| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 21.22% | 17.24% |
| CAGR﹪ | 21.41% | 17.39% |
| Sharpe | 1.57 | 2.42 |
| Prob. Sharpe Ratio | 93.92% | 99.26% |
| Smart Sharpe | 1.57 | 2.42 |
| Sortino | 2.32 | 3.92 |
| Smart Sortino | 2.32 | 3.92 |
| Sortino/√2 | 1.64 | 2.77 |
| Smart Sortino/√2 | 1.64 | 2.77 |
| Omega | 1.3 | 1.49 |
| Max Drawdown | -8.88% | -3.85% |
| Max DD Date | 2026-03-30 | 2025-11-20 |
| Max DD Period Start | 2026-01-28 | 2025-10-22 |
| Max DD Period End | 2026-04-13 | 2025-12-22 |
| Longest DD Days | 76 | 62 |
| Volatility (ann.) | 12.86% | 6.73% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.41 | 4.52 |
| Skew | -0.2 | 0.2 |
| Kurtosis | 1.2 | 1.1 |
| Ulcer Performance Index | 10.15 | 16.38 |
| Risk-Adjusted Return | 21.41% | 17.74% |
| Risk-Return Ratio | 0.1 | 0.15 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.68% | 0.39% |
| Avg. Loss | -0.75% | -0.37% |
| Win/Loss Ratio | 0.91 | 1.05 |
| Profit Ratio | 0.88 | 0.75 |
| Expected Daily | 0.08% | 0.06% |
| Expected Monthly | 1.49% | 1.23% |
| Expected Yearly | 10.1% | 8.28% |
| Kelly Criterion | 5.23% | 17.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.63% |
| Expected Shortfall (cVaR) | -1.72% | -0.85% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.3 | 0.49 |
| Gain/Pain (1M) | 3.03 | 6.53 |
| Payoff Ratio | 0.91 | 1.05 |
| Profit Factor | 1.3 | 1.49 |
| Common Sense Ratio | 1.29 | 1.91 |
| CPC Index | 0.65 | 0.9 |
| Tail Ratio | 0.99 | 1.28 |
| Outlier Win Ratio | 2.94 | 3.42 |
| Outlier Loss Ratio | 3.24 | 3.15 |
| MTD | 3.15% | 0.22% |
| 3M | 4.73% | 1.05% |
| 6M | 11.92% | 8.89% |
| YTD | 13.6% | 14.0% |
| 1Y | 21.22% | 17.24% |
| 3Y (ann.) | 21.41% | 17.39% |
| 5Y (ann.) | 21.41% | 17.39% |
| 10Y (ann.) | 21.41% | 17.39% |
| All-time (ann.) | 21.41% | 17.39% |
| Best Day | 2.91% | 1.78% |
| Worst Day | -2.7% | -1.12% |
| Best Month | 10.51% | 4.02% |
| Worst Month | -4.94% | -1.96% |
| Best Year | 13.6% | 14.0% |
| Worst Year | 6.71% | 2.84% |
| Avg. Drawdown | -1.44% | -0.78% |
| Avg. Drawdown Days | 10 | 9 |
| Recovery Factor | 2.26 | 4.19 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 2.45 |
| Avg. Up Month | 2.71% | 1.28% |
| Avg. Down Month | - | - |
| Win Days | 54.8% | 57.55% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.12 |
| Correlation | - | 43.45% |
| Treynor Ratio | - | 75.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 2.84 | 0.42 | - |
| 2026 | 13.60 | 14.00 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-22 | 2025-12-22 | -3.85 | 62 |
| 2026-07-01 | 2026-08-11 | -2.68 | 42 |
| 2026-03-26 | 2026-03-30 | -1.64 | 5 |
| 2026-01-15 | 2026-01-30 | -1.28 | 16 |
| 2026-05-06 | 2026-06-11 | -1.25 | 37 |
| 2025-08-14 | 2025-09-05 | -1.14 | 23 |
| 2026-02-12 | 2026-02-17 | -1.06 | 6 |
| 2026-03-03 | 2026-03-09 | -0.97 | 7 |
| 2026-02-05 | 2026-02-05 | -0.95 | 1 |
| 2025-12-26 | 2025-12-31 | -0.88 | 6 |