| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 13.71% | 12.53% |
| CAGR﹪ | 30.11% | 27.36% |
| Sharpe | 1.92 | 2.53 |
| Prob. Sharpe Ratio | 90.94% | 96.22% |
| Smart Sharpe | 1.83 | 2.41 |
| Sortino | 2.97 | 4.19 |
| Smart Sortino | 2.84 | 3.99 |
| Sortino/√2 | 2.1 | 2.96 |
| Smart Sortino/√2 | 2.01 | 2.82 |
| Omega | 1.37 | 1.49 |
| Max Drawdown | -8.58% | -4.14% |
| Max DD Date | 2026-03-30 | 2026-04-20 |
| Max DD Period Start | 2026-02-26 | 2026-04-07 |
| Max DD Period End | 2026-04-13 | 2026-05-29 |
| Longest DD Days | 59 | 53 |
| Volatility (ann.) | 14.22% | 9.76% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 3.51 | 6.61 |
| Skew | -0.01 | 0.09 |
| Kurtosis | 0.73 | -0.17 |
| Ulcer Performance Index | 5.39 | 8.74 |
| Risk-Adjusted Return | 30.11% | 28.8% |
| Risk-Return Ratio | 0.12 | 0.16 |
| Avg. Return | 0.11% | 0.1% |
| Avg. Win | 0.61% | 0.58% |
| Avg. Loss | -0.49% | -0.49% |
| Win/Loss Ratio | 1.26 | 1.18 |
| Profit Ratio | 0.96 | 0.86 |
| Expected Daily | 0.1% | 0.1% |
| Expected Monthly | 1.85% | 1.7% |
| Expected Yearly | 13.71% | 12.53% |
| Kelly Criterion | 18.2% | 15.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.91% |
| Expected Shortfall (cVaR) | -1.67% | -1.09% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.37 | 0.49 |
| Gain/Pain (1M) | 2.29 | 5.08 |
| Payoff Ratio | 1.26 | 1.18 |
| Profit Factor | 1.37 | 1.49 |
| Common Sense Ratio | 1.54 | 1.83 |
| CPC Index | 0.94 | 0.95 |
| Tail Ratio | 1.12 | 1.22 |
| Outlier Win Ratio | 3.24 | 2.8 |
| Outlier Loss Ratio | 2.76 | 2.68 |
| MTD | 3.15% | -2.35% |
| 3M | 4.73% | 4.07% |
| 6M | 13.71% | 12.53% |
| YTD | 13.71% | 12.53% |
| 1Y | 13.71% | 12.53% |
| 3Y (ann.) | 30.11% | 27.36% |
| 5Y (ann.) | 30.11% | 27.36% |
| 10Y (ann.) | 30.11% | 27.36% |
| All-time (ann.) | 30.11% | 27.36% |
| Best Day | 2.91% | 1.67% |
| Worst Day | -2.58% | -1.43% |
| Best Month | 10.51% | 5.58% |
| Worst Month | -4.94% | -2.35% |
| Best Year | 13.71% | 12.53% |
| Worst Year | 13.71% | 12.53% |
| Avg. Drawdown | -1.4% | -1.15% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 1.56 | 2.91 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 0.78 | 1.63 |
| Avg. Up Month | 4.12% | 2.51% |
| Avg. Down Month | - | - |
| Win Days | 54.47% | 54.31% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.13 |
| Alpha | - | 0.28 |
| Correlation | - | -18.78% |
| Treynor Ratio | - | -97.2% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 12.53 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-07 | 2026-05-29 | -4.14 | 53 |
| 2026-06-09 | 2026-07-16 | -3.14 | 38 |
| 2026-08-03 | 2026-08-11 | -2.35 | 9 |
| 2026-03-03 | 2026-03-16 | -1.30 | 14 |
| 2026-03-25 | 2026-03-25 | -0.74 | 1 |
| 2026-03-23 | 2026-03-23 | -0.63 | 1 |
| 2026-06-04 | 2026-06-04 | -0.61 | 1 |
| 2026-07-27 | 2026-07-28 | -0.60 | 2 |
| 2026-02-13 | 2026-02-13 | -0.34 | 1 |
| 2026-02-24 | 2026-02-24 | -0.33 | 1 |