| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 13.71% | 9.72% |
| CAGR﹪ | 30.11% | 20.92% |
| Sharpe | 1.92 | 2.95 |
| Prob. Sharpe Ratio | 90.94% | 98.42% |
| Smart Sharpe | 1.82 | 2.8 |
| Sortino | 2.97 | 5.17 |
| Smart Sortino | 2.82 | 4.91 |
| Sortino/√2 | 2.1 | 3.66 |
| Smart Sortino/√2 | 2.0 | 3.47 |
| Omega | 1.37 | 1.62 |
| Max Drawdown | -8.58% | -2.68% |
| Max DD Date | 2026-03-30 | 2026-07-30 |
| Max DD Period Start | 2026-02-26 | 2026-07-01 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 42 |
| Volatility (ann.) | 14.22% | 6.52% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 3.51 | 7.81 |
| Skew | -0.01 | 0.52 |
| Kurtosis | 0.73 | 1.9 |
| Ulcer Performance Index | 5.39 | 10.5 |
| Risk-Adjusted Return | 30.11% | 21.14% |
| Risk-Return Ratio | 0.12 | 0.19 |
| Avg. Return | 0.1% | 0.08% |
| Avg. Win | 0.79% | 0.38% |
| Avg. Loss | -0.75% | -0.32% |
| Win/Loss Ratio | 1.05 | 1.21 |
| Profit Ratio | 0.96 | 0.93 |
| Expected Daily | 0.1% | 0.08% |
| Expected Monthly | 1.85% | 1.33% |
| Expected Yearly | 13.71% | 9.72% |
| Kelly Criterion | 11.21% | 20.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.6% |
| Expected Shortfall (cVaR) | -1.67% | -0.75% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.37 | 0.62 |
| Gain/Pain (1M) | 2.29 | 3.8 |
| Payoff Ratio | 1.05 | 1.21 |
| Profit Factor | 1.37 | 1.62 |
| Common Sense Ratio | 1.54 | 2.07 |
| CPC Index | 0.79 | 1.1 |
| Tail Ratio | 1.12 | 1.28 |
| Outlier Win Ratio | 3.24 | 3.29 |
| Outlier Loss Ratio | 2.76 | 2.3 |
| MTD | 3.15% | 0.22% |
| 3M | 4.73% | 1.05% |
| 6M | 13.71% | 9.72% |
| YTD | 13.71% | 9.72% |
| 1Y | 13.71% | 9.72% |
| 3Y (ann.) | 30.11% | 20.92% |
| 5Y (ann.) | 30.11% | 20.92% |
| 10Y (ann.) | 30.11% | 20.92% |
| All-time (ann.) | 30.11% | 20.92% |
| Best Day | 2.91% | 1.78% |
| Worst Day | -2.58% | -1.08% |
| Best Month | 10.51% | 3.29% |
| Worst Month | -4.94% | -1.96% |
| Best Year | 13.71% | 9.72% |
| Worst Year | 13.71% | 9.72% |
| Avg. Drawdown | -1.4% | -0.63% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 1.56 | 3.5 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.78 | 1.94 |
| Avg. Up Month | 4.78% | 1.94% |
| Avg. Down Month | - | - |
| Win Days | 54.47% | 56.2% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.16 |
| Correlation | - | 22.6% |
| Treynor Ratio | - | 93.86% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 9.72 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-08-11 | -2.68 | 42 |
| 2026-03-26 | 2026-03-30 | -1.64 | 5 |
| 2026-05-06 | 2026-06-11 | -1.25 | 37 |
| 2026-03-03 | 2026-03-09 | -0.97 | 7 |
| 2026-04-30 | 2026-05-01 | -0.63 | 2 |
| 2026-06-16 | 2026-06-17 | -0.54 | 2 |
| 2026-03-20 | 2026-03-20 | -0.39 | 1 |
| 2026-04-17 | 2026-04-21 | -0.35 | 5 |
| 2026-03-18 | 2026-03-18 | -0.34 | 1 |
| 2026-02-23 | 2026-02-23 | -0.26 | 1 |