| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 13.71% | 16.59% |
| CAGR﹪ | 30.11% | 36.94% |
| Sharpe | 1.92 | 3.37 |
| Prob. Sharpe Ratio | 90.94% | 99.15% |
| Smart Sharpe | 1.92 | 3.36 |
| Sortino | 2.97 | 5.81 |
| Smart Sortino | 2.97 | 5.8 |
| Sortino/√2 | 2.1 | 4.11 |
| Smart Sortino/√2 | 2.1 | 4.1 |
| Omega | 1.37 | 1.71 |
| Max Drawdown | -8.58% | -3.59% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-02-26 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-07-20 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 14.22% | 9.46% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 3.51 | 10.3 |
| Skew | -0.01 | 0.1 |
| Kurtosis | 0.73 | -0.29 |
| Ulcer Performance Index | 5.39 | 12.8 |
| Risk-Adjusted Return | 30.11% | 40.16% |
| Risk-Return Ratio | 0.12 | 0.21 |
| Avg. Return | 0.11% | 0.14% |
| Avg. Win | 0.69% | 0.58% |
| Avg. Loss | -0.66% | -0.51% |
| Win/Loss Ratio | 1.05 | 1.14 |
| Profit Ratio | 0.96 | 0.61 |
| Expected Daily | 0.1% | 0.12% |
| Expected Monthly | 1.85% | 2.22% |
| Expected Yearly | 13.71% | 16.59% |
| Kelly Criterion | 11.04% | 23.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.85% |
| Expected Shortfall (cVaR) | -1.67% | -0.96% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.37 | 0.71 |
| Gain/Pain (1M) | 2.29 | 13.7 |
| Payoff Ratio | 1.05 | 1.14 |
| Profit Factor | 1.37 | 1.71 |
| Common Sense Ratio | 1.54 | 2.25 |
| CPC Index | 0.78 | 1.16 |
| Tail Ratio | 1.12 | 1.32 |
| Outlier Win Ratio | 3.24 | 2.89 |
| Outlier Loss Ratio | 2.76 | 2.3 |
| MTD | 3.15% | -0.77% |
| 3M | 4.73% | 5.62% |
| 6M | 13.71% | 16.59% |
| YTD | 13.71% | 16.59% |
| 1Y | 13.71% | 16.59% |
| 3Y (ann.) | 30.11% | 36.94% |
| 5Y (ann.) | 30.11% | 36.94% |
| 10Y (ann.) | 30.11% | 36.94% |
| All-time (ann.) | 30.11% | 36.94% |
| Best Day | 2.91% | 1.74% |
| Worst Day | -2.58% | -1.13% |
| Best Month | 10.51% | 4.92% |
| Worst Month | -4.94% | -0.77% |
| Best Year | 13.71% | 16.59% |
| Worst Year | 13.71% | 16.59% |
| Avg. Drawdown | -1.4% | -1.15% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 1.56 | 4.34 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.78 | 2.53 |
| Avg. Up Month | 4.12% | 4.23% |
| Avg. Down Month | -2.98% | -0.23% |
| Win Days | 54.47% | 59.29% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.3 |
| Correlation | - | 12.6% |
| Treynor Ratio | - | 197.94% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 16.59 | 1.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -3.59 | 47 |
| 2026-03-02 | 2026-03-17 | -2.26 | 16 |
| 2026-04-07 | 2026-04-22 | -1.96 | 16 |
| 2026-03-19 | 2026-03-31 | -1.66 | 13 |
| 2026-05-27 | 2026-05-29 | -1.18 | 3 |
| 2026-08-03 | 2026-08-11 | -0.95 | 9 |
| 2026-05-06 | 2026-05-08 | -0.76 | 3 |
| 2026-04-30 | 2026-05-01 | -0.70 | 2 |
| 2026-07-28 | 2026-07-28 | -0.66 | 1 |
| 2026-05-19 | 2026-05-22 | -0.62 | 4 |