| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 21.22% | 9.56% |
| CAGR﹪ | 21.41% | 9.64% |
| Sharpe | 1.57 | 2.84 |
| Prob. Sharpe Ratio | 93.92% | 99.71% |
| Smart Sharpe | 1.46 | 2.64 |
| Sortino | 2.32 | 4.43 |
| Smart Sortino | 2.16 | 4.11 |
| Sortino/√2 | 1.64 | 3.13 |
| Smart Sortino/√2 | 1.52 | 2.91 |
| Omega | 1.3 | 1.58 |
| Max Drawdown | -8.88% | -2.67% |
| Max DD Date | 2026-03-30 | 2026-01-30 |
| Max DD Period Start | 2026-01-28 | 2025-12-05 |
| Max DD Period End | 2026-04-13 | 2026-03-04 |
| Longest DD Days | 76 | 90 |
| Volatility (ann.) | 12.86% | 3.26% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.41 | 3.61 |
| Skew | -0.2 | -0.33 |
| Kurtosis | 1.2 | 0.12 |
| Ulcer Performance Index | 10.15 | 13.57 |
| Risk-Adjusted Return | 21.41% | 12.05% |
| Risk-Return Ratio | 0.1 | 0.18 |
| Avg. Return | 0.1% | 0.05% |
| Avg. Win | 0.54% | 0.21% |
| Avg. Loss | -0.75% | -0.2% |
| Win/Loss Ratio | 0.71 | 1.02 |
| Profit Ratio | 0.88 | 0.31 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.49% | 0.7% |
| Expected Yearly | 10.1% | 4.67% |
| Kelly Criterion | -8.48% | 22.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.3% |
| Expected Shortfall (cVaR) | -1.72% | -0.39% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.3 | 0.58 |
| Gain/Pain (1M) | 3.03 | 2.99 |
| Payoff Ratio | 0.71 | 1.02 |
| Profit Factor | 1.3 | 1.58 |
| Common Sense Ratio | 1.29 | 1.6 |
| CPC Index | 0.51 | 0.98 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.94 | 3.27 |
| Outlier Loss Ratio | 3.24 | 1.99 |
| MTD | 3.15% | 0.77% |
| 3M | 4.73% | 2.34% |
| 6M | 11.92% | 7.48% |
| YTD | 13.6% | 6.28% |
| 1Y | 21.22% | 9.56% |
| 3Y (ann.) | 21.41% | 9.64% |
| 5Y (ann.) | 21.41% | 9.64% |
| 10Y (ann.) | 21.41% | 9.64% |
| All-time (ann.) | 21.41% | 9.64% |
| Best Day | 2.91% | 0.52% |
| Worst Day | -2.7% | -0.72% |
| Best Month | 10.51% | 2.63% |
| Worst Month | -4.94% | -2.13% |
| Best Year | 13.6% | 6.28% |
| Worst Year | 6.71% | 3.08% |
| Avg. Drawdown | -1.44% | -0.41% |
| Avg. Drawdown Days | 10 | 10 |
| Recovery Factor | 2.26 | 3.44 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.37 | 1.26 |
| Avg. Up Month | 3.3% | 1.05% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 54.8% | 61.11% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.1 |
| Correlation | - | -8.5% |
| Treynor Ratio | - | -444.35% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 3.08 | 0.46 | - |
| 2026 | 13.60 | 6.28 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-05 | 2026-03-04 | -2.67 | 90 |
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |
| 2025-10-08 | 2025-11-06 | -0.94 | 30 |
| 2026-04-08 | 2026-04-24 | -0.68 | 17 |
| 2026-05-06 | 2026-05-13 | -0.49 | 8 |
| 2025-11-10 | 2025-11-14 | -0.47 | 5 |
| 2025-11-28 | 2025-12-03 | -0.46 | 6 |
| 2026-07-28 | 2026-07-30 | -0.38 | 3 |
| 2026-03-31 | 2026-04-01 | -0.29 | 2 |
| 2025-08-22 | 2025-08-22 | -0.29 | 1 |