| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 13.71% | 3.97% |
| CAGR﹪ | 30.11% | 8.31% |
| Sharpe | 1.92 | 1.5 |
| Prob. Sharpe Ratio | 90.94% | 85.09% |
| Smart Sharpe | 1.7 | 1.33 |
| Sortino | 2.97 | 2.21 |
| Smart Sortino | 2.62 | 1.95 |
| Sortino/√2 | 2.1 | 1.56 |
| Smart Sortino/√2 | 1.86 | 1.38 |
| Omega | 1.37 | 1.28 |
| Max Drawdown | -8.58% | -3.08% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-02-26 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-08-07 |
| Longest DD Days | 59 | 65 |
| Volatility (ann.) | 14.22% | 5.4% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 3.51 | 2.7 |
| Skew | -0.01 | -0.15 |
| Kurtosis | 0.73 | 0.37 |
| Ulcer Performance Index | 5.39 | 3.37 |
| Risk-Adjusted Return | 30.11% | 9.04% |
| Risk-Return Ratio | 0.12 | 0.09 |
| Avg. Return | 0.13% | 0.04% |
| Avg. Win | 0.76% | 0.3% |
| Avg. Loss | -0.79% | -0.39% |
| Win/Loss Ratio | 0.96 | 0.77 |
| Profit Ratio | 0.96 | 0.43 |
| Expected Daily | 0.1% | 0.03% |
| Expected Monthly | 1.85% | 0.56% |
| Expected Yearly | 13.71% | 3.97% |
| Kelly Criterion | 6.84% | 7.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.53% |
| Expected Shortfall (cVaR) | -1.67% | -0.66% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | 0.28 |
| Gain/Pain (1M) | 2.29 | 1.73 |
| Payoff Ratio | 0.96 | 0.77 |
| Profit Factor | 1.37 | 1.28 |
| Common Sense Ratio | 1.54 | 1.3 |
| CPC Index | 0.71 | 0.59 |
| Tail Ratio | 1.12 | 1.02 |
| Outlier Win Ratio | 3.24 | 3.62 |
| Outlier Loss Ratio | 2.76 | 2.48 |
| MTD | 3.15% | 0.68% |
| 3M | 4.73% | 1.43% |
| 6M | 13.71% | 3.97% |
| YTD | 13.71% | 3.97% |
| 1Y | 13.71% | 3.97% |
| 3Y (ann.) | 30.11% | 8.31% |
| 5Y (ann.) | 30.11% | 8.31% |
| 10Y (ann.) | 30.11% | 8.31% |
| All-time (ann.) | 30.11% | 8.31% |
| Best Day | 2.91% | 1.02% |
| Worst Day | -2.58% | -0.89% |
| Best Month | 10.51% | 1.81% |
| Worst Month | -4.94% | -1.36% |
| Best Year | 13.71% | 3.97% |
| Worst Year | 13.71% | 3.97% |
| Avg. Drawdown | -1.4% | -0.82% |
| Avg. Drawdown Days | 9 | 14 |
| Recovery Factor | 1.56 | 1.29 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.78 | 0.45 |
| Avg. Up Month | 3.93% | 1.25% |
| Avg. Down Month | -2.98% | -1.16% |
| Win Days | 54.47% | 59.82% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.04 |
| Correlation | - | 37.4% |
| Treynor Ratio | - | 27.97% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 3.97 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-08-07 | -3.08 | 65 |
| 2026-03-02 | 2026-04-02 | -1.85 | 32 |
| 2026-04-09 | 2026-04-28 | -1.37 | 20 |
| 2026-05-19 | 2026-05-29 | -0.74 | 11 |
| 2026-04-30 | 2026-05-01 | -0.27 | 2 |
| 2026-02-13 | 2026-02-17 | -0.21 | 5 |
| 2026-04-07 | 2026-04-07 | -0.21 | 1 |
| 2026-05-14 | 2026-05-15 | -0.20 | 2 |
| 2026-05-05 | 2026-05-07 | -0.14 | 3 |
| 2026-08-11 | 2026-08-11 | -0.13 | 1 |