| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.71% | 35.89% |
| CAGR﹪ | 30.11% | 87.44% |
| Sharpe | 1.92 | 1.42 |
| Prob. Sharpe Ratio | 90.94% | 83.72% |
| Smart Sharpe | 1.82 | 1.35 |
| Sortino | 2.97 | 2.06 |
| Smart Sortino | 2.81 | 1.95 |
| Sortino/√2 | 2.1 | 1.46 |
| Smart Sortino/√2 | 1.99 | 1.38 |
| Omega | 1.37 | 1.25 |
| Max Drawdown | -8.58% | -31.29% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-02-26 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 50 |
| Volatility (ann.) | 14.22% | 54.67% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 3.51 | 2.79 |
| Skew | -0.01 | -0.18 |
| Kurtosis | 0.73 | 0.14 |
| Ulcer Performance Index | 5.39 | 3.63 |
| Risk-Adjusted Return | 30.11% | 87.44% |
| Risk-Return Ratio | 0.12 | 0.09 |
| Avg. Return | 0.11% | 0.31% |
| Avg. Win | 0.8% | 2.97% |
| Avg. Loss | -0.75% | -3.27% |
| Win/Loss Ratio | 1.07 | 0.91 |
| Profit Ratio | 0.96 | 0.55 |
| Expected Daily | 0.1% | 0.25% |
| Expected Monthly | 1.85% | 4.48% |
| Expected Yearly | 13.71% | 35.89% |
| Kelly Criterion | 11.92% | 16.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -5.36% |
| Expected Shortfall (cVaR) | -1.67% | -6.37% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.37 | 0.25 |
| Gain/Pain (1M) | 2.29 | 1.37 |
| Payoff Ratio | 1.07 | 0.91 |
| Profit Factor | 1.37 | 1.25 |
| Common Sense Ratio | 1.54 | 1.19 |
| CPC Index | 0.8 | 0.69 |
| Tail Ratio | 1.12 | 0.95 |
| Outlier Win Ratio | 3.24 | 3.0 |
| Outlier Loss Ratio | 2.76 | 2.36 |
| MTD | 3.15% | 8.25% |
| 3M | 4.73% | -3.1% |
| 6M | 13.71% | 35.89% |
| YTD | 13.71% | 35.89% |
| 1Y | 13.71% | 35.89% |
| 3Y (ann.) | 30.11% | 87.44% |
| 5Y (ann.) | 30.11% | 87.44% |
| 10Y (ann.) | 30.11% | 87.44% |
| All-time (ann.) | 30.11% | 87.44% |
| Best Day | 2.91% | 10.54% |
| Worst Day | -2.58% | -8.4% |
| Best Month | 10.51% | 32.56% |
| Worst Month | -4.94% | -22.67% |
| Best Year | 13.71% | 35.89% |
| Worst Year | 13.71% | 35.89% |
| Avg. Drawdown | -1.4% | -6.19% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 1.56 | 1.21 |
| Ulcer Index | 0.03 | 0.1 |
| Serenity Index | 0.78 | 0.56 |
| Avg. Up Month | 4.9% | 15.98% |
| Avg. Down Month | -4.94% | -5.73% |
| Win Days | 54.47% | 60.16% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.95 |
| Alpha | - | -0.03 |
| Correlation | - | 76.75% |
| Treynor Ratio | - | 12.17% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 13.71 | 35.89 | 2.62 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-08-11 | -31.29 | 50 |
| 2026-02-26 | 2026-04-07 | -15.03 | 41 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2026-05-15 | 2026-05-22 | -7.10 | 8 |
| 2026-05-07 | 2026-05-08 | -4.09 | 2 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |
| 2026-02-23 | 2026-02-24 | -1.77 | 2 |
| 2026-04-23 | 2026-04-23 | -1.71 | 1 |
| 2026-04-21 | 2026-04-21 | -0.59 | 1 |