| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 21.22% | 16.64% |
| CAGR﹪ | 21.41% | 16.78% |
| Sharpe | 1.57 | 1.67 |
| Prob. Sharpe Ratio | 93.92% | 95.26% |
| Smart Sharpe | 1.52 | 1.62 |
| Sortino | 2.32 | 2.62 |
| Smart Sortino | 2.25 | 2.54 |
| Sortino/√2 | 1.64 | 1.86 |
| Smart Sortino/√2 | 1.59 | 1.8 |
| Omega | 1.3 | 1.3 |
| Max Drawdown | -8.88% | -5.09% |
| Max DD Date | 2026-03-30 | 2025-10-20 |
| Max DD Period Start | 2026-01-28 | 2025-09-12 |
| Max DD Period End | 2026-04-13 | 2025-10-30 |
| Longest DD Days | 76 | 79 |
| Volatility (ann.) | 12.86% | 9.56% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.41 | 3.3 |
| Skew | -0.2 | 0.07 |
| Kurtosis | 1.2 | -0.28 |
| Ulcer Performance Index | 10.15 | 8.89 |
| Risk-Adjusted Return | 21.41% | 18.04% |
| Risk-Return Ratio | 0.1 | 0.11 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.57% | 0.57% |
| Avg. Loss | -0.47% | -0.46% |
| Win/Loss Ratio | 1.23 | 1.24 |
| Profit Ratio | 0.88 | 0.83 |
| Expected Daily | 0.08% | 0.06% |
| Expected Monthly | 1.49% | 1.19% |
| Expected Yearly | 10.1% | 8.0% |
| Kelly Criterion | 18.12% | 13.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.93% |
| Expected Shortfall (cVaR) | -1.72% | -1.12% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.3 | 0.3 |
| Gain/Pain (1M) | 3.03 | 3.62 |
| Payoff Ratio | 1.23 | 1.24 |
| Profit Factor | 1.3 | 1.3 |
| Common Sense Ratio | 1.29 | 1.52 |
| CPC Index | 0.88 | 0.84 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.94 | 2.83 |
| Outlier Loss Ratio | 3.24 | 2.64 |
| MTD | 3.15% | -2.35% |
| 3M | 4.73% | 4.07% |
| 6M | 11.92% | 13.04% |
| YTD | 13.6% | 15.26% |
| 1Y | 21.22% | 16.64% |
| 3Y (ann.) | 21.41% | 16.78% |
| 5Y (ann.) | 21.41% | 16.78% |
| 10Y (ann.) | 21.41% | 16.78% |
| All-time (ann.) | 21.41% | 16.78% |
| Best Day | 2.91% | 1.67% |
| Worst Day | -2.7% | -1.43% |
| Best Month | 10.51% | 5.58% |
| Worst Month | -4.94% | -2.35% |
| Best Year | 13.6% | 15.26% |
| Worst Year | 6.71% | 1.19% |
| Avg. Drawdown | -1.44% | -1.57% |
| Avg. Drawdown Days | 10 | 16 |
| Recovery Factor | 2.26 | 3.11 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.37 | 1.25 |
| Avg. Up Month | 3.33% | 1.81% |
| Avg. Down Month | - | - |
| Win Days | 54.8% | 51.95% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.09 |
| Alpha | - | 0.18 |
| Correlation | - | -12.74% |
| Treynor Ratio | - | -175.65% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 1.19 | 0.18 | - |
| 2026 | 13.60 | 15.26 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-12 | 2025-10-30 | -5.09 | 49 |
| 2026-04-07 | 2026-05-29 | -4.14 | 53 |
| 2025-11-11 | 2026-01-28 | -3.67 | 79 |
| 2026-06-09 | 2026-07-16 | -3.14 | 38 |
| 2026-08-03 | 2026-08-11 | -2.35 | 9 |
| 2025-08-15 | 2025-09-10 | -2.05 | 27 |
| 2026-02-03 | 2026-02-17 | -1.78 | 15 |
| 2026-03-03 | 2026-03-16 | -1.30 | 14 |
| 2025-08-13 | 2025-08-13 | -0.91 | 1 |
| 2026-03-25 | 2026-03-25 | -0.74 | 1 |