| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 54.65% | 31.32% |
| CAGR﹪ | 38.41% | 22.52% |
| Sharpe | 2.05 | 1.23 |
| Prob. Sharpe Ratio | 99.64% | 92.8% |
| Smart Sharpe | 1.74 | 1.04 |
| Sortino | 3.59 | 1.94 |
| Smart Sortino | 3.05 | 1.65 |
| Sortino/√2 | 2.54 | 1.37 |
| Smart Sortino/√2 | 2.15 | 1.16 |
| Omega | 1.5 | 1.24 |
| 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.) | 16.52% | 17.85% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 4.32 | 2.18 |
| Skew | 2.64 | 0.85 |
| Kurtosis | 29.71 | 6.82 |
| Ulcer Performance Index | 28.25 | 11.12 |
| Risk-Adjusted Return | 38.41% | 22.52% |
| Risk-Return Ratio | 0.13 | 0.08 |
| Avg. Return | 0.13% | 0.09% |
| Avg. Win | 0.86% | 0.95% |
| Avg. Loss | -0.76% | -0.95% |
| Win/Loss Ratio | 1.13 | 1.0 |
| Profit Ratio | 0.91 | 1.02 |
| Expected Daily | 0.13% | 0.08% |
| Expected Monthly | 2.6% | 1.62% |
| Expected Yearly | 24.36% | 14.59% |
| Kelly Criterion | 17.56% | 4.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -1.76% |
| Expected Shortfall (cVaR) | -2.25% | -2.37% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.5 | 0.24 |
| Gain/Pain (1M) | 6.85 | 2.17 |
| Payoff Ratio | 1.13 | 1.0 |
| Profit Factor | 1.5 | 1.24 |
| Common Sense Ratio | 1.58 | 1.31 |
| CPC Index | 0.96 | 0.65 |
| Tail Ratio | 1.05 | 1.06 |
| Outlier Win Ratio | 3.6 | 3.06 |
| Outlier Loss Ratio | 3.79 | 3.59 |
| MTD | 3.15% | -0.24% |
| 3M | 4.73% | 3.23% |
| 6M | 11.92% | 6.37% |
| YTD | 13.6% | 12.07% |
| 1Y | 22.27% | 16.89% |
| 3Y (ann.) | 38.41% | 22.52% |
| 5Y (ann.) | 38.41% | 22.52% |
| 10Y (ann.) | 38.41% | 22.52% |
| All-time (ann.) | 38.41% | 22.52% |
| Best Day | 10.5% | 7.91% |
| Worst Day | -4.38% | -3.4% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -7.9% |
| Best Year | 36.13% | 17.18% |
| Worst Year | 13.6% | 12.07% |
| Avg. Drawdown | -1.43% | -2.51% |
| Avg. Drawdown Days | 9 | 14 |
| Recovery Factor | 5.11 | 2.84 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 4.7 | 1.54 |
| Avg. Up Month | 4.3% | 3.34% |
| Avg. Down Month | -4.94% | -7.9% |
| Win Days | 56.21% | 52.23% |
| Win Month | 82.35% | 70.59% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.6 |
| Alpha | - | 0.01 |
| Correlation | - | 55.93% |
| Treynor Ratio | - | 51.83% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 36.13 | 17.18 | 0.48 | - |
| 2026 | 13.60 | 12.07 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2025-04-07 | 2025-04-08 | -5.67 | 2 |
| 2025-09-12 | 2025-12-16 | -5.27 | 96 |
| 2025-05-19 | 2025-06-30 | -4.86 | 43 |
| 2025-07-23 | 2025-08-21 | -4.43 | 30 |
| 2026-07-30 | 2026-08-11 | -3.97 | 13 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 2025-04-10 | 2025-04-21 | -3.40 | 12 |
| 2026-05-08 | 2026-05-19 | -3.23 | 12 |
| 2026-06-15 | 2026-06-24 | -3.03 | 10 |