| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 21.22% | 5.41% |
| CAGR﹪ | 21.41% | 5.45% |
| Sharpe | 1.57 | 0.8 |
| Prob. Sharpe Ratio | 93.92% | 78.6% |
| Smart Sharpe | 1.48 | 0.75 |
| Sortino | 2.32 | 1.16 |
| Smart Sortino | 2.18 | 1.09 |
| Sortino/√2 | 1.64 | 0.82 |
| Smart Sortino/√2 | 1.54 | 0.77 |
| Omega | 1.3 | 1.14 |
| Max Drawdown | -8.88% | -9.82% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2025-12-22 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 233 |
| Volatility (ann.) | 12.86% | 6.96% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.41 | 0.56 |
| Skew | -0.2 | -0.05 |
| Kurtosis | 1.2 | 0.18 |
| Ulcer Performance Index | 10.15 | 1.12 |
| Risk-Adjusted Return | 21.41% | 6.06% |
| Risk-Return Ratio | 0.1 | 0.05 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.61% | 0.38% |
| Avg. Loss | -0.63% | -0.39% |
| Win/Loss Ratio | 0.96 | 0.99 |
| Profit Ratio | 0.88 | 0.56 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.49% | 0.41% |
| Expected Yearly | 10.1% | 2.67% |
| Kelly Criterion | 7.7% | 7.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.7% |
| Expected Shortfall (cVaR) | -1.72% | -0.88% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.3 | 0.14 |
| Gain/Pain (1M) | 3.03 | 0.56 |
| Payoff Ratio | 0.96 | 0.99 |
| Profit Factor | 1.3 | 1.14 |
| Common Sense Ratio | 1.29 | 1.05 |
| CPC Index | 0.68 | 0.61 |
| Tail Ratio | 0.99 | 0.92 |
| Outlier Win Ratio | 2.94 | 3.39 |
| Outlier Loss Ratio | 3.24 | 2.62 |
| MTD | 3.15% | 0.85% |
| 3M | 4.73% | 2.42% |
| 6M | 11.92% | -0.84% |
| YTD | 13.6% | -5.12% |
| 1Y | 21.22% | 5.41% |
| 3Y (ann.) | 21.41% | 5.45% |
| 5Y (ann.) | 21.41% | 5.45% |
| 10Y (ann.) | 21.41% | 5.45% |
| All-time (ann.) | 21.41% | 5.45% |
| Best Day | 2.91% | 1.37% |
| Worst Day | -2.7% | -1.18% |
| Best Month | 10.51% | 3.28% |
| Worst Month | -4.94% | -3.73% |
| Best Year | 13.6% | 11.1% |
| Worst Year | 6.71% | -5.12% |
| Avg. Drawdown | -1.44% | -1.24% |
| Avg. Drawdown Days | 10 | 28 |
| Recovery Factor | 2.26 | 0.56 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.37 | 0.05 |
| Avg. Up Month | 1.88% | 1.91% |
| Avg. Down Month | -0.95% | -1.45% |
| Win Days | 54.8% | 53.81% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.06 |
| Correlation | - | -4.36% |
| Treynor Ratio | - | -229.16% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 11.10 | 1.65 | + |
| 2026 | 13.60 | -5.12 | -0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-22 | 2026-08-11 | -9.82 | 233 |
| 2025-09-29 | 2025-10-28 | -0.92 | 30 |
| 2025-11-21 | 2025-12-08 | -0.89 | 18 |
| 2025-08-22 | 2025-08-29 | -0.52 | 8 |
| 2025-09-12 | 2025-09-19 | -0.42 | 8 |
| 2025-08-13 | 2025-08-13 | -0.26 | 1 |
| 2025-09-05 | 2025-09-05 | -0.26 | 1 |
| 2025-09-23 | 2025-09-23 | -0.17 | 1 |
| 2025-11-05 | 2025-11-05 | -0.16 | 1 |
| 2025-12-16 | 2025-12-16 | -0.16 | 1 |