| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 20.81% | 32.94% |
| CAGR﹪ | 21.09% | 33.4% |
| Sharpe | 1.55 | 3.14 |
| Prob. Sharpe Ratio | 93.61% | 99.91% |
| Smart Sharpe | 1.49 | 3.02 |
| Sortino | 2.29 | 5.21 |
| Smart Sortino | 2.2 | 5.01 |
| Sortino/√2 | 1.62 | 3.68 |
| Smart Sortino/√2 | 1.55 | 3.54 |
| Omega | 1.3 | 1.64 |
| Max Drawdown | -8.88% | -3.59% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-07-20 |
| Longest DD Days | 76 | 55 |
| Volatility (ann.) | 12.88% | 9.32% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.37 | 9.31 |
| Skew | -0.2 | -0.04 |
| Kurtosis | 1.19 | -0.42 |
| Ulcer Performance Index | 9.93 | 24.62 |
| Risk-Adjusted Return | 21.09% | 35.53% |
| Risk-Return Ratio | 0.1 | 0.2 |
| Avg. Return | 0.09% | 0.12% |
| Avg. Win | 0.66% | 0.57% |
| Avg. Loss | -0.68% | -0.5% |
| Win/Loss Ratio | 0.97 | 1.14 |
| Profit Ratio | 0.89 | 0.71 |
| Expected Daily | 0.08% | 0.11% |
| Expected Monthly | 1.46% | 2.21% |
| Expected Yearly | 9.91% | 15.3% |
| Kelly Criterion | 7.76% | 20.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.85% |
| Expected Shortfall (cVaR) | -1.72% | -1.0% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.3 | 0.64 |
| Gain/Pain (1M) | 2.97 | 25.45 |
| Payoff Ratio | 0.97 | 1.14 |
| Profit Factor | 1.3 | 1.64 |
| Common Sense Ratio | 1.29 | 1.9 |
| CPC Index | 0.69 | 1.07 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.93 | 2.63 |
| Outlier Loss Ratio | 3.24 | 2.44 |
| MTD | 3.15% | -0.77% |
| 3M | 4.73% | 5.62% |
| 6M | 11.92% | 16.91% |
| YTD | 13.6% | 21.76% |
| 1Y | 20.81% | 32.94% |
| 3Y (ann.) | 21.09% | 33.4% |
| 5Y (ann.) | 21.09% | 33.4% |
| 10Y (ann.) | 21.09% | 33.4% |
| All-time (ann.) | 21.09% | 33.4% |
| Best Day | 2.91% | 1.74% |
| Worst Day | -2.7% | -1.25% |
| Best Month | 10.51% | 4.92% |
| Worst Month | -4.94% | -0.77% |
| Best Year | 13.6% | 21.76% |
| Worst Year | 6.35% | 9.18% |
| Avg. Drawdown | -1.44% | -1.36% |
| Avg. Drawdown Days | 10 | 13 |
| Recovery Factor | 2.22 | 8.06 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.35 | 4.31 |
| Avg. Up Month | 2.94% | 3.19% |
| Avg. Down Month | -2.98% | -0.23% |
| Win Days | 54.62% | 57.69% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.2 |
| Alpha | - | 0.25 |
| Correlation | - | 27.62% |
| Treynor Ratio | - | 164.83% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 9.18 | 1.37 | + |
| 2026 | 13.60 | 21.76 | 1.60 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -3.59 | 47 |
| 2025-11-12 | 2026-01-05 | -3.48 | 55 |
| 2025-09-16 | 2025-10-21 | -2.32 | 36 |
| 2026-03-02 | 2026-03-17 | -2.26 | 16 |
| 2026-01-08 | 2026-01-23 | -2.22 | 16 |
| 2026-04-07 | 2026-04-22 | -1.96 | 16 |
| 2026-01-30 | 2026-02-17 | -1.86 | 19 |
| 2025-08-15 | 2025-08-21 | -1.72 | 7 |
| 2026-03-19 | 2026-03-31 | -1.66 | 13 |
| 2026-05-27 | 2026-05-29 | -1.18 | 3 |