| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 21.22% | 13.25% |
| CAGR﹪ | 21.41% | 13.36% |
| Sharpe | 1.57 | 2.43 |
| Prob. Sharpe Ratio | 93.92% | 99.14% |
| Smart Sharpe | 1.47 | 2.27 |
| Sortino | 2.32 | 3.74 |
| Smart Sortino | 2.17 | 3.5 |
| Sortino/√2 | 1.64 | 2.64 |
| Smart Sortino/√2 | 1.54 | 2.47 |
| Omega | 1.3 | 1.48 |
| Max Drawdown | -8.88% | -3.08% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-08-07 |
| Longest DD Days | 76 | 65 |
| Volatility (ann.) | 12.86% | 5.22% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.41 | 4.33 |
| Skew | -0.2 | -0.21 |
| Kurtosis | 1.2 | 0.14 |
| Ulcer Performance Index | 10.15 | 14.08 |
| Risk-Adjusted Return | 21.41% | 14.85% |
| Risk-Return Ratio | 0.1 | 0.15 |
| Avg. Return | 0.1% | 0.06% |
| Avg. Win | 0.66% | 0.3% |
| Avg. Loss | -0.72% | -0.32% |
| Win/Loss Ratio | 0.92 | 0.94 |
| Profit Ratio | 0.88 | 0.45 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.49% | 0.96% |
| Expected Yearly | 10.1% | 6.42% |
| Kelly Criterion | 5.57% | 18.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.49% |
| Expected Shortfall (cVaR) | -1.72% | -0.66% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.3 | 0.48 |
| Gain/Pain (1M) | 3.03 | 5.48 |
| Payoff Ratio | 0.92 | 0.94 |
| Profit Factor | 1.3 | 1.48 |
| Common Sense Ratio | 1.29 | 1.54 |
| CPC Index | 0.65 | 0.84 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.94 | 3.06 |
| Outlier Loss Ratio | 3.24 | 2.56 |
| MTD | 3.15% | 0.68% |
| 3M | 4.73% | 1.43% |
| 6M | 11.92% | 3.97% |
| YTD | 13.6% | 6.42% |
| 1Y | 21.22% | 13.25% |
| 3Y (ann.) | 21.41% | 13.36% |
| 5Y (ann.) | 21.41% | 13.36% |
| 10Y (ann.) | 21.41% | 13.36% |
| All-time (ann.) | 21.41% | 13.36% |
| Best Day | 2.91% | 1.02% |
| Worst Day | -2.7% | -0.89% |
| Best Month | 10.51% | 2.95% |
| Worst Month | -4.94% | -1.36% |
| Best Year | 13.6% | 6.42% |
| Worst Year | 6.71% | 6.41% |
| Avg. Drawdown | -1.44% | -0.72% |
| Avg. Drawdown Days | 10 | 12 |
| Recovery Factor | 2.26 | 4.08 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 1.91 |
| Avg. Up Month | 2.7% | 1.27% |
| Avg. Down Month | -2.98% | -1.16% |
| Win Days | 54.8% | 60.44% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.09 |
| Correlation | - | 46.7% |
| Treynor Ratio | - | 69.89% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 6.41 | 0.96 | - |
| 2026 | 13.60 | 6.42 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-08-07 | -3.08 | 65 |
| 2025-11-13 | 2025-12-24 | -1.96 | 42 |
| 2026-03-02 | 2026-04-07 | -1.85 | 37 |
| 2026-04-09 | 2026-04-28 | -1.37 | 20 |
| 2026-01-15 | 2026-01-23 | -1.34 | 9 |
| 2025-10-02 | 2025-10-22 | -1.15 | 21 |
| 2026-01-30 | 2026-02-10 | -0.83 | 12 |
| 2026-05-19 | 2026-05-29 | -0.74 | 11 |
| 2026-02-12 | 2026-02-17 | -0.69 | 6 |
| 2025-08-15 | 2025-08-20 | -0.59 | 6 |