| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 13.71% | 4.94% |
| CAGR﹪ | 30.11% | 10.38% |
| Sharpe | 1.92 | 1.1 |
| Prob. Sharpe Ratio | 90.94% | 78.15% |
| Smart Sharpe | 1.65 | 0.95 |
| Sortino | 2.97 | 1.72 |
| Smart Sortino | 2.56 | 1.48 |
| Sortino/√2 | 2.1 | 1.22 |
| Smart Sortino/√2 | 1.81 | 1.05 |
| Omega | 1.37 | 1.2 |
| Max Drawdown | -8.58% | -4.94% |
| Max DD Date | 2026-03-30 | 2026-04-21 |
| Max DD Period Start | 2026-02-26 | 2026-02-27 |
| Max DD Period End | 2026-04-13 | 2026-05-29 |
| Longest DD Days | 59 | 92 |
| Volatility (ann.) | 14.22% | 9.34% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 3.51 | 2.1 |
| Skew | -0.01 | 0.33 |
| Kurtosis | 0.73 | 0.79 |
| Ulcer Performance Index | 5.39 | 2.28 |
| Risk-Adjusted Return | 30.11% | 10.93% |
| Risk-Return Ratio | 0.12 | 0.07 |
| Avg. Return | 0.11% | 0.04% |
| Avg. Win | 0.92% | 0.58% |
| Avg. Loss | -0.82% | -0.54% |
| Win/Loss Ratio | 1.12 | 1.07 |
| Profit Ratio | 0.96 | 0.84 |
| Expected Daily | 0.1% | 0.04% |
| Expected Monthly | 1.85% | 0.69% |
| Expected Yearly | 13.71% | 4.94% |
| Kelly Criterion | 13.79% | 6.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.93% |
| Expected Shortfall (cVaR) | -1.67% | -1.1% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | 0.2 |
| Gain/Pain (1M) | 2.29 | 0.93 |
| Payoff Ratio | 1.12 | 1.07 |
| Profit Factor | 1.37 | 1.2 |
| Common Sense Ratio | 1.54 | 1.37 |
| CPC Index | 0.84 | 0.67 |
| Tail Ratio | 1.12 | 1.14 |
| Outlier Win Ratio | 3.24 | 2.98 |
| Outlier Loss Ratio | 2.76 | 2.79 |
| MTD | 3.15% | 2.43% |
| 3M | 4.73% | 5.34% |
| 6M | 13.71% | 4.94% |
| YTD | 13.71% | 4.94% |
| 1Y | 13.71% | 4.94% |
| 3Y (ann.) | 30.11% | 10.38% |
| 5Y (ann.) | 30.11% | 10.38% |
| 10Y (ann.) | 30.11% | 10.38% |
| All-time (ann.) | 30.11% | 10.38% |
| Best Day | 2.91% | 2.11% |
| Worst Day | -2.58% | -1.28% |
| Best Month | 10.51% | 4.65% |
| Worst Month | -4.94% | -2.99% |
| Best Year | 13.71% | 4.94% |
| Worst Year | 13.71% | 4.94% |
| Avg. Drawdown | -1.4% | -1.88% |
| Avg. Drawdown Days | 9 | 27 |
| Recovery Factor | 1.56 | 1.02 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.78 | 0.31 |
| Avg. Up Month | 3.93% | 2.1% |
| Avg. Down Month | -2.98% | -2.71% |
| Win Days | 54.47% | 51.72% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.01 |
| Correlation | - | 52.19% |
| Treynor Ratio | - | 14.42% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 4.94 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-05-29 | -4.94 | 92 |
| 2026-06-02 | 2026-07-30 | -4.75 | 59 |
| 2026-02-13 | 2026-02-17 | -0.82 | 5 |
| 2026-02-20 | 2026-02-24 | -0.38 | 5 |
| 2026-08-05 | 2026-08-06 | -0.28 | 2 |
| 2026-08-11 | 2026-08-11 | -0.09 | 1 |