| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 33.95% | 26.86% |
| CAGR﹪ | 24.51% | 19.54% |
| Sharpe | 1.79 | 1.33 |
| Prob. Sharpe Ratio | 99.15% | 91.01% |
| Smart Sharpe | 1.52 | 1.13 |
| Sortino | 4.99 | 2.4 |
| Smart Sortino | 4.24 | 2.04 |
| Sortino/√2 | 3.53 | 1.69 |
| Smart Sortino/√2 | 3.0 | 1.44 |
| Omega | 4.49 | 2.6 |
| Max Drawdown | -5.76% | -7.99% |
| Max DD Date | 2026-03-31 | 2026-03-31 |
| Max DD Period Start | 2026-02-28 | 2026-03-31 |
| Max DD Period End | 2026-03-31 | 2026-04-30 |
| Longest DD Days | 32 | 32 |
| Volatility (ann.) | 12.77% | 14.26% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 4.26 | 2.45 |
| Skew | 0.56 | -0.63 |
| Kurtosis | 0.9 | 0.48 |
| Ulcer Performance Index | 20.79 | 9.87 |
| Risk-Adjusted Return | 9889.91% | 4140.86% |
| Risk-Return Ratio | 0.52 | 0.38 |
| Avg. Return | 1.91% | 1.58% |
| Avg. Win | 3.92% | 3.65% |
| Avg. Loss | -1.97% | -3.86% |
| Win/Loss Ratio | 1.99 | 0.94 |
| Profit Ratio | 0.93 | 0.54 |
| Expected Daily | 1.84% | 1.5% |
| Expected Monthly | 1.84% | 1.5% |
| Expected Yearly | 15.74% | 12.63% |
| Kelly Criterion | 53.02% | 35.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.16% | -5.19% |
| Expected Shortfall (cVaR) | -4.94% | -7.99% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 2 | 2 |
| Gain/Pain Ratio | 3.49 | 1.6 |
| Gain/Pain (1M) | 3.49 | 1.6 |
| Payoff Ratio | 1.99 | 0.94 |
| Profit Factor | 4.49 | 2.6 |
| Common Sense Ratio | 16.28 | 4.27 |
| CPC Index | 6.13 | 1.69 |
| Tail Ratio | 3.63 | 1.65 |
| Outlier Win Ratio | 2.77 | 2.12 |
| Outlier Loss Ratio | 2.49 | 2.29 |
| MTD | -1.05% | -2.74% |
| 3M | 13.91% | 4.25% |
| 6M | 8.94% | 3.94% |
| YTD | 8.94% | 3.94% |
| 1Y | 20.92% | 20.31% |
| 3Y (ann.) | 24.51% | 19.54% |
| 5Y (ann.) | 24.51% | 19.54% |
| 10Y (ann.) | 24.51% | 19.54% |
| All-time (ann.) | 24.51% | 19.54% |
| Best Day | 10.51% | 8.14% |
| Worst Day | -4.94% | -7.99% |
| Best Month | 10.51% | 8.14% |
| Worst Month | -4.94% | -7.99% |
| Best Year | 22.97% | 22.05% |
| Worst Year | 8.94% | 3.94% |
| Avg. Drawdown | -2.9% | -3.93% |
| Avg. Drawdown Days | 22 | 16 |
| Recovery Factor | 5.29 | 3.16 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 11.95 | 5.62 |
| Avg. Up Month | 3.92% | 3.65% |
| Avg. Down Month | -1.97% | -3.86% |
| Win Days | 68.75% | 68.75% |
| Win Month | 68.75% | 68.75% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.84 |
| Alpha | - | -0.0 |
| Correlation | - | 75.09% |
| Treynor Ratio | - | 32.04% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 22.97 | 22.05 | 0.96 | - |
| 2026 | 8.94 | 3.94 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-04-30 | -7.99 | 31 |
| 2026-06-30 | 2026-07-31 | -5.61 | 32 |
| 2025-04-30 | 2025-04-30 | -1.77 | 1 |
| 2025-12-31 | 2025-12-31 | -0.37 | 1 |