| Metric | SPY | ATRAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 11.74% |
| CAGR﹪ | 11.91% | 2.26% |
| Sharpe | 0.52 | -0.01 |
| Prob. Sharpe Ratio | 87.6% | 49.48% |
| Smart Sharpe | 0.5 | -0.01 |
| Sortino | 0.74 | -0.01 |
| Smart Sortino | 0.72 | -0.01 |
| Sortino/√2 | 0.53 | -0.01 |
| Smart Sortino/√2 | 0.51 | -0.01 |
| Omega | 1.14 | 1.04 |
| 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 | 2026-11-04 |
| Longest DD Days | 708 | 841 |
| Volatility (ann.) | 17.19% | 17.4% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.06 |
| Skew | 0.33 | -1.02 |
| Kurtosis | 8.98 | 9.32 |
| Ulcer Performance Index | 8.86 | 0.84 |
| Risk-Adjusted Return | 11.91% | 2.33% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.81% | 0.82% |
| Avg. Loss | -0.88% | -0.97% |
| Win/Loss Ratio | 0.92 | 0.85 |
| Profit Ratio | 0.86 | 0.65 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.18% |
| Expected Yearly | 9.77% | 1.87% |
| Kelly Criterion | 2.98% | -0.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.79% |
| Expected Shortfall (cVaR) | -2.58% | -3.05% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.04 |
| Gain/Pain (1M) | 0.79 | 0.17 |
| Payoff Ratio | 0.92 | 0.85 |
| Profit Factor | 1.14 | 1.04 |
| Common Sense Ratio | 1.15 | 0.94 |
| CPC Index | 0.56 | 0.48 |
| Tail Ratio | 1.0 | 0.91 |
| Outlier Win Ratio | 3.4 | 3.63 |
| Outlier Loss Ratio | 3.8 | 4.29 |
| MTD | 1.47% | -2.34% |
| 3M | 1.46% | 2.22% |
| 6M | 6.94% | 9.29% |
| YTD | 13.33% | -0.05% |
| 1Y | 13.43% | -0.4% |
| 3Y (ann.) | 20.78% | -0.67% |
| 5Y (ann.) | 12.86% | 4.19% |
| 10Y (ann.) | 11.91% | 2.26% |
| All-time (ann.) | 11.91% | 2.26% |
| 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 | -1.94% | -3.87% |
| Avg. Drawdown Days | 21 | 69 |
| Recovery Factor | 2.58 | 0.53 |
| Ulcer Index | 0.08 | 0.14 |
| Serenity Index | 0.43 | 0.05 |
| Avg. Up Month | 4.35% | 3.97% |
| Avg. Down Month | -4.0% | -4.55% |
| Win Days | 53.48% | 54.15% |
| Win Month | 62.3% | 54.1% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 33.33% |
| Beta | - | 0.52 |
| Alpha | - | -0.03 |
| Correlation | - | 51.27% |
| Treynor Ratio | - | 22.63% |
| Year | SPY | ATRAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.81 | -2.20 | - |
| 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 | 13.33 | -0.05 | -0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2026-11-04 | -35.22 | 841 |
| 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 |
| 2024-04-12 | 2024-06-28 | -3.93 | 78 |
| 2023-05-23 | 2023-05-30 | -2.31 | 8 |
| 2024-01-16 | 2024-01-22 | -2.02 | 7 |
| 2023-06-15 | 2023-06-29 | -1.95 | 15 |
| 2023-02-03 | 2023-03-02 | -1.93 | 28 |
| 2024-02-16 | 2024-02-21 | -1.77 | 6 |