| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 74.0% |
| Cumulative Return | 21.22% | 4.53% |
| CAGR﹪ | 21.41% | 4.57% |
| Sharpe | 1.57 | 2.99 |
| Prob. Sharpe Ratio | 93.92% | 99.89% |
| Smart Sharpe | 1.31 | 2.49 |
| Sortino | 2.32 | 5.2 |
| Smart Sortino | 1.93 | 4.33 |
| Sortino/√2 | 1.64 | 3.68 |
| Smart Sortino/√2 | 1.37 | 3.06 |
| Omega | 1.3 | 1.68 |
| Max Drawdown | -8.88% | -0.47% |
| Max DD Date | 2026-03-30 | 2026-03-13 |
| Max DD Period Start | 2026-01-28 | 2026-03-03 |
| Max DD Period End | 2026-04-13 | 2026-03-30 |
| Longest DD Days | 76 | 28 |
| Volatility (ann.) | 12.86% | 1.5% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.41 | 9.78 |
| Skew | -0.2 | 0.35 |
| Kurtosis | 1.2 | 1.55 |
| Ulcer Performance Index | 10.15 | 36.17 |
| Risk-Adjusted Return | 21.41% | 6.18% |
| Risk-Return Ratio | 0.1 | 0.19 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.68% | 0.11% |
| Avg. Loss | -0.9% | -0.09% |
| Win/Loss Ratio | 0.76 | 1.16 |
| Profit Ratio | 0.88 | 0.32 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.49% | 0.34% |
| Expected Yearly | 10.1% | 2.24% |
| Kelly Criterion | -4.31% | 23.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.14% |
| Expected Shortfall (cVaR) | -1.72% | -0.21% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.3 | 0.68 |
| Gain/Pain (1M) | 3.03 | - |
| Payoff Ratio | 0.76 | 1.16 |
| Profit Factor | 1.3 | 1.68 |
| Common Sense Ratio | 1.29 | 2.52 |
| CPC Index | 0.54 | 1.15 |
| Tail Ratio | 0.99 | 1.5 |
| Outlier Win Ratio | 2.94 | 3.71 |
| Outlier Loss Ratio | 3.24 | 2.04 |
| MTD | 3.15% | 0.35% |
| 3M | 4.73% | 1.28% |
| 6M | 11.92% | 1.7% |
| YTD | 13.6% | 2.24% |
| 1Y | 21.22% | 4.53% |
| 3Y (ann.) | 21.41% | 4.57% |
| 5Y (ann.) | 21.41% | 4.57% |
| 10Y (ann.) | 21.41% | 4.57% |
| All-time (ann.) | 21.41% | 4.57% |
| Best Day | 2.91% | 0.41% |
| Worst Day | -2.7% | -0.29% |
| Best Month | 10.51% | 0.72% |
| Worst Month | -4.94% | 0.06% |
| Best Year | 13.6% | 2.25% |
| Worst Year | 6.71% | 2.24% |
| Avg. Drawdown | -1.44% | -0.15% |
| Avg. Drawdown Days | 10 | 7 |
| Recovery Factor | 2.26 | 9.51 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.37 | 10.25 |
| Avg. Up Month | 2.7% | 0.32% |
| Avg. Down Month | - | - |
| Win Days | 54.8% | 58.92% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.04 |
| Correlation | - | 35.79% |
| Treynor Ratio | - | 108.71% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 2.25 | 0.33 | - |
| 2026 | 13.60 | 2.24 | 0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-03-30 | -0.47 | 28 |
| 2026-07-16 | 2026-07-31 | -0.40 | 16 |
| 2026-01-15 | 2026-02-06 | -0.29 | 23 |
| 2026-05-21 | 2026-06-10 | -0.29 | 21 |
| 2026-06-12 | 2026-06-18 | -0.29 | 7 |
| 2026-07-02 | 2026-07-10 | -0.29 | 9 |
| 2025-08-22 | 2025-08-28 | -0.28 | 7 |
| 2025-11-13 | 2025-11-24 | -0.27 | 12 |
| 2026-02-12 | 2026-02-27 | -0.23 | 16 |
| 2026-04-22 | 2026-05-19 | -0.23 | 28 |