| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 21.22% | 17.26% |
| CAGR﹪ | 21.41% | 17.41% |
| Sharpe | 1.57 | 2.04 |
| Prob. Sharpe Ratio | 93.92% | 97.99% |
| Smart Sharpe | 1.43 | 1.85 |
| Sortino | 2.32 | 3.23 |
| Smart Sortino | 2.1 | 2.93 |
| Sortino/√2 | 1.64 | 2.28 |
| Smart Sortino/√2 | 1.49 | 2.07 |
| Omega | 1.3 | 1.4 |
| Max Drawdown | -8.88% | -6.01% |
| Max DD Date | 2026-03-30 | 2026-04-21 |
| Max DD Period Start | 2026-01-28 | 2025-12-24 |
| Max DD Period End | 2026-04-13 | 2026-07-30 |
| Longest DD Days | 76 | 219 |
| Volatility (ann.) | 12.86% | 8.02% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.41 | 2.9 |
| Skew | -0.2 | 0.16 |
| Kurtosis | 1.2 | 1.04 |
| Ulcer Performance Index | 10.15 | 8.16 |
| Risk-Adjusted Return | 21.41% | 18.14% |
| Risk-Return Ratio | 0.1 | 0.13 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.73% | 0.48% |
| Avg. Loss | -0.76% | -0.47% |
| Win/Loss Ratio | 0.96 | 1.04 |
| Profit Ratio | 0.88 | 0.69 |
| Expected Daily | 0.08% | 0.06% |
| Expected Monthly | 1.49% | 1.23% |
| Expected Yearly | 10.1% | 8.29% |
| Kelly Criterion | 7.66% | 15.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.77% |
| Expected Shortfall (cVaR) | -1.72% | -0.97% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.3 | 0.4 |
| Gain/Pain (1M) | 3.03 | 2.46 |
| Payoff Ratio | 0.96 | 1.04 |
| Profit Factor | 1.3 | 1.4 |
| Common Sense Ratio | 1.29 | 1.61 |
| CPC Index | 0.68 | 0.83 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.94 | 3.39 |
| Outlier Loss Ratio | 3.24 | 2.83 |
| MTD | 3.15% | 2.43% |
| 3M | 4.73% | 5.34% |
| 6M | 11.92% | 4.99% |
| YTD | 13.6% | 3.4% |
| 1Y | 21.22% | 17.26% |
| 3Y (ann.) | 21.41% | 17.41% |
| 5Y (ann.) | 21.41% | 17.41% |
| 10Y (ann.) | 21.41% | 17.41% |
| All-time (ann.) | 21.41% | 17.41% |
| Best Day | 2.91% | 2.11% |
| Worst Day | -2.7% | -1.28% |
| Best Month | 10.51% | 4.65% |
| Worst Month | -4.94% | -2.99% |
| Best Year | 13.6% | 13.4% |
| Worst Year | 6.71% | 3.4% |
| Avg. Drawdown | -1.44% | -0.77% |
| Avg. Drawdown Days | 10 | 17 |
| Recovery Factor | 2.26 | 2.7 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 0.86 |
| Avg. Up Month | 2.84% | 2.48% |
| Avg. Down Month | -2.98% | -2.71% |
| Win Days | 54.8% | 57.08% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.33 |
| Alpha | - | 0.1 |
| Correlation | - | 52.74% |
| Treynor Ratio | - | 52.49% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 13.40 | 2.00 | + |
| 2026 | 13.60 | 3.40 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-24 | 2026-07-30 | -6.01 | 219 |
| 2025-10-02 | 2025-10-24 | -1.65 | 23 |
| 2025-11-13 | 2025-11-25 | -1.46 | 13 |
| 2025-11-04 | 2025-11-07 | -0.84 | 4 |
| 2025-09-12 | 2025-09-18 | -0.56 | 7 |
| 2025-09-23 | 2025-09-25 | -0.40 | 3 |
| 2025-12-16 | 2025-12-17 | -0.38 | 2 |
| 2025-12-03 | 2025-12-03 | -0.34 | 1 |
| 2025-08-26 | 2025-08-26 | -0.31 | 1 |
| 2026-08-05 | 2026-08-06 | -0.28 | 2 |