| Metric | SPY | ATRAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 207.58% | 107.67% |
| CAGR﹪ | 16.68% | 10.56% |
| Sharpe | 0.74 | 0.5 |
| Prob. Sharpe Ratio | 97.6% | 90.84% |
| Smart Sharpe | 0.64 | 0.46 |
| Sortino | 1.04 | 0.67 |
| Smart Sortino | 0.9 | 0.61 |
| Sortino/√2 | 0.74 | 0.47 |
| Smart Sortino/√2 | 0.64 | 0.43 |
| Omega | 1.19 | 1.13 |
| Max Drawdown | -33.72% | -35.22% |
| Max DD Date | 2020-03-23 | 2025-04-08 |
| Max DD Period Start | 2020-02-20 | 2024-07-17 |
| Max DD Period End | 2020-08-07 | 2026-09-22 |
| Longest DD Days | 708 | 798 |
| Volatility (ann.) | 19.56% | 17.29% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.3 |
| Skew | -0.29 | -0.95 |
| Kurtosis | 13.84 | 7.24 |
| Ulcer Performance Index | 26.03 | 8.9 |
| Risk-Adjusted Return | 16.68% | 11.0% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.8% | 0.8% |
| Avg. Loss | -0.96% | -0.94% |
| Win/Loss Ratio | 0.84 | 0.85 |
| Profit Ratio | 0.77 | 0.57 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.28% | 0.83% |
| Expected Yearly | 15.08% | 9.56% |
| Kelly Criterion | 1.77% | 5.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.75% |
| Expected Shortfall (cVaR) | -3.2% | -2.92% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.13 |
| Gain/Pain (1M) | 1.17 | 0.67 |
| Payoff Ratio | 0.84 | 0.85 |
| Profit Factor | 1.19 | 1.13 |
| Common Sense Ratio | 1.14 | 1.04 |
| CPC Index | 0.55 | 0.54 |
| Tail Ratio | 0.96 | 0.92 |
| Outlier Win Ratio | 3.69 | 3.61 |
| Outlier Loss Ratio | 4.1 | 4.15 |
| 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.) | 16.68% | 10.56% |
| All-time (ann.) | 16.68% | 10.56% |
| Best Day | 10.5% | 6.38% |
| Worst Day | -10.94% | -9.19% |
| Best Month | 12.7% | 11.0% |
| Worst Month | -12.49% | -17.11% |
| Best Year | 28.73% | 25.71% |
| Worst Year | -18.18% | -4.7% |
| Avg. Drawdown | -1.78% | -3.18% |
| Avg. Drawdown Days | 16 | 39 |
| Recovery Factor | 3.75 | 2.39 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 1.03 | 0.29 |
| Avg. Up Month | 4.4% | 3.96% |
| Avg. Down Month | -4.47% | -4.5% |
| Win Days | 55.26% | 56.49% |
| Win Month | 67.05% | 62.5% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.29 |
| Alpha | - | 0.07 |
| Correlation | - | 32.34% |
| Treynor Ratio | - | 376.56% |
| Year | SPY | ATRAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 14.94 | 0.91 | - |
| 2020 | 18.33 | 14.98 | 0.82 | - |
| 2021 | 28.73 | 25.71 | 0.89 | - |
| 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 |
| 2020-02-24 | 2020-12-08 | -21.77 | 289 |
| 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 |
| 2021-01-27 | 2021-04-05 | -8.00 | 69 |
| 2019-07-31 | 2019-11-15 | -7.72 | 108 |
| 2021-08-25 | 2021-11-02 | -7.27 | 70 |
| 2021-05-11 | 2021-05-28 | -7.18 | 18 |
| 2021-07-14 | 2021-07-22 | -5.22 | 9 |