| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 82.76% | 47.38% |
| CAGR﹪ | 24.52% | 15.15% |
| Sharpe | 1.79 | 2.34 |
| Prob. Sharpe Ratio | 99.9% | 100.0% |
| Smart Sharpe | 1.77 | 2.31 |
| Sortino | 4.16 | 8.48 |
| Smart Sortino | 4.1 | 8.37 |
| Sortino/√2 | 2.94 | 6.0 |
| Smart Sortino/√2 | 2.9 | 5.92 |
| Omega | 3.75 | 7.69 |
| Max Drawdown | -7.58% | -2.59% |
| Max DD Date | 2025-04-30 | 2026-03-31 |
| Max DD Period Start | 2025-02-28 | 2026-02-28 |
| Max DD Period End | 2025-05-31 | 2026-03-31 |
| Longest DD Days | 93 | 62 |
| Volatility (ann.) | 12.76% | 6.13% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.27 | -0.27 |
| Calmar | 3.23 | 5.84 |
| Skew | 0.1 | 0.62 |
| Kurtosis | 0.12 | 0.26 |
| Ulcer Performance Index | 35.89 | 82.05 |
| Risk-Adjusted Return | 9896.35% | 1833.15% |
| Risk-Return Ratio | 0.52 | 0.68 |
| Avg. Return | 1.91% | 1.2% |
| Avg. Win | 4.01% | 2.13% |
| Avg. Loss | -2.65% | -0.54% |
| Win/Loss Ratio | 1.52 | 3.92 |
| Profit Ratio | 0.71 | 1.45 |
| Expected Daily | 1.84% | 1.18% |
| Expected Monthly | 1.84% | 1.18% |
| Expected Yearly | 16.27% | 10.18% |
| Kelly Criterion | 49.71% | 61.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.15% | -1.71% |
| Expected Shortfall (cVaR) | -5.25% | -2.32% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 3 | 2 |
| Gain/Pain Ratio | 2.75 | 6.69 |
| Gain/Pain (1M) | 2.75 | 6.69 |
| Payoff Ratio | 1.52 | 3.92 |
| Profit Factor | 3.75 | 7.69 |
| Common Sense Ratio | 6.33 | 36.2 |
| CPC Index | 3.96 | 21.04 |
| Tail Ratio | 1.69 | 4.71 |
| Outlier Win Ratio | 2.7 | 2.7 |
| Outlier Loss Ratio | 2.34 | 3.28 |
| MTD | -1.05% | -0.4% |
| 3M | 13.91% | 7.4% |
| 6M | 8.94% | 5.54% |
| YTD | 8.94% | 5.54% |
| 1Y | 20.92% | 16.03% |
| 3Y (ann.) | 24.52% | 15.15% |
| 5Y (ann.) | 24.52% | 15.15% |
| 10Y (ann.) | 24.52% | 15.15% |
| All-time (ann.) | 24.52% | 15.15% |
| Best Day | 10.51% | 5.35% |
| Worst Day | -5.57% | -2.32% |
| Best Month | 10.51% | 5.35% |
| Worst Month | -5.57% | -2.32% |
| Best Year | 24.89% | 17.93% |
| Worst Year | 8.94% | 5.54% |
| Avg. Drawdown | -3.79% | -0.84% |
| Avg. Drawdown Days | 27 | 23 |
| Recovery Factor | 8.31 | 15.24 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 15.01 | 64.94 |
| Avg. Up Month | 4.01% | 2.13% |
| Avg. Down Month | -2.65% | -0.54% |
| Win Days | 69.7% | 69.7% |
| Win Month | 69.7% | 69.7% |
| Win Quarter | 75.0% | 83.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.37 |
| Alpha | - | 0.06 |
| Correlation | - | 76.75% |
| Treynor Ratio | - | 128.51% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 14.12 | 5.69 | 0.40 | - |
| 2024 | 24.89 | 12.03 | 0.48 | - |
| 2025 | 17.72 | 17.93 | 1.01 | + |
| 2026 | 8.94 | 5.54 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-28 | 2026-03-31 | -2.59 | 32 |
| 2024-01-31 | 2024-02-29 | -1.14 | 30 |
| 2025-02-28 | 2025-04-30 | -0.89 | 62 |
| 2026-06-30 | 2026-07-31 | -0.73 | 32 |
| 2025-12-31 | 2025-12-31 | -0.44 | 1 |
| 2024-12-31 | 2024-12-31 | -0.09 | 1 |
| 2024-04-30 | 2024-04-30 | -0.03 | 1 |