| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 21.22% | 8.14% |
| CAGR﹪ | 21.41% | 8.2% |
| Sharpe | 1.57 | 1.2 |
| Prob. Sharpe Ratio | 93.92% | 88.25% |
| Smart Sharpe | 1.53 | 1.16 |
| Sortino | 2.32 | 1.81 |
| Smart Sortino | 2.25 | 1.75 |
| Sortino/√2 | 1.64 | 1.28 |
| Smart Sortino/√2 | 1.59 | 1.24 |
| Omega | 1.3 | 1.24 |
| Max Drawdown | -8.88% | -4.37% |
| Max DD Date | 2026-03-30 | 2026-01-16 |
| Max DD Period Start | 2026-01-28 | 2025-12-31 |
| Max DD Period End | 2026-04-13 | 2026-03-31 |
| Longest DD Days | 76 | 105 |
| Volatility (ann.) | 12.86% | 6.77% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.41 | 1.88 |
| Skew | -0.2 | -0.06 |
| Kurtosis | 1.2 | 2.86 |
| Ulcer Performance Index | 10.15 | 4.31 |
| Risk-Adjusted Return | 21.41% | 10.13% |
| Risk-Return Ratio | 0.1 | 0.08 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.65% | 0.39% |
| Avg. Loss | -0.47% | -0.33% |
| Win/Loss Ratio | 1.39 | 1.19 |
| Profit Ratio | 0.88 | 0.48 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.49% | 0.6% |
| Expected Yearly | 10.1% | 3.99% |
| Kelly Criterion | 22.24% | 12.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.67% |
| Expected Shortfall (cVaR) | -1.72% | -0.96% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.3 | 0.24 |
| Gain/Pain (1M) | 3.03 | 1.73 |
| Payoff Ratio | 1.39 | 1.19 |
| Profit Factor | 1.3 | 1.24 |
| Common Sense Ratio | 1.29 | 1.47 |
| CPC Index | 0.99 | 0.77 |
| Tail Ratio | 0.99 | 1.18 |
| Outlier Win Ratio | 2.94 | 3.84 |
| Outlier Loss Ratio | 3.24 | 2.82 |
| MTD | 3.15% | -0.13% |
| 3M | 4.73% | 6.17% |
| 6M | 11.92% | 4.87% |
| YTD | 13.6% | 4.92% |
| 1Y | 21.22% | 8.14% |
| 3Y (ann.) | 21.41% | 8.2% |
| 5Y (ann.) | 21.41% | 8.2% |
| 10Y (ann.) | 21.41% | 8.2% |
| All-time (ann.) | 21.41% | 8.2% |
| Best Day | 2.91% | 1.71% |
| Worst Day | -2.7% | -1.96% |
| Best Month | 10.51% | 5.05% |
| Worst Month | -4.94% | -2.65% |
| Best Year | 13.6% | 4.92% |
| Worst Year | 6.71% | 3.07% |
| Avg. Drawdown | -1.44% | -1.37% |
| Avg. Drawdown Days | 10 | 29 |
| Recovery Factor | 2.26 | 1.84 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 0.48 |
| Avg. Up Month | 1.59% | 2.08% |
| Avg. Down Month | -2.98% | -0.16% |
| Win Days | 54.8% | 52.24% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.03 |
| Alpha | - | 0.09 |
| Correlation | - | -5.18% |
| Treynor Ratio | - | -298.64% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 3.07 | 0.46 | - |
| 2026 | 13.60 | 4.92 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-31 | 2026-03-31 | -4.37 | 91 |
| 2026-04-02 | 2026-07-15 | -3.79 | 105 |
| 2025-08-13 | 2025-11-07 | -3.55 | 87 |
| 2026-08-11 | 2026-08-11 | -0.82 | 1 |
| 2026-07-22 | 2026-07-24 | -0.75 | 3 |
| 2025-11-17 | 2025-12-05 | -0.64 | 19 |
| 2026-08-03 | 2026-08-04 | -0.39 | 2 |
| 2026-08-07 | 2026-08-07 | -0.39 | 1 |
| 2025-12-16 | 2025-12-19 | -0.27 | 4 |
| 2025-12-24 | 2025-12-24 | -0.09 | 1 |