| Metric | SPY | ADAIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 75.0% |
| Cumulative Return | 204.97% | 61.33% |
| CAGR﹪ | 16.25% | 6.67% |
| Sharpe | 0.72 | 0.77 |
| Prob. Sharpe Ratio | 97.45% | 96.95% |
| Smart Sharpe | 0.63 | 0.74 |
| Sortino | 1.02 | 1.0 |
| Smart Sortino | 0.88 | 0.96 |
| Sortino/√2 | 0.72 | 0.71 |
| Smart Sortino/√2 | 0.62 | 0.68 |
| Omega | 1.18 | 1.41 |
| Max Drawdown | -33.72% | -14.75% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2020-06-26 |
| Longest DD Days | 708 | 1467 |
| Volatility (ann.) | 19.45% | 4.81% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.45 |
| Skew | -0.29 | -4.27 |
| Kurtosis | 13.94 | 74.19 |
| Ulcer Performance Index | 25.91 | 12.5 |
| Risk-Adjusted Return | 16.25% | 8.9% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.98% | 0.22% |
| Avg. Loss | -1.2% | -0.26% |
| Win/Loss Ratio | 0.82 | 0.84 |
| Profit Ratio | 0.78 | 0.26 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.53% |
| Expected Yearly | 14.96% | 6.16% |
| Kelly Criterion | 0.46% | 12.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.47% |
| Expected Shortfall (cVaR) | -3.2% | -1.09% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.41 |
| Gain/Pain (1M) | 1.15 | 1.79 |
| Payoff Ratio | 0.82 | 0.84 |
| Profit Factor | 1.18 | 1.41 |
| Common Sense Ratio | 1.13 | 1.99 |
| CPC Index | 0.53 | 0.71 |
| Tail Ratio | 0.96 | 1.41 |
| Outlier Win Ratio | 3.69 | 6.32 |
| Outlier Loss Ratio | 4.12 | 3.62 |
| MTD | 1.47% | -0.08% |
| 3M | 1.46% | -0.0% |
| 6M | 6.94% | 0.91% |
| YTD | 13.33% | 3.35% |
| 1Y | 13.43% | 4.09% |
| 3Y (ann.) | 20.78% | 5.43% |
| 5Y (ann.) | 12.86% | 3.17% |
| 10Y (ann.) | 16.25% | 6.67% |
| All-time (ann.) | 16.25% | 6.67% |
| Best Day | 10.5% | 2.21% |
| Worst Day | -10.94% | -5.07% |
| Best Month | 12.7% | 7.43% |
| Worst Month | -12.49% | -8.05% |
| Best Year | 28.73% | 25.21% |
| Worst Year | -18.18% | -3.29% |
| Avg. Drawdown | -1.79% | -0.6% |
| Avg. Drawdown Days | 16 | 29 |
| Recovery Factor | 3.72 | 3.3 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.31 |
| Avg. Up Month | 4.31% | 1.28% |
| Avg. Down Month | -4.45% | -1.36% |
| Win Days | 55.15% | 59.73% |
| Win Month | 65.56% | 72.22% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.13 |
| Alpha | - | 0.04 |
| Correlation | - | 50.99% |
| Treynor Ratio | - | 486.3% |
| Year | SPY | ADAIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.13 | 0.25 | - |
| 2020 | 18.33 | 25.21 | 1.38 | + |
| 2021 | 28.73 | 6.27 | 0.22 | - |
| 2022 | -18.18 | -3.29 | 0.18 | + |
| 2023 | 26.18 | 4.51 | 0.17 | - |
| 2024 | 24.89 | 3.19 | 0.13 | - |
| 2025 | 17.72 | 8.02 | 0.45 | - |
| 2026 | 13.33 | 3.35 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-24 | 2020-06-26 | -14.75 | 124 |
| 2021-02-22 | 2025-02-27 | -11.27 | 1467 |
| 2021-01-26 | 2021-02-01 | -1.96 | 7 |
| 2020-09-21 | 2020-11-09 | -1.16 | 50 |
| 2020-12-29 | 2021-01-06 | -1.04 | 9 |
| 2020-07-30 | 2020-08-05 | -0.71 | 7 |
| 2025-04-03 | 2025-04-16 | -0.64 | 14 |
| 2019-09-24 | 2019-10-24 | -0.64 | 31 |
| 2026-07-16 | 2026-08-13 | -0.60 | 29 |
| 2019-08-01 | 2019-08-30 | -0.54 | 30 |