| Metric | SPY | ACBKX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 52.0% |
| Cumulative Return | 78.82% | 44.86% |
| CAGR﹪ | 20.26% | 12.48% |
| Sharpe | 0.99 | 1.01 |
| Prob. Sharpe Ratio | 96.32% | 93.8% |
| Smart Sharpe | 0.93 | 0.63 |
| Sortino | 1.46 | 1.43 |
| Smart Sortino | 1.37 | 0.89 |
| Sortino/√2 | 1.03 | 1.01 |
| Smart Sortino/√2 | 0.97 | 0.63 |
| Omega | 1.27 | 3.16 |
| Max Drawdown | -18.76% | -8.8% |
| Max DD Date | 2025-04-08 | 2023-12-08 |
| Max DD Period Start | 2025-02-20 | 2023-12-08 |
| Max DD Period End | 2025-06-25 | 2024-08-29 |
| Longest DD Days | 126 | 266 |
| Volatility (ann.) | 15.14% | 7.39% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.08 | 1.42 |
| Skew | 0.9 | -0.37 |
| Kurtosis | 20.93 | 321.97 |
| Ulcer Performance Index | 23.92 | 17.66 |
| Risk-Adjusted Return | 20.26% | 24.0% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.1% | 0.09% |
| Avg. Win | 0.61% | 0.17% |
| Avg. Loss | -0.76% | -0.1% |
| Win/Loss Ratio | 0.81 | 1.7 |
| Profit Ratio | 0.77 | 0.01 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.5% | 0.95% |
| Expected Yearly | 15.64% | 9.71% |
| Kelly Criterion | 2.31% | 82.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -0.72% |
| Expected Shortfall (cVaR) | -2.17% | -3.13% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | 0.27 | 2.16 |
| Gain/Pain (1M) | 2.22 | 27.27 |
| Payoff Ratio | 0.81 | 1.7 |
| Profit Factor | 1.27 | 3.16 |
| Common Sense Ratio | 1.23 | 6.77 |
| CPC Index | 0.58 | 4.77 |
| Tail Ratio | 0.96 | 2.14 |
| Outlier Win Ratio | 3.22 | 5.88 |
| Outlier Loss Ratio | 3.66 | 0.71 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | 4.88% |
| 6M | 6.94% | 7.69% |
| YTD | 13.33% | 9.45% |
| 1Y | 13.43% | 10.56% |
| 3Y (ann.) | 20.78% | 12.5% |
| 5Y (ann.) | 20.26% | 12.48% |
| 10Y (ann.) | 20.26% | 12.48% |
| All-time (ann.) | 20.26% | 12.48% |
| Best Day | 10.5% | 8.78% |
| Worst Day | -5.85% | -8.8% |
| Best Month | 10.51% | 2.67% |
| Worst Month | -5.57% | -1.39% |
| Best Year | 24.89% | 15.78% |
| Worst Year | 7.33% | 2.71% |
| Avg. Drawdown | -1.65% | -0.52% |
| Avg. Drawdown Days | 12 | 12 |
| Recovery Factor | 3.29 | 4.31 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.85 | 1.02 |
| Avg. Up Month | 3.35% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 56.3% | 89.0% |
| Win Month | 66.67% | 94.87% |
| Win Quarter | 78.57% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.12 |
| Correlation | - | 0.05% |
| Treynor Ratio | - | 192853.68% |
| Year | SPY | ACBKX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.33 | 2.71 | 0.37 | - |
| 2024 | 24.89 | 15.78 | 0.63 | - |
| 2025 | 17.72 | 11.30 | 0.64 | - |
| 2026 | 13.33 | 9.45 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-12-08 | 2024-08-29 | -8.80 | 266 |
| 2024-10-07 | 2024-10-22 | -2.94 | 16 |
| 2024-12-20 | 2024-12-20 | -0.28 | 1 |
| 2023-09-11 | 2023-09-18 | -0.18 | 8 |
| 2025-04-25 | 2025-05-06 | -0.18 | 12 |
| 2026-10-13 | 2026-10-15 | -0.17 | 3 |
| 2025-01-16 | 2025-01-22 | -0.09 | 7 |
| 2025-03-07 | 2025-03-07 | -0.09 | 1 |
| 2025-12-12 | 2025-12-12 | -0.09 | 1 |
| 2025-12-22 | 2025-12-22 | -0.09 | 1 |