| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.22% | 52.34% |
| CAGR﹪ | 21.41% | 52.86% |
| Sharpe | 1.57 | 1.14 |
| Prob. Sharpe Ratio | 93.92% | 87.06% |
| Smart Sharpe | 1.49 | 1.08 |
| Sortino | 2.32 | 1.63 |
| Smart Sortino | 2.2 | 1.54 |
| Sortino/√2 | 1.64 | 1.15 |
| Smart Sortino/√2 | 1.55 | 1.09 |
| Omega | 1.3 | 1.21 |
| Max Drawdown | -8.88% | -31.29% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 90 |
| Volatility (ann.) | 12.86% | 46.58% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.41 | 1.69 |
| Skew | -0.2 | -0.21 |
| Kurtosis | 1.2 | 0.67 |
| Ulcer Performance Index | 10.15 | 6.39 |
| Risk-Adjusted Return | 21.41% | 52.86% |
| Risk-Return Ratio | 0.1 | 0.07 |
| Avg. Return | 0.08% | 0.21% |
| Avg. Win | 0.69% | 2.45% |
| Avg. Loss | -0.72% | -2.87% |
| Win/Loss Ratio | 0.96 | 0.85 |
| Profit Ratio | 0.88 | 0.55 |
| Expected Daily | 0.08% | 0.17% |
| Expected Monthly | 1.49% | 3.29% |
| Expected Yearly | 10.1% | 23.43% |
| Kelly Criterion | 7.64% | 12.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -4.62% |
| Expected Shortfall (cVaR) | -1.72% | -5.87% |
| Max Consecutive Wins | 7 | 13 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.3 | 0.21 |
| Gain/Pain (1M) | 3.03 | 1.46 |
| Payoff Ratio | 0.96 | 0.85 |
| Profit Factor | 1.3 | 1.21 |
| Common Sense Ratio | 1.29 | 0.95 |
| CPC Index | 0.68 | 0.61 |
| Tail Ratio | 0.99 | 0.79 |
| Outlier Win Ratio | 2.94 | 3.37 |
| Outlier Loss Ratio | 3.24 | 2.63 |
| MTD | 3.15% | 8.25% |
| 3M | 4.73% | -3.1% |
| 6M | 11.92% | 33.01% |
| YTD | 13.6% | 39.79% |
| 1Y | 21.22% | 52.34% |
| 3Y (ann.) | 21.41% | 52.86% |
| 5Y (ann.) | 21.41% | 52.86% |
| 10Y (ann.) | 21.41% | 52.86% |
| All-time (ann.) | 21.41% | 52.86% |
| Best Day | 2.91% | 10.54% |
| Worst Day | -2.7% | -8.4% |
| Best Month | 10.51% | 32.56% |
| Worst Month | -4.94% | -22.67% |
| Best Year | 13.6% | 39.79% |
| Worst Year | 6.71% | 8.98% |
| Avg. Drawdown | -1.44% | -7.55% |
| Avg. Drawdown Days | 10 | 19 |
| Recovery Factor | 2.26 | 1.69 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 1.37 | 0.95 |
| Avg. Up Month | 3.77% | 12.03% |
| Avg. Down Month | -4.94% | -5.73% |
| Win Days | 54.8% | 59.6% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.78 |
| Alpha | - | -0.03 |
| Correlation | - | 76.68% |
| Treynor Ratio | - | 18.84% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.71 | 8.98 | 1.34 | + |
| 2026 | 13.60 | 39.79 | 2.93 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-08-11 | -31.29 | 50 |
| 2025-10-30 | 2026-01-27 | -17.63 | 90 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2025-10-10 | 2025-10-24 | -8.10 | 15 |
| 2026-05-15 | 2026-05-22 | -7.10 | 8 |
| 2025-08-13 | 2025-08-27 | -6.37 | 15 |
| 2025-09-22 | 2025-10-07 | -5.21 | 16 |
| 2026-05-07 | 2026-05-08 | -4.09 | 2 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |