| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 13.63% | 1.76% |
| CAGR﹪ | 30.2% | 3.66% |
| Sharpe | 1.92 | 2.17 |
| Prob. Sharpe Ratio | 90.83% | 93.69% |
| Smart Sharpe | 1.52 | 1.72 |
| Sortino | 2.97 | 3.54 |
| Smart Sortino | 2.35 | 2.81 |
| Sortino/√2 | 2.1 | 2.5 |
| Smart Sortino/√2 | 1.66 | 1.98 |
| Omega | 1.37 | 1.46 |
| Max Drawdown | -8.58% | -0.47% |
| Max DD Date | 2026-03-30 | 2026-03-13 |
| Max DD Period Start | 2026-02-26 | 2026-03-03 |
| Max DD Period End | 2026-04-13 | 2026-03-30 |
| Longest DD Days | 59 | 28 |
| Volatility (ann.) | 14.28% | 1.66% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 3.52 | 7.84 |
| Skew | -0.01 | 0.26 |
| Kurtosis | 0.7 | 1.56 |
| Ulcer Performance Index | 5.34 | 11.06 |
| Risk-Adjusted Return | 30.2% | 5.02% |
| Risk-Return Ratio | 0.12 | 0.14 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.82% | 0.12% |
| Avg. Loss | -0.91% | -0.11% |
| Win/Loss Ratio | 0.89 | 1.05 |
| Profit Ratio | 0.99 | 0.28 |
| Expected Daily | 0.1% | 0.01% |
| Expected Monthly | 1.84% | 0.25% |
| Expected Yearly | 13.63% | 1.76% |
| Kelly Criterion | 2.77% | 18.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.16% |
| Expected Shortfall (cVaR) | -1.67% | -0.23% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.37 | 0.46 |
| Gain/Pain (1M) | 2.28 | - |
| Payoff Ratio | 0.89 | 1.05 |
| Profit Factor | 1.37 | 1.46 |
| Common Sense Ratio | 1.54 | 2.19 |
| CPC Index | 0.66 | 0.9 |
| Tail Ratio | 1.13 | 1.5 |
| Outlier Win Ratio | 3.21 | 3.61 |
| Outlier Loss Ratio | 2.76 | 2.59 |
| MTD | 3.15% | 0.35% |
| 3M | 4.73% | 1.28% |
| 6M | 13.63% | 1.76% |
| YTD | 13.63% | 1.76% |
| 1Y | 13.63% | 1.76% |
| 3Y (ann.) | 30.2% | 3.66% |
| 5Y (ann.) | 30.2% | 3.66% |
| 10Y (ann.) | 30.2% | 3.66% |
| All-time (ann.) | 30.2% | 3.66% |
| Best Day | 2.91% | 0.41% |
| Worst Day | -2.58% | -0.29% |
| Best Month | 10.51% | 0.52% |
| Worst Month | -4.94% | 0.06% |
| Best Year | 13.63% | 1.76% |
| Worst Year | 13.63% | 1.76% |
| Avg. Drawdown | -1.4% | -0.21% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 1.55 | 3.74 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.76 | 2.91 |
| Avg. Up Month | 3.91% | 0.19% |
| Avg. Down Month | - | - |
| Win Days | 54.1% | 58.43% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.02 |
| Correlation | - | 39.97% |
| Treynor Ratio | - | 37.73% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 1.76 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-03-30 | -0.47 | 28 |
| 2026-07-16 | 2026-08-04 | -0.40 | 20 |
| 2026-06-05 | 2026-06-10 | -0.29 | 6 |
| 2026-06-12 | 2026-06-18 | -0.29 | 7 |
| 2026-07-02 | 2026-07-13 | -0.29 | 12 |
| 2026-04-22 | 2026-05-19 | -0.23 | 28 |
| 2026-02-18 | 2026-02-20 | -0.18 | 3 |
| 2026-05-21 | 2026-06-03 | -0.17 | 14 |
| 2026-04-09 | 2026-04-10 | -0.12 | 2 |
| 2026-06-30 | 2026-06-30 | -0.12 | 1 |