| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 21.22% | 9.94% |
| CAGR﹪ | 21.41% | 10.03% |
| Sharpe | 1.57 | 1.7 |
| Prob. Sharpe Ratio | 93.92% | 95.45% |
| Smart Sharpe | 1.29 | 1.39 |
| Sortino | 2.32 | 2.65 |
| Smart Sortino | 1.9 | 2.17 |
| Sortino/√2 | 1.64 | 1.87 |
| Smart Sortino/√2 | 1.34 | 1.54 |
| Omega | 1.3 | 1.33 |
| Max Drawdown | -8.88% | -2.99% |
| Max DD Date | 2026-03-30 | 2025-11-12 |
| Max DD Period Start | 2026-01-28 | 2025-08-28 |
| Max DD Period End | 2026-04-13 | 2026-02-12 |
| Longest DD Days | 76 | 169 |
| Volatility (ann.) | 12.86% | 5.71% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.41 | 3.36 |
| Skew | -0.2 | 0.01 |
| Kurtosis | 1.2 | 1.4 |
| Ulcer Performance Index | 10.15 | 8.03 |
| Risk-Adjusted Return | 21.41% | 10.9% |
| Risk-Return Ratio | 0.1 | 0.11 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.67% | 0.29% |
| Avg. Loss | -0.65% | -0.25% |
| Win/Loss Ratio | 1.04 | 1.15 |
| Profit Ratio | 0.88 | 0.7 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.49% | 0.73% |
| Expected Yearly | 10.1% | 4.85% |
| Kelly Criterion | 11.32% | 14.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.55% |
| Expected Shortfall (cVaR) | -1.72% | -0.74% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.3 | 0.33 |
| Gain/Pain (1M) | 3.03 | 3.55 |
| Payoff Ratio | 1.04 | 1.15 |
| Profit Factor | 1.3 | 1.33 |
| Common Sense Ratio | 1.29 | 1.48 |
| CPC Index | 0.74 | 0.84 |
| Tail Ratio | 0.99 | 1.11 |
| Outlier Win Ratio | 2.94 | 3.71 |
| Outlier Loss Ratio | 3.24 | 3.03 |
| MTD | 3.15% | -0.11% |
| 3M | 4.73% | 1.75% |
| 6M | 11.92% | 8.78% |
| YTD | 13.6% | 10.5% |
| 1Y | 21.22% | 9.94% |
| 3Y (ann.) | 21.41% | 10.03% |
| 5Y (ann.) | 21.41% | 10.03% |
| 10Y (ann.) | 21.41% | 10.03% |
| All-time (ann.) | 21.41% | 10.03% |
| Best Day | 2.91% | 1.06% |
| Worst Day | -2.7% | -1.45% |
| Best Month | 10.51% | 4.4% |
| Worst Month | -4.94% | -1.75% |
| Best Year | 13.6% | 10.5% |
| Worst Year | 6.71% | -0.5% |
| Avg. Drawdown | -1.44% | -0.74% |
| Avg. Drawdown Days | 10 | 16 |
| Recovery Factor | 2.26 | 3.23 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 1.09 |
| Avg. Up Month | 2.95% | 1.6% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 54.8% | 54.35% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.1 |
| Correlation | - | 0.04% |
| Treynor Ratio | - | 62000.29% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | -0.50 | -0.08 | - |
| 2026 | 13.60 | 10.50 | 0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-28 | 2026-02-12 | -2.99 | 169 |
| 2026-03-23 | 2026-04-08 | -1.69 | 17 |
| 2026-05-19 | 2026-07-20 | -1.55 | 63 |
| 2026-02-17 | 2026-02-27 | -1.18 | 11 |
| 2026-07-22 | 2026-07-30 | -1.09 | 9 |
| 2026-03-03 | 2026-03-04 | -0.99 | 2 |
| 2026-04-17 | 2026-04-21 | -0.60 | 5 |
| 2026-03-09 | 2026-03-10 | -0.43 | 2 |
| 2026-03-16 | 2026-03-17 | -0.37 | 2 |
| 2026-05-01 | 2026-05-01 | -0.35 | 1 |