| Parameter | Value |
|---|---|
| start | 2025-03-25 00:00:00 |
| end | 2026-02-14 00:00:00 |
| benchmark_start | 2025-03-25 00:00:00 |
| benchmark_end | 2026-02-14 00:00:00 |
| BACKTESTING_DATA_SOURCE | YahooDataBacktesting |
| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 3.59% | 3.59% |
| Time in Market | 69.0% | 67.0% |
|
|
||
| Total Return | 20% | 23% |
| CAGR% (Annual Return) | 22.34% | 25.88% |
|
|
||
| Sharpe | 0.95 | 1.3 |
| RoMaD | 1.63 | 4.35 |
| Corr to Benchmark | 1.0 | -0.34 |
| Prob. Sharpe Ratio | 67.15% | 78.03% |
| Smart Sharpe | 0.71 | 0.96 |
| Sortino | 1.46 | 1.89 |
| Smart Sortino | 1.08 | 1.4 |
| Sortino/√2 | 1.03 | 1.34 |
| Smart Sortino/√2 | 0.77 | 0.99 |
| Omega | 1.3 | 1.3 |
|
|
||
| Max Drawdown | -13.72% | -5.95% |
| Longest DD Days | 47 | 57 |
| Volatility (ann.) | 19.36% | 15.91% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.63 | 4.35 |
| Skew | 2.14 | -0.34 |
| Kurtosis | 40.15 | 12.42 |
|
|
||
| Expected Daily% | 0.06% | 0.06% |
| Expected Monthly% | 1.52% | 1.73% |
| Expected Yearly% | 9.45% | 10.85% |
| Daily Value-at-Risk | -1.61% | -1.3% |
| Expected Shortfall (cVaR) | -1.61% | -1.3% |
|
|
||
| MTD | -1.48% | -1.42% |
| 3M | 1.76% | 0.05% |
| 6M | 6.31% | 5.49% |
| YTD | -0.02% | -0.96% |
| 1Y | 19.78% | 22.88% |
| 3Y (ann.) | 22.34% | 25.88% |
| 5Y (ann.) | 22.34% | 25.88% |
| 10Y (ann.) | 22.34% | 25.88% |
| All-time (ann.) | 22.34% | 25.88% |
|
|
||
| Best Day | 10.5% | 4.84% |
| Worst Day | -5.85% | -5.21% |
| Best Month | 6.28% | 4.23% |
| Worst Month | -2.56% | -1.42% |
| Best Year | 19.81% | 24.07% |
| Worst Year | -0.02% | -0.96% |
|
|
||
| Avg. Drawdown | -1.68% | -1.44% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 1.44 | 3.65 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 1.16 | 2.17 |
|
|
||
| Avg. Up Month | 2.91% | 2.38% |
| Avg. Down Month | -1.48% | -1.42% |
| Win Days | 186.6 | 184.22 |
| Loss Days | 141.4 | 143.78 |
| Win Days% | 56.89% | 56.16% |
| Win Month% | 75.0% | 83.33% |
| Win Quarter% | 60.0% | 80.0% |
| Win Year% | 50.0% | 50.0% |
|
|
||
| Beta | - | -0.28 |
| Alpha | - | 0.3 |
| Correlation | - | -34.21% |
| Treynor Ratio | - | -68.62% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 19.81 | 24.07 | 1.22 | + |
| 2026 | -0.02 | -0.96 | 38.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-09 | 2025-06-04 | -5.95 | 57 |
| 2025-10-31 | 2025-12-26 | -4.88 | 57 |
| 2025-03-27 | 2025-04-04 | -4.38 | 9 |
| 2025-10-11 | 2025-10-24 | -2.42 | 14 |
| 2026-01-15 | 2026-01-28 | -2.26 | 14 |
| 2026-01-30 | 2026-02-15 | -2.25 | 17 |
| 2025-08-02 | 2025-08-13 | -2.15 | 12 |
| 2025-06-13 | 2025-06-24 | -1.51 | 12 |
| 2025-09-03 | 2025-09-05 | -1.48 | 3 |
| 2025-09-25 | 2025-10-02 | -1.31 | 8 |