| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 44.0% |
| Cumulative Return | 21.22% | 13.44% |
| CAGR﹪ | 21.41% | 13.55% |
| Sharpe | 1.57 | 9.27 |
| Prob. Sharpe Ratio | 93.92% | 100.0% |
| Smart Sharpe | 1.43 | 8.42 |
| Sortino | 2.32 | 28.09 |
| Smart Sortino | 2.11 | 25.52 |
| Sortino/√2 | 1.64 | 19.87 |
| Smart Sortino/√2 | 1.49 | 18.04 |
| Omega | 1.3 | 13.2 |
| Max Drawdown | -8.88% | -0.54% |
| Max DD Date | 2026-03-30 | 2025-10-28 |
| Max DD Period Start | 2026-01-28 | 2025-10-27 |
| Max DD Period End | 2026-04-13 | 2025-11-05 |
| Longest DD Days | 76 | 10 |
| Volatility (ann.) | 12.86% | 1.37% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.41 | 25.01 |
| Skew | -0.2 | 1.03 |
| Kurtosis | 1.2 | 5.15 |
| Ulcer Performance Index | 10.15 | 232.98 |
| Risk-Adjusted Return | 21.41% | 30.81% |
| Risk-Return Ratio | 0.1 | 0.58 |
| Avg. Return | 0.15% | 0.11% |
| Avg. Win | 0.68% | 0.13% |
| Avg. Loss | -0.57% | -0.11% |
| Win/Loss Ratio | 1.21 | 1.18 |
| Profit Ratio | 0.88 | 0.01 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.49% | 0.97% |
| Expected Yearly | 10.1% | 6.51% |
| Kelly Criterion | 17.32% | 88.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.09% |
| Expected Shortfall (cVaR) | -1.72% | -0.16% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 5 | 2 |
| Gain/Pain Ratio | 0.3 | 12.2 |
| Gain/Pain (1M) | 3.03 | - |
| Payoff Ratio | 1.21 | 1.18 |
| Profit Factor | 1.3 | 13.2 |
| Common Sense Ratio | 1.29 | - |
| CPC Index | 0.86 | 14.64 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 2.94 | 6.63 |
| Outlier Loss Ratio | 3.24 | 0.75 |
| MTD | 3.15% | 0.45% |
| 3M | 4.73% | 2.85% |
| 6M | 11.92% | 4.59% |
| YTD | 13.6% | 5.76% |
| 1Y | 21.22% | 13.44% |
| 3Y (ann.) | 21.41% | 13.55% |
| 5Y (ann.) | 21.41% | 13.55% |
| 10Y (ann.) | 21.41% | 13.55% |
| All-time (ann.) | 21.41% | 13.55% |
| Best Day | 2.91% | 0.44% |
| Worst Day | -2.7% | -0.32% |
| Best Month | 10.51% | 2.51% |
| Worst Month | -4.94% | 0.45% |
| Best Year | 13.6% | 7.26% |
| Worst Year | 6.71% | 5.76% |
| Avg. Drawdown | -1.44% | -0.17% |
| Avg. Drawdown Days | 10 | 3 |
| Recovery Factor | 2.26 | 23.29 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.37 | 87.24 |
| Avg. Up Month | 2.7% | 1.07% |
| Avg. Down Month | - | - |
| Win Days | 54.8% | 93.64% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.13 |
| Correlation | - | 2.09% |
| Treynor Ratio | - | 6018.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 7.26 | 1.08 | + |
| 2026 | 13.60 | 5.76 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-27 | 2025-11-05 | -0.54 | 10 |
| 2026-01-09 | 2026-01-09 | -0.11 | 1 |
| 2026-03-13 | 2026-03-13 | -0.11 | 1 |
| 2025-11-21 | 2025-11-21 | -0.11 | 1 |
| 2025-12-05 | 2025-12-09 | -0.11 | 5 |
| 2025-12-18 | 2025-12-19 | -0.06 | 2 |