| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.22% | 16.71% |
| CAGR﹪ | 21.41% | 16.85% |
| Sharpe | 1.57 | 1.09 |
| Prob. Sharpe Ratio | 93.92% | 86.17% |
| Smart Sharpe | 1.47 | 1.02 |
| Sortino | 2.32 | 1.66 |
| Smart Sortino | 2.16 | 1.54 |
| Sortino/√2 | 1.64 | 1.17 |
| Smart Sortino/√2 | 1.53 | 1.09 |
| Omega | 1.3 | 1.19 |
| Max Drawdown | -8.88% | -10.33% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-02-18 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 76 | 96 |
| Volatility (ann.) | 12.86% | 15.35% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.41 | 1.63 |
| Skew | -0.2 | 0.07 |
| Kurtosis | 1.2 | 0.44 |
| Ulcer Performance Index | 10.15 | 5.58 |
| Risk-Adjusted Return | 21.41% | 16.85% |
| Risk-Return Ratio | 0.1 | 0.07 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.73% | 0.84% |
| Avg. Loss | -0.69% | -0.81% |
| Win/Loss Ratio | 1.06 | 1.04 |
| Profit Ratio | 0.88 | 1.12 |
| Expected Daily | 0.08% | 0.06% |
| Expected Monthly | 1.49% | 1.2% |
| Expected Yearly | 10.1% | 8.03% |
| Kelly Criterion | 12.22% | 2.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.52% |
| Expected Shortfall (cVaR) | -1.72% | -2.02% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.3 | 0.19 |
| Gain/Pain (1M) | 3.03 | 1.23 |
| Payoff Ratio | 1.06 | 1.04 |
| Profit Factor | 1.3 | 1.19 |
| Common Sense Ratio | 1.29 | 1.34 |
| CPC Index | 0.76 | 0.63 |
| Tail Ratio | 0.99 | 1.12 |
| Outlier Win Ratio | 2.94 | 3.22 |
| Outlier Loss Ratio | 3.24 | 3.36 |
| MTD | 3.15% | -0.24% |
| 3M | 4.73% | 3.23% |
| 6M | 11.92% | 6.37% |
| YTD | 13.6% | 12.07% |
| 1Y | 21.22% | 16.71% |
| 3Y (ann.) | 21.41% | 16.85% |
| 5Y (ann.) | 21.41% | 16.85% |
| 10Y (ann.) | 21.41% | 16.85% |
| All-time (ann.) | 21.41% | 16.85% |
| Best Day | 2.91% | 2.87% |
| Worst Day | -2.7% | -2.65% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -7.9% |
| Best Year | 13.6% | 12.07% |
| Worst Year | 6.71% | 4.14% |
| Avg. Drawdown | -1.44% | -2.28% |
| Avg. Drawdown Days | 10 | 14 |
| Recovery Factor | 2.26 | 1.61 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.37 | 0.68 |
| Avg. Up Month | 2.98% | 3.55% |
| Avg. Down Month | -4.94% | -7.9% |
| Win Days | 54.8% | 50.6% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.38 |
| Alpha | - | 0.09 |
| Correlation | - | 31.86% |
| Treynor Ratio | - | 43.93% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 4.14 | 0.62 | - |
| 2026 | 13.60 | 12.07 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2025-09-12 | 2025-12-16 | -5.27 | 96 |
| 2026-07-30 | 2026-08-11 | -3.97 | 13 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 2026-05-08 | 2026-05-19 | -3.23 | 12 |
| 2026-06-15 | 2026-06-24 | -3.03 | 10 |
| 2026-04-21 | 2026-05-05 | -2.86 | 15 |
| 2026-07-08 | 2026-07-28 | -2.72 | 21 |
| 2025-08-25 | 2025-09-04 | -2.13 | 11 |
| 2025-09-08 | 2025-09-10 | -1.86 | 3 |