| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 13.71% | 9.05% |
| CAGR﹪ | 30.11% | 19.43% |
| Sharpe | 1.92 | 2.72 |
| Prob. Sharpe Ratio | 90.94% | 96.9% |
| Smart Sharpe | 1.55 | 2.2 |
| Sortino | 2.97 | 4.35 |
| Smart Sortino | 2.4 | 3.52 |
| Sortino/√2 | 2.1 | 3.08 |
| Smart Sortino/√2 | 1.7 | 2.49 |
| Omega | 1.37 | 1.58 |
| Max Drawdown | -8.58% | -1.69% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-02-26 | 2026-03-23 |
| Max DD Period End | 2026-04-13 | 2026-04-08 |
| Longest DD Days | 59 | 63 |
| Volatility (ann.) | 14.22% | 6.6% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 3.51 | 11.52 |
| Skew | -0.01 | -0.17 |
| Kurtosis | 0.73 | 1.13 |
| Ulcer Performance Index | 5.39 | 14.45 |
| Risk-Adjusted Return | 30.11% | 20.23% |
| Risk-Return Ratio | 0.12 | 0.17 |
| Avg. Return | 0.09% | 0.07% |
| Avg. Win | 0.77% | 0.32% |
| Avg. Loss | -0.67% | -0.24% |
| Win/Loss Ratio | 1.15 | 1.32 |
| Profit Ratio | 0.96 | 0.69 |
| Expected Daily | 0.1% | 0.07% |
| Expected Monthly | 1.85% | 1.25% |
| Expected Yearly | 13.71% | 9.05% |
| Kelly Criterion | 14.82% | 26.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.61% |
| Expected Shortfall (cVaR) | -1.67% | -0.86% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.37 | 0.58 |
| Gain/Pain (1M) | 2.29 | 22.35 |
| Payoff Ratio | 1.15 | 1.32 |
| Profit Factor | 1.37 | 1.58 |
| Common Sense Ratio | 1.54 | 2.22 |
| CPC Index | 0.86 | 1.21 |
| Tail Ratio | 1.12 | 1.41 |
| Outlier Win Ratio | 3.24 | 3.08 |
| Outlier Loss Ratio | 2.76 | 2.78 |
| MTD | 3.15% | -0.11% |
| 3M | 4.73% | 1.75% |
| 6M | 13.71% | 9.05% |
| YTD | 13.71% | 9.05% |
| 1Y | 13.71% | 9.05% |
| 3Y (ann.) | 30.11% | 19.43% |
| 5Y (ann.) | 30.11% | 19.43% |
| 10Y (ann.) | 30.11% | 19.43% |
| All-time (ann.) | 30.11% | 19.43% |
| Best Day | 2.91% | 1.06% |
| Worst Day | -2.58% | -1.45% |
| Best Month | 10.51% | 4.4% |
| Worst Month | -4.94% | -0.29% |
| Best Year | 13.71% | 9.05% |
| Worst Year | 13.71% | 9.05% |
| Avg. Drawdown | -1.4% | -0.68% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 1.56 | 5.2 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.78 | 4.2 |
| Avg. Up Month | 4.12% | 1.79% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 54.47% | 58.12% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.18 |
| Correlation | - | -2.27% |
| Treynor Ratio | - | -858.79% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 9.05 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-08-06 | 2026-08-11 | -0.34 | 6 |