| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 13.71% | -0.75% |
| CAGR﹪ | 30.11% | -1.54% |
| Sharpe | 1.92 | -0.16 |
| Prob. Sharpe Ratio | 90.94% | 45.67% |
| Smart Sharpe | 1.76 | -0.14 |
| Sortino | 2.97 | -0.23 |
| Smart Sortino | 2.72 | -0.21 |
| Sortino/√2 | 2.1 | -0.16 |
| Smart Sortino/√2 | 1.93 | -0.15 |
| Omega | 1.37 | 0.98 |
| Max Drawdown | -8.58% | -7.07% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-02-26 | 2026-04-02 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 132 |
| Volatility (ann.) | 14.22% | 7.92% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 3.51 | -0.22 |
| Skew | -0.01 | 0.2 |
| Kurtosis | 0.73 | -0.1 |
| Ulcer Performance Index | 5.39 | -0.19 |
| Risk-Adjusted Return | 30.11% | -1.69% |
| Risk-Return Ratio | 0.12 | -0.01 |
| Avg. Return | 0.09% | -0.01% |
| Avg. Win | 0.81% | 0.46% |
| Avg. Loss | -0.67% | -0.41% |
| Win/Loss Ratio | 1.22 | 1.11 |
| Profit Ratio | 0.96 | 0.78 |
| Expected Daily | 0.1% | -0.01% |
| Expected Monthly | 1.85% | -0.11% |
| Expected Yearly | 13.71% | -0.75% |
| Kelly Criterion | 17.01% | 0.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.83% |
| Expected Shortfall (cVaR) | -1.67% | -0.97% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.37 | -0.02 |
| Gain/Pain (1M) | 2.29 | -0.1 |
| Payoff Ratio | 1.22 | 1.11 |
| Profit Factor | 1.37 | 0.98 |
| Common Sense Ratio | 1.54 | 1.04 |
| CPC Index | 0.91 | 0.52 |
| Tail Ratio | 1.12 | 1.07 |
| Outlier Win Ratio | 3.24 | 3.38 |
| Outlier Loss Ratio | 2.76 | 2.44 |
| MTD | 3.15% | 0.85% |
| 3M | 4.73% | 2.42% |
| 6M | 13.71% | -0.75% |
| YTD | 13.71% | -0.75% |
| 1Y | 13.71% | -0.75% |
| 3Y (ann.) | 30.11% | -1.54% |
| 5Y (ann.) | 30.11% | -1.54% |
| 10Y (ann.) | 30.11% | -1.54% |
| All-time (ann.) | 30.11% | -1.54% |
| Best Day | 2.91% | 1.37% |
| Worst Day | -2.58% | -1.18% |
| Best Month | 10.51% | 3.16% |
| Worst Month | -4.94% | -3.73% |
| Best Year | 13.71% | -0.75% |
| Worst Year | 13.71% | -0.75% |
| Avg. Drawdown | -1.4% | -1.71% |
| Avg. Drawdown Days | 9 | 28 |
| Recovery Factor | 1.56 | 0.09 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 0.78 | -0.01 |
| Avg. Up Month | 2.29% | 1.36% |
| Avg. Down Month | -1.03% | -2.48% |
| Win Days | 54.47% | 47.75% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.02 |
| Alpha | - | -0.01 |
| Correlation | - | -3.96% |
| Treynor Ratio | - | 34.17% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | -0.75 | -0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-02 | 2026-08-11 | -7.07 | 132 |
| 2026-02-27 | 2026-03-19 | -1.41 | 21 |
| 2026-02-13 | 2026-02-17 | -0.75 | 5 |
| 2026-02-20 | 2026-02-25 | -0.50 | 6 |
| 2026-03-23 | 2026-03-27 | -0.41 | 5 |
| 2026-03-31 | 2026-03-31 | -0.08 | 1 |