| Metric | SPY | ATRAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 86.58% | 25.62% |
| CAGR﹪ | 13.36% | 4.69% |
| Sharpe | 0.59 | 0.13 |
| Prob. Sharpe Ratio | 90.85% | 61.62% |
| Smart Sharpe | 0.58 | 0.13 |
| Sortino | 0.86 | 0.17 |
| Smart Sortino | 0.83 | 0.17 |
| Sortino/√2 | 0.61 | 0.12 |
| Smart Sortino/√2 | 0.59 | 0.12 |
| Omega | 1.16 | 1.07 |
| Max Drawdown | -24.5% | -35.22% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-07-17 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 798 |
| Volatility (ann.) | 17.2% | 17.4% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.13 |
| Skew | 0.32 | -1.05 |
| Kurtosis | 8.95 | 9.48 |
| Ulcer Performance Index | 10.24 | 1.84 |
| Risk-Adjusted Return | 13.36% | 4.84% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.81% | 0.81% |
| Avg. Loss | -0.89% | -0.95% |
| Win/Loss Ratio | 0.91 | 0.85 |
| Profit Ratio | 0.83 | 0.63 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.37% |
| Expected Yearly | 10.95% | 3.88% |
| Kelly Criterion | 3.4% | 1.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.78% |
| Expected Shortfall (cVaR) | -2.58% | -3.14% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.07 |
| Gain/Pain (1M) | 0.87 | 0.3 |
| Payoff Ratio | 0.91 | 0.85 |
| Profit Factor | 1.16 | 1.07 |
| Common Sense Ratio | 1.17 | 0.97 |
| CPC Index | 0.57 | 0.5 |
| Tail Ratio | 1.01 | 0.91 |
| Outlier Win Ratio | 3.41 | 3.63 |
| Outlier Loss Ratio | 3.77 | 4.55 |
| MTD | 1.08% | 7.21% |
| 3M | 3.82% | 6.73% |
| 6M | 19.85% | 27.45% |
| YTD | 14.3% | 7.55% |
| 1Y | 17.78% | 8.38% |
| 3Y (ann.) | 24.86% | 4.91% |
| 5Y (ann.) | 13.06% | 4.81% |
| 10Y (ann.) | 13.36% | 4.69% |
| All-time (ann.) | 13.36% | 4.69% |
| Best Day | 10.5% | 6.38% |
| Worst Day | -5.85% | -9.19% |
| Best Month | 10.51% | 11.0% |
| Worst Month | -9.24% | -17.11% |
| Best Year | 26.18% | 24.29% |
| Worst Year | -18.18% | -4.7% |
| Avg. Drawdown | -1.89% | -4.09% |
| Avg. Drawdown Days | 20 | 69 |
| Recovery Factor | 2.85 | 0.86 |
| Ulcer Index | 0.08 | 0.14 |
| Serenity Index | 0.47 | 0.09 |
| Avg. Up Month | 4.33% | 4.06% |
| Avg. Down Month | -4.02% | -4.27% |
| Win Days | 54.04% | 54.73% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.51 |
| Alpha | - | -0.01 |
| Correlation | - | 50.26% |
| Treynor Ratio | - | 50.41% |
| Year | SPY | ATRAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.50 | 0.07 | - |
| 2022 | -18.18 | -4.70 | 0.26 | + |
| 2023 | 26.18 | 24.29 | 0.93 | - |
| 2024 | 24.89 | -4.30 | -0.17 | - |
| 2025 | 17.72 | 2.52 | 0.14 | - |
| 2026 | 14.30 | 7.55 | 0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2026-09-22 | -35.22 | 798 |
| 2021-11-09 | 2023-02-01 | -17.16 | 450 |
| 2023-07-05 | 2024-01-11 | -9.99 | 191 |
| 2023-03-10 | 2023-04-28 | -9.28 | 50 |
| 2021-09-28 | 2021-11-01 | -6.49 | 35 |
| 2024-04-12 | 2024-06-28 | -3.93 | 78 |
| 2023-05-23 | 2023-05-30 | -2.31 | 8 |
| 2024-01-16 | 2024-01-30 | -2.02 | 15 |
| 2023-06-15 | 2023-06-29 | -1.95 | 15 |
| 2023-02-03 | 2023-03-02 | -1.93 | 28 |