| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 13.71% | 7.26% |
| CAGR﹪ | 30.11% | 15.44% |
| Sharpe | 1.92 | 4.84 |
| Prob. Sharpe Ratio | 90.94% | 99.96% |
| Smart Sharpe | 1.69 | 4.25 |
| Sortino | 2.97 | 8.75 |
| Smart Sortino | 2.62 | 7.69 |
| Sortino/√2 | 2.1 | 6.19 |
| Smart Sortino/√2 | 1.85 | 5.44 |
| Omega | 1.37 | 2.16 |
| Max Drawdown | -8.58% | -0.96% |
| Max DD Date | 2026-03-30 | 2026-06-25 |
| Max DD Period Start | 2026-02-26 | 2026-06-05 |
| Max DD Period End | 2026-04-13 | 2026-07-21 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 14.22% | 2.98% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 3.51 | 16.03 |
| Skew | -0.01 | -0.14 |
| Kurtosis | 0.73 | -0.4 |
| Ulcer Performance Index | 5.39 | 19.13 |
| Risk-Adjusted Return | 30.11% | 19.06% |
| Risk-Return Ratio | 0.12 | 0.3 |
| Avg. Return | 0.1% | 0.07% |
| Avg. Win | 0.56% | 0.21% |
| Avg. Loss | -0.76% | -0.18% |
| Win/Loss Ratio | 0.74 | 1.18 |
| Profit Ratio | 0.96 | 0.37 |
| Expected Daily | 0.1% | 0.06% |
| Expected Monthly | 1.85% | 1.01% |
| Expected Yearly | 13.71% | 7.26% |
| Kelly Criterion | -6.93% | 32.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.25% |
| Expected Shortfall (cVaR) | -1.67% | -0.33% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.37 | 1.16 |
| Gain/Pain (1M) | 2.29 | 24.39 |
| Payoff Ratio | 0.74 | 1.18 |
| Profit Factor | 1.37 | 2.16 |
| Common Sense Ratio | 1.54 | 2.37 |
| CPC Index | 0.55 | 1.62 |
| Tail Ratio | 1.12 | 1.1 |
| Outlier Win Ratio | 3.24 | 2.68 |
| Outlier Loss Ratio | 2.76 | 2.31 |
| MTD | 3.15% | 0.77% |
| 3M | 4.73% | 2.34% |
| 6M | 13.71% | 7.26% |
| YTD | 13.71% | 7.26% |
| 1Y | 13.71% | 7.26% |
| 3Y (ann.) | 30.11% | 15.44% |
| 5Y (ann.) | 30.11% | 15.44% |
| 10Y (ann.) | 30.11% | 15.44% |
| All-time (ann.) | 30.11% | 15.44% |
| Best Day | 2.91% | 0.49% |
| Worst Day | -2.58% | -0.39% |
| Best Month | 10.51% | 2.63% |
| Worst Month | -4.94% | -0.29% |
| Best Year | 13.71% | 7.26% |
| Worst Year | 13.71% | 7.26% |
| Avg. Drawdown | -1.4% | -0.28% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 1.56 | 7.3 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.78 | 4.16 |
| Avg. Up Month | 3.93% | 0.95% |
| Avg. Down Month | -1.03% | -0.29% |
| Win Days | 54.47% | 63.64% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.15 |
| Correlation | - | -8.62% |
| Treynor Ratio | - | -402.14% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 7.26 | 0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-07-21 | -0.96 | 47 |
| 2026-04-08 | 2026-04-27 | -0.68 | 20 |
| 2026-05-06 | 2026-05-13 | -0.49 | 8 |
| 2026-07-28 | 2026-07-30 | -0.38 | 3 |
| 2026-03-31 | 2026-04-01 | -0.29 | 2 |
| 2026-05-15 | 2026-05-15 | -0.19 | 1 |
| 2026-08-05 | 2026-08-06 | -0.19 | 2 |
| 2026-02-20 | 2026-02-20 | -0.10 | 1 |
| 2026-03-03 | 2026-03-03 | -0.10 | 1 |
| 2026-03-10 | 2026-03-10 | -0.10 | 1 |