| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.71% | 6.54% |
| CAGR﹪ | 30.11% | 13.86% |
| Sharpe | 1.92 | 0.89 |
| Prob. Sharpe Ratio | 90.94% | 73.27% |
| Smart Sharpe | 1.89 | 0.88 |
| Sortino | 2.97 | 1.33 |
| Smart Sortino | 2.93 | 1.31 |
| Sortino/√2 | 2.1 | 0.94 |
| Smart Sortino/√2 | 2.07 | 0.92 |
| Omega | 1.37 | 1.16 |
| Max Drawdown | -8.58% | -10.33% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-02-26 | 2026-02-18 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 59 | 58 |
| Volatility (ann.) | 14.22% | 15.95% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 3.51 | 1.34 |
| Skew | -0.01 | -0.02 |
| Kurtosis | 0.73 | 0.41 |
| Ulcer Performance Index | 5.39 | 1.86 |
| Risk-Adjusted Return | 30.11% | 13.86% |
| Risk-Return Ratio | 0.12 | 0.06 |
| Avg. Return | 0.11% | 0.06% |
| Avg. Win | 0.79% | 0.89% |
| Avg. Loss | -0.73% | -0.85% |
| Win/Loss Ratio | 1.08 | 1.05 |
| Profit Ratio | 0.96 | 1.12 |
| Expected Daily | 0.1% | 0.05% |
| Expected Monthly | 1.85% | 0.91% |
| Expected Yearly | 13.71% | 6.54% |
| Kelly Criterion | 12.51% | 2.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -1.6% |
| Expected Shortfall (cVaR) | -1.67% | -2.09% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.37 | 0.16 |
| Gain/Pain (1M) | 2.29 | 0.72 |
| Payoff Ratio | 1.08 | 1.05 |
| Profit Factor | 1.37 | 1.16 |
| Common Sense Ratio | 1.54 | 1.18 |
| CPC Index | 0.81 | 0.61 |
| Tail Ratio | 1.12 | 1.02 |
| Outlier Win Ratio | 3.24 | 2.98 |
| Outlier Loss Ratio | 2.76 | 3.27 |
| MTD | 3.15% | -0.24% |
| 3M | 4.73% | 3.23% |
| 6M | 13.71% | 6.54% |
| YTD | 13.71% | 6.54% |
| 1Y | 13.71% | 6.54% |
| 3Y (ann.) | 30.11% | 13.86% |
| 5Y (ann.) | 30.11% | 13.86% |
| 10Y (ann.) | 30.11% | 13.86% |
| All-time (ann.) | 30.11% | 13.86% |
| Best Day | 2.91% | 2.87% |
| Worst Day | -2.58% | -2.65% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -7.9% |
| Best Year | 13.71% | 6.54% |
| Worst Year | 13.71% | 6.54% |
| Avg. Drawdown | -1.4% | -2.78% |
| Avg. Drawdown Days | 9 | 13 |
| Recovery Factor | 1.56 | 0.67 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 0.78 | 0.24 |
| Avg. Up Month | 5.49% | 4.35% |
| Avg. Down Month | -4.94% | -7.9% |
| Win Days | 54.47% | 50.0% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.04 |
| Correlation | - | 31.99% |
| Treynor Ratio | - | 18.23% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 6.54 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2026-07-30 | 2026-08-11 | -3.97 | 13 |
| 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 |
| 2026-05-29 | 2026-06-04 | -1.72 | 7 |
| 2026-06-29 | 2026-07-01 | -1.10 | 3 |
| 2026-07-06 | 2026-07-06 | -0.93 | 1 |
| 2026-06-08 | 2026-06-08 | -0.63 | 1 |