| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 13.71% | 8.88% |
| CAGR﹪ | 30.11% | 19.05% |
| Sharpe | 1.92 | 13.66 |
| Prob. Sharpe Ratio | 90.94% | 100.0% |
| Smart Sharpe | 1.75 | 12.42 |
| Sortino | 2.97 | 26.46 |
| Smart Sortino | 2.7 | 24.05 |
| Sortino/√2 | 2.1 | 18.71 |
| Smart Sortino/√2 | 1.91 | 17.01 |
| Omega | 1.37 | 16.79 |
| Max Drawdown | -8.58% | -0.46% |
| Max DD Date | 2026-03-30 | 2026-07-10 |
| Max DD Period Start | 2026-02-26 | 2026-07-10 |
| Max DD Period End | 2026-04-13 | 2026-07-21 |
| Longest DD Days | 59 | 12 |
| Volatility (ann.) | 14.22% | 1.28% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 3.51 | 41.64 |
| Skew | -0.01 | -1.28 |
| Kurtosis | 0.73 | 16.3 |
| Ulcer Performance Index | 5.39 | 131.7 |
| Risk-Adjusted Return | 30.11% | 19.25% |
| Risk-Return Ratio | 0.12 | 0.86 |
| Avg. Return | 0.12% | 0.07% |
| Avg. Win | 0.75% | 0.08% |
| Avg. Loss | -0.85% | -0.03% |
| Win/Loss Ratio | 0.88 | 2.56 |
| Profit Ratio | 0.96 | 0.02 |
| Expected Daily | 0.1% | 0.07% |
| Expected Monthly | 1.85% | 1.22% |
| Expected Yearly | 13.71% | 8.88% |
| Kelly Criterion | 2.83% | 95.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -0.06% |
| Expected Shortfall (cVaR) | -1.67% | -0.46% |
| Max Consecutive Wins | 7 | 60 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.37 | 15.79 |
| Gain/Pain (1M) | 2.29 | - |
| Payoff Ratio | 0.88 | 2.56 |
| Profit Factor | 1.37 | 16.79 |
| Common Sense Ratio | 1.54 | 197.98 |
| CPC Index | 0.66 | 41.57 |
| Tail Ratio | 1.12 | 11.79 |
| Outlier Win Ratio | 3.24 | 4.09 |
| Outlier Loss Ratio | 2.76 | 0.31 |
| MTD | 3.15% | 0.83% |
| 3M | 4.73% | 4.11% |
| 6M | 13.71% | 8.88% |
| YTD | 13.71% | 8.88% |
| 1Y | 13.71% | 8.88% |
| 3Y (ann.) | 30.11% | 19.05% |
| 5Y (ann.) | 30.11% | 19.05% |
| 10Y (ann.) | 30.11% | 19.05% |
| All-time (ann.) | 30.11% | 19.05% |
| Best Day | 2.91% | 0.38% |
| Worst Day | -2.58% | -0.46% |
| Best Month | 10.51% | 1.64% |
| Worst Month | -4.94% | 0.83% |
| Best Year | 13.71% | 8.88% |
| Worst Year | 13.71% | 8.88% |
| Avg. Drawdown | -1.4% | -0.17% |
| Avg. Drawdown Days | 9 | 5 |
| Recovery Factor | 1.56 | 18.62 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.78 | 34.88 |
| Avg. Up Month | 3.93% | 1.14% |
| Avg. Down Month | - | - |
| Win Days | 54.47% | 96.69% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.17 |
| Correlation | - | 9.19% |
| Treynor Ratio | - | 1076.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 8.88 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-10 | 2026-07-21 | -0.46 | 12 |
| 2026-07-29 | 2026-07-29 | -0.05 | 1 |
| 2026-05-12 | 2026-05-12 | -0.02 | 1 |