| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 34.0% |
| Cumulative Return | 13.63% | 4.59% |
| CAGR﹪ | 30.2% | 9.71% |
| Sharpe | 1.92 | 9.52 |
| Prob. Sharpe Ratio | 90.83% | 100.0% |
| Smart Sharpe | 1.6 | 7.93 |
| Sortino | 2.97 | 58.77 |
| Smart Sortino | 2.47 | 48.94 |
| Sortino/√2 | 2.1 | 41.56 |
| Smart Sortino/√2 | 1.75 | 34.61 |
| Omega | 1.37 | 41.89 |
| Max Drawdown | -8.58% | -0.11% |
| Max DD Date | 2026-03-30 | 2026-03-13 |
| Max DD Period Start | 2026-02-26 | 2026-03-13 |
| Max DD Period End | 2026-04-13 | 2026-03-13 |
| Longest DD Days | 59 | 1 |
| Volatility (ann.) | 14.28% | 0.97% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 3.52 | 88.44 |
| Skew | -0.01 | 1.47 |
| Kurtosis | 0.7 | 3.52 |
| Ulcer Performance Index | 5.34 | 459.75 |
| Risk-Adjusted Return | 30.2% | 28.56% |
| Risk-Return Ratio | 0.12 | 0.6 |
| Avg. Return | 0.32% | 0.11% |
| Avg. Win | 0.79% | 0.12% |
| Avg. Loss | -0.57% | -0.11% |
| Win/Loss Ratio | 1.4 | 1.12 |
| Profit Ratio | 0.99 | 0.0 |
| Expected Daily | 0.1% | 0.04% |
| Expected Monthly | 1.84% | 0.64% |
| Expected Yearly | 13.63% | 4.59% |
| Kelly Criterion | 21.26% | 95.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.06% |
| Expected Shortfall (cVaR) | -1.67% | -0.11% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.37 | 40.89 |
| Gain/Pain (1M) | 2.28 | - |
| Payoff Ratio | 1.4 | 1.12 |
| Profit Factor | 1.37 | 41.89 |
| Common Sense Ratio | 1.54 | - |
| CPC Index | 1.04 | 45.91 |
| Tail Ratio | 1.13 | - |
| Outlier Win Ratio | 3.21 | 5.27 |
| Outlier Loss Ratio | 2.76 | -0.0 |
| MTD | 3.15% | 0.45% |
| 3M | 4.73% | 2.85% |
| 6M | 13.63% | 4.59% |
| YTD | 13.63% | 4.59% |
| 1Y | 13.63% | 4.59% |
| 3Y (ann.) | 30.2% | 9.71% |
| 5Y (ann.) | 30.2% | 9.71% |
| 10Y (ann.) | 30.2% | 9.71% |
| All-time (ann.) | 30.2% | 9.71% |
| Best Day | 2.91% | 0.33% |
| Worst Day | -2.58% | -0.11% |
| Best Month | 10.51% | 1.01% |
| Worst Month | -4.94% | 0.33% |
| Best Year | 13.63% | 4.59% |
| Worst Year | 13.63% | 4.59% |
| Avg. Drawdown | -1.4% | -0.11% |
| Avg. Drawdown Days | 9 | 1 |
| Recovery Factor | 1.55 | 40.89 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.76 | 251.3 |
| Avg. Up Month | 3.91% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 54.1% | 97.56% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.09 |
| Correlation | - | 23.16% |
| Treynor Ratio | - | 290.68% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 4.59 | 0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-13 | 2026-03-13 | -0.11 | 1 |