| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1.37% | -4.54% |
| CAGR﹪ | 14.66% | -37.37% |
| Sharpe | 1.43 | -5.71 |
| Prob. Sharpe Ratio | 66.93% | 3.41% |
| Smart Sharpe | 1.24 | -4.96 |
| Sortino | 2.2 | -6.23 |
| Smart Sortino | 1.92 | -5.41 |
| Sortino/√2 | 1.56 | -4.4 |
| Smart Sortino/√2 | 1.36 | -3.83 |
| Omega | 1.27 | 0.42 |
| Max Drawdown | -3.02% | - |
| Max DD Date | 2026-07-29 | - |
| Max DD Period Start | 2026-07-13 | - |
| Max DD Period End | 2026-08-03 | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 9.91% | 8.13% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.35 | -0.35 |
| Calmar | 4.85 | -7.29 |
| Skew | -0.15 | -0.03 |
| Kurtosis | 0.89 | -0.71 |
| Ulcer Performance Index | 1.2 | -1.7 |
| Risk-Adjusted Return | 14.66% | -37.37% |
| Risk-Return Ratio | 0.09 | -0.36 |
| Avg. Return | 0.06% | -0.18% |
| Avg. Win | 0.43% | 0.4% |
| Avg. Loss | -0.45% | -0.55% |
| Win/Loss Ratio | 0.96 | 0.72 |
| Profit Ratio | 1.08 | 1.33 |
| Expected Daily | 0.05% | -0.19% |
| Expected Monthly | 0.68% | -2.29% |
| Expected Yearly | 1.37% | -4.54% |
| Kelly Criterion | 1.97% | -52.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.97% | -1.03% |
| Expected Shortfall (cVaR) | -1.53% | -1.24% |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.27 | -0.58 |
| Gain/Pain (1M) | 1.94 | -1.0 |
| Payoff Ratio | 0.96 | 0.72 |
| Profit Factor | 1.27 | 0.42 |
| Common Sense Ratio | 1.85 | 0.29 |
| CPC Index | 0.63 | 0.11 |
| Tail Ratio | 1.45 | 0.68 |
| Outlier Win Ratio | 2.51 | 1.67 |
| Outlier Loss Ratio | 3.15 | 2.32 |
| MTD | 2.14% | -1.05% |
| 3M | 1.37% | -4.54% |
| 6M | 1.37% | -4.54% |
| YTD | 1.37% | -4.54% |
| 1Y | 1.37% | -4.54% |
| 3Y (ann.) | 14.66% | -37.37% |
| 5Y (ann.) | 14.66% | -37.37% |
| 10Y (ann.) | 14.66% | -37.37% |
| All-time (ann.) | 14.66% | -37.37% |
| Best Day | 1.33% | 0.63% |
| Worst Day | -1.53% | -1.24% |
| Best Month | 2.14% | -1.05% |
| Worst Month | -0.76% | -3.52% |
| Best Year | 1.37% | -4.54% |
| Worst Year | 1.37% | -4.54% |
| Avg. Drawdown | -1.24% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.46 | 0.9 |
| Ulcer Index | 0.01 | 0.03 |
| Serenity Index | 0.25 | -0.18 |
| Avg. Up Month | - | - |
| Avg. Down Month | -0.76% | -3.52% |
| Win Days | 52.0% | 36.0% |
| Win Month | 50.0% | 0.0% |
| Win Quarter | 100.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.23 |
| Alpha | - | -0.5 |
| Correlation | - | 27.47% |
| Treynor Ratio | - | -20.11% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 1.37 | -4.54 | -3.32 | - |
| Started | Recovered | Drawdown | Days |
|---|