| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 15.72% | 21.14% |
| CAGR﹪ | 25.67% | 35.0% |
| Sharpe | 1.75 | 1.2 |
| Prob. Sharpe Ratio | 91.72% | 82.7% |
| Smart Sharpe | 1.51 | 1.04 |
| Sortino | 2.65 | 1.73 |
| Smart Sortino | 2.29 | 1.5 |
| Sortino/√2 | 1.87 | 1.23 |
| Smart Sortino/√2 | 1.62 | 1.06 |
| Omega | 1.34 | 1.23 |
| Max Drawdown | -8.88% | -14.73% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 70 |
| Volatility (ann.) | 13.63% | 28.36% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.89 | 2.38 |
| Skew | -0.06 | -0.38 |
| Kurtosis | 0.9 | 1.51 |
| Ulcer Performance Index | 6.58 | 3.66 |
| Risk-Adjusted Return | 25.67% | 35.0% |
| Risk-Return Ratio | 0.11 | 0.08 |
| Avg. Return | 0.09% | 0.14% |
| Avg. Win | 0.76% | 1.56% |
| Avg. Loss | -0.68% | -1.41% |
| Win/Loss Ratio | 1.13 | 1.1 |
| Profit Ratio | 1.02 | 0.98 |
| Expected Daily | 0.09% | 0.12% |
| Expected Monthly | 1.64% | 2.15% |
| Expected Yearly | 7.57% | 10.06% |
| Kelly Criterion | 12.3% | 9.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.32% | -2.8% |
| Expected Shortfall (cVaR) | -1.69% | -3.86% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.34 | 0.23 |
| Gain/Pain (1M) | 2.29 | 1.39 |
| Payoff Ratio | 1.13 | 1.1 |
| Profit Factor | 1.34 | 1.23 |
| Common Sense Ratio | 1.31 | 1.2 |
| CPC Index | 0.81 | 0.71 |
| Tail Ratio | 0.98 | 0.97 |
| Outlier Win Ratio | 3.09 | 3.19 |
| Outlier Loss Ratio | 3.13 | 3.98 |
| MTD | 3.15% | 2.96% |
| 3M | 4.73% | -5.92% |
| 6M | 11.92% | 6.2% |
| YTD | 13.6% | 17.67% |
| 1Y | 15.72% | 21.14% |
| 3Y (ann.) | 25.67% | 35.0% |
| 5Y (ann.) | 25.67% | 35.0% |
| 10Y (ann.) | 25.67% | 35.0% |
| All-time (ann.) | 25.67% | 35.0% |
| Best Day | 2.91% | 4.83% |
| Worst Day | -2.58% | -6.29% |
| Best Month | 10.51% | 13.96% |
| Worst Month | -4.94% | -8.45% |
| Best Year | 13.6% | 17.67% |
| Worst Year | 1.87% | 2.94% |
| Avg. Drawdown | -1.51% | -3.08% |
| Avg. Drawdown Days | 12 | 11 |
| Recovery Factor | 1.71 | 1.48 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.91 | 0.56 |
| Avg. Up Month | 4.45% | 6.59% |
| Avg. Down Month | -2.98% | -5.33% |
| Win Days | 53.42% | 52.8% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.63 |
| Alpha | - | -0.05 |
| Correlation | - | 78.21% |
| Treynor Ratio | - | 12.99% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.87 | 2.94 | 1.58 | + |
| 2026 | 13.60 | 17.67 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-08-11 | -14.73 | 70 |
| 2026-02-26 | 2026-04-16 | -13.12 | 50 |
| 2026-05-12 | 2026-05-26 | -6.51 | 15 |
| 2026-01-29 | 2026-02-10 | -3.53 | 13 |
| 2026-04-20 | 2026-04-23 | -2.22 | 4 |
| 2026-01-16 | 2026-01-21 | -1.47 | 6 |
| 2026-04-27 | 2026-04-29 | -1.37 | 3 |
| 2026-02-23 | 2026-02-23 | -1.01 | 1 |
| 2026-05-28 | 2026-05-29 | -1.00 | 2 |
| 2026-05-07 | 2026-05-07 | -0.99 | 1 |