| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.71% | 5.74% |
| CAGR﹪ | 30.11% | 12.12% |
| Sharpe | 1.92 | 0.52 |
| Prob. Sharpe Ratio | 90.94% | 64.1% |
| Smart Sharpe | 1.64 | 0.45 |
| Sortino | 2.97 | 0.74 |
| Smart Sortino | 2.54 | 0.63 |
| Sortino/√2 | 2.1 | 0.52 |
| Smart Sortino/√2 | 1.8 | 0.45 |
| Omega | 1.37 | 1.09 |
| Max Drawdown | -8.58% | -14.73% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-02-26 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 70 |
| Volatility (ann.) | 14.22% | 31.27% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 3.51 | 0.82 |
| Skew | -0.01 | -0.3 |
| Kurtosis | 0.73 | 0.91 |
| Ulcer Performance Index | 5.39 | 0.87 |
| Risk-Adjusted Return | 30.11% | 12.12% |
| Risk-Return Ratio | 0.12 | 0.03 |
| Avg. Return | 0.11% | 0.06% |
| Avg. Win | 0.82% | 1.71% |
| Avg. Loss | -0.69% | -1.6% |
| Win/Loss Ratio | 1.19 | 1.07 |
| Profit Ratio | 0.96 | 1.13 |
| Expected Daily | 0.1% | 0.05% |
| Expected Monthly | 1.85% | 0.8% |
| Expected Yearly | 13.71% | 5.74% |
| Kelly Criterion | 16.13% | 2.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -3.18% |
| Expected Shortfall (cVaR) | -1.67% | -4.55% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | 0.09 |
| Gain/Pain (1M) | 2.29 | 0.51 |
| Payoff Ratio | 1.19 | 1.07 |
| Profit Factor | 1.37 | 1.09 |
| Common Sense Ratio | 1.54 | 1.17 |
| CPC Index | 0.89 | 0.58 |
| Tail Ratio | 1.12 | 1.07 |
| Outlier Win Ratio | 3.24 | 2.91 |
| Outlier Loss Ratio | 2.76 | 4.0 |
| MTD | 3.15% | 2.96% |
| 3M | 4.73% | -5.92% |
| 6M | 13.71% | 5.74% |
| YTD | 13.71% | 5.74% |
| 1Y | 13.71% | 5.74% |
| 3Y (ann.) | 30.11% | 12.12% |
| 5Y (ann.) | 30.11% | 12.12% |
| 10Y (ann.) | 30.11% | 12.12% |
| All-time (ann.) | 30.11% | 12.12% |
| 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 | 13.71% | 5.74% |
| Worst Year | 13.71% | 5.74% |
| Avg. Drawdown | -1.4% | -3.85% |
| Avg. Drawdown Days | 9 | 14 |
| Recovery Factor | 1.56 | 0.54 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | 0.78 | 0.18 |
| Avg. Up Month | 4.9% | 5.99% |
| Avg. Down Month | -2.98% | -5.33% |
| Win Days | 54.47% | 49.59% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.78 |
| Alpha | - | -0.32 |
| Correlation | - | 81.12% |
| Treynor Ratio | - | 3.22% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 5.74 | 0.42 | - |
| 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 |
| 2026-04-20 | 2026-04-23 | -2.22 | 4 |
| 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 |
| 2026-05-04 | 2026-05-04 | -0.51 | 1 |
| 2026-02-17 | 2026-02-17 | -0.49 | 1 |