factor | 1.37 | 1.32 |
| Common Sense Ratio | 1.55 | 1.11 |
| CPC Index | 0.72 | 0.62 |
| Tail Ratio | 1.13 | 0.84 |
| Outlier Win Ratio | 3.18 | 3.28 |
| Outlier Loss Ratio | 2.76 | 1.95 |
| MTD | 3.15% | 0.12% |
| 3M | 4.73% | -2.1% |
| 6M | 13.44% | 4.48% |
| YTD | 13.44% | 4.48% |
| 1Y | 13.44% | 4.48% |
| 3Y (ann.) | 30.04% | 9.56% |
| 5Y (ann.) | 30.04% | 9.56% |
| 10Y (ann.) | 30.04% | 9.56% |
| All-time (ann.) | 30.04% | 9.56% |
| Best Day | 2.91% | 0.85% |
| Worst Day | -2.58% | -1.06% |
| Best Month | 10.51% | 2.79% |
| Worst Month | -4.94% | -1.53% |
| Best Year | 13.44% | 4.48% |
| Worst Year | 13.44% | 4.48% |
| Avg. Drawdown | -1.4% | -0.81% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 1.53 | 1.28 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.75 | 0.36 |
| Avg. Up Month | 4.7% | 1.3% |
| Avg. Down Month | -1.03% | -0.47% |
| Win Days | 53.72% | 62.75% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.07 |
| Alpha | - | 0.11 |
| Correlation | - | -18.34% |
| Treynor Ratio | - | -64.4% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 4.48 | 0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-11 | -3.48 | 90 |
| 2026-04-08 | 2026-04-23 | -1.06 | 16 |
| 2026-05-05 | 2026-05-12 | -0.81 | 8 |
| 2026-03-09 | 2026-03-10 | -0.60 | 2 |
| 2026-03-23 | 2026-03-23 | -0.60 | 1 |
| 2026-03-16 | 2026-03-17 | -0.48 | 2 |
| 2026-03-19 | 2026-03-19 | -0.48 | 1 |
| 2026-04-30 | 2026-05-01 | -0.35 | 2 |
| 2026-02-24 | 2026-02-24 | -0.12 | 1 |
| 2026-03-04 | 2026-03-04 | -0.12 | 1 |