| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 21.22% | 32.26% |
| CAGR﹪ | 21.41% | 32.56% |
| Sharpe | 1.57 | 11.08 |
| Prob. Sharpe Ratio | 93.92% | 100.0% |
| Smart Sharpe | 1.4 | 9.88 |
| Sortino | 2.32 | 35.25 |
| Smart Sortino | 2.07 | 31.42 |
| Sortino/√2 | 1.64 | 24.92 |
| Smart Sortino/√2 | 1.46 | 22.22 |
| Omega | 1.3 | 18.45 |
| Max Drawdown | -8.88% | -0.55% |
| Max DD Date | 2026-03-30 | 2025-10-27 |
| Max DD Period Start | 2026-01-28 | 2025-10-27 |
| Max DD Period End | 2026-04-13 | 2025-10-29 |
| Longest DD Days | 76 | 12 |
| Volatility (ann.) | 12.86% | 2.55% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.41 | 58.86 |
| Skew | -0.2 | 3.61 |
| Kurtosis | 1.2 | 31.75 |
| Ulcer Performance Index | 10.15 | 452.52 |
| Risk-Adjusted Return | 21.41% | 32.89% |
| Risk-Return Ratio | 0.1 | 0.7 |
| Avg. Return | 0.09% | 0.11% |
| Avg. Win | 0.64% | 0.13% |
| Avg. Loss | -1.12% | -0.05% |
| Win/Loss Ratio | 0.57 | 2.57 |
| Profit Ratio | 0.88 | 0.02 |
| Expected Daily | 0.08% | 0.11% |
| Expected Monthly | 1.49% | 2.17% |
| Expected Yearly | 10.1% | 15.0% |
| Kelly Criterion | -24.46% | 95.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.15% |
| Expected Shortfall (cVaR) | -1.72% | -0.44% |
| Max Consecutive Wins | 7 | 110 |
| Max Consecutive Losses | 5 | 1 |
| Gain/Pain Ratio | 0.3 | 17.45 |
| Gain/Pain (1M) | 3.03 | - |
| Payoff Ratio | 0.57 | 2.57 |
| Profit Factor | 1.3 | 18.45 |
| Common Sense Ratio | 1.29 | 376.6 |
| CPC Index | 0.41 | 45.83 |
| Tail Ratio | 0.99 | 20.42 |
| Outlier Win Ratio | 2.94 | 4.0 |
| Outlier Loss Ratio | 3.24 | 1.06 |
| MTD | 3.15% | 0.83% |
| 3M | 4.73% | 4.11% |
| 6M | 11.92% | 8.94% |
| YTD | 13.6% | 11.97% |
| 1Y | 21.22% | 32.26% |
| 3Y (ann.) | 21.41% | 32.56% |
| 5Y (ann.) | 21.41% | 32.56% |
| 10Y (ann.) | 21.41% | 32.56% |
| All-time (ann.) | 21.41% | 32.56% |
| Best Day | 2.91% | 1.54% |
| Worst Day | -2.7% | -0.55% |
| Best Month | 10.51% | 4.72% |
| Worst Month | -4.94% | 0.83% |
| Best Year | 13.6% | 18.12% |
| Worst Year | 6.71% | 11.97% |
| Avg. Drawdown | -1.44% | -0.23% |
| Avg. Drawdown Days | 10 | 4 |
| Recovery Factor | 2.26 | 50.64 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.37 | 203.22 |
| Avg. Up Month | 2.7% | 2.38% |
| Avg. Down Month | - | - |
| Win Days | 54.8% | 96.76% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.28 |
| Correlation | - | 8.07% |
| Treynor Ratio | - | 2017.03% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 18.12 | 2.70 | + |
| 2026 | 13.60 | 11.97 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-27 | 2025-10-29 | -0.55 | 3 |
| 2026-07-10 | 2026-07-21 | -0.46 | 12 |
| 2025-09-29 | 2025-10-01 | -0.31 | 3 |
| 2025-11-28 | 2025-12-01 | -0.11 | 4 |
| 2025-11-13 | 2025-11-13 | -0.09 | 1 |
| 2026-07-29 | 2026-07-29 | -0.05 | 1 |
| 2026-05-12 | 2026-05-12 | -0.02 | 1 |