| Metric | SPY | AHLYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 207.63% | 62.48% |
| CAGR﹪ | 16.7% | 6.9% |
| Sharpe | 0.74 | 0.44 |
| Prob. Sharpe Ratio | 97.6% | 88.26% |
| Smart Sharpe | 0.64 | 0.4 |
| Sortino | 1.04 | 0.61 |
| Smart Sortino | 0.9 | 0.55 |
| Sortino/√2 | 0.74 | 0.43 |
| Smart Sortino/√2 | 0.64 | 0.39 |
| Omega | 1.19 | 1.13 |
| Max Drawdown | -33.72% | -21.65% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2024-04-16 |
| Max DD Period End | 2020-08-07 | 2026-01-26 |
| Longest DD Days | 708 | 651 |
| Volatility (ann.) | 19.56% | 9.58% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.5 | 0.32 |
| Skew | -0.29 | -0.52 |
| Kurtosis | 13.83 | 2.66 |
| Ulcer Performance Index | 26.03 | 8.13 |
| Risk-Adjusted Return | 16.7% | 7.42% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.68% | 0.47% |
| Avg. Loss | -0.8% | -0.56% |
| Win/Loss Ratio | 0.86 | 0.84 |
| Profit Ratio | 0.77 | 0.55 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.29% | 0.55% |
| Expected Yearly | 15.08% | 6.26% |
| Kelly Criterion | 3.12% | 2.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.96% |
| Expected Shortfall (cVaR) | -3.2% | -1.42% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.19 | 0.13 |
| Gain/Pain (1M) | 1.17 | 0.68 |
| Payoff Ratio | 0.86 | 0.84 |
| Profit Factor | 1.19 | 1.13 |
| Common Sense Ratio | 1.14 | 1.11 |
| CPC Index | 0.56 | 0.53 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.69 | 3.52 |
| Outlier Loss Ratio | 4.1 | 3.14 |
| MTD | 1.09% | 4.19% |
| 3M | 3.84% | 5.77% |
| 6M | 19.87% | 10.03% |
| YTD | 14.32% | 18.29% |
| 1Y | 17.8% | 27.99% |
| 3Y (ann.) | 24.9% | 6.63% |
| 5Y (ann.) | 13.12% | 5.96% |
| 10Y (ann.) | 16.7% | 6.9% |
| All-time (ann.) | 16.7% | 6.9% |
| Best Day | 10.5% | 3.04% |
| Worst Day | -10.94% | -4.17% |
| Best Month | 12.7% | 7.93% |
| Worst Month | -12.49% | -5.73% |
| Best Year | 28.73% | 18.29% |
| Worst Year | -18.18% | -3.98% |
| Avg. Drawdown | -1.78% | -2.72% |
| Avg. Drawdown Days | 16 | 59 |
| Recovery Factor | 3.75 | 2.4 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.03 | 0.22 |
| Avg. Up Month | 4.02% | 2.54% |
| Avg. Down Month | -2.63% | -1.82% |
| Win Days | 55.29% | 55.56% |
| Win Month | 67.05% | 52.27% |
| Win Quarter | 76.67% | 56.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | -0.0 |
| Alpha | - | 0.07 |
| Correlation | - | -0.99% |
| Treynor Ratio | - | -12852.9% |
| Year | SPY | AHLYX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.73 | 0.04 | - |
| 2020 | 18.33 | 10.63 | 0.58 | - |
| 2021 | 28.73 | 5.12 | 0.18 | - |
| 2022 | -18.18 | 16.85 | -0.93 | + |
| 2023 | 26.18 | -3.98 | -0.15 | - |
| 2024 | 24.89 | 1.99 | 0.08 | - |
| 2025 | 17.72 | 2.47 | 0.14 | - |
| 2026 | 14.32 | 18.29 | 1.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-16 | 2026-01-26 | -21.65 | 651 |
| 2022-09-28 | 2024-04-12 | -12.34 | 563 |
| 2019-09-04 | 2020-03-17 | -10.09 | 196 |
| 2020-03-24 | 2020-12-29 | -8.52 | 281 |
| 2021-05-11 | 2022-03-03 | -7.73 | 297 |
| 2022-07-15 | 2022-09-02 | -5.66 | 50 |
| 2021-01-22 | 2021-02-08 | -3.45 | 18 |
| 2026-03-02 | 2026-05-08 | -3.35 | 68 |
| 2026-07-24 | 2026-08-27 | -3.17 | 35 |
| 2021-02-26 | 2021-04-15 | -2.96 | 49 |