| Metric | SPY | ATRAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 204.97% | 93.01% |
| CAGR﹪ | 16.25% | 9.29% |
| Sharpe | 0.72 | 0.43 |
| Prob. Sharpe Ratio | 97.45% | 87.83% |
| Smart Sharpe | 0.63 | 0.4 |
| Sortino | 1.02 | 0.58 |
| Smart Sortino | 0.88 | 0.53 |
| Sortino/√2 | 0.72 | 0.41 |
| Smart Sortino/√2 | 0.62 | 0.37 |
| Omega | 1.18 | 1.11 |
| 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 | 2026-11-04 |
| Longest DD Days | 708 | 841 |
| Volatility (ann.) | 19.45% | 17.29% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.26 |
| Skew | -0.29 | -0.94 |
| Kurtosis | 13.94 | 7.11 |
| Ulcer Performance Index | 25.91 | 7.7 |
| Risk-Adjusted Return | 16.25% | 9.67% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.8% | 0.79% |
| Avg. Loss | -0.95% | -0.94% |
| Win/Loss Ratio | 0.84 | 0.84 |
| Profit Ratio | 0.78 | 0.57 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.73% |
| Expected Yearly | 14.96% | 8.57% |
| Kelly Criterion | 1.73% | 4.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.75% |
| Expected Shortfall (cVaR) | -3.2% | -2.89% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.58 |
| Payoff Ratio | 0.84 | 0.84 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.01 |
| CPC Index | 0.55 | 0.53 |
| Tail Ratio | 0.96 | 0.91 |
| Outlier Win Ratio | 3.69 | 3.61 |
| Outlier Loss Ratio | 4.12 | 4.14 |
| 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.) | 16.25% | 9.29% |
| All-time (ann.) | 16.25% | 9.29% |
| 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 | -1.79% | -3.24% |
| Avg. Drawdown Days | 16 | 39 |
| Recovery Factor | 3.72 | 2.18 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 1.03 | 0.26 |
| Avg. Up Month | 4.47% | 3.89% |
| Avg. Down Month | -4.32% | -4.49% |
| Win Days | 55.15% | 56.24% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.29 |
| Alpha | - | 0.05 |
| Correlation | - | 32.64% |
| Treynor Ratio | - | 320.55% |
| 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 | 13.33 | -0.05 | -0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2026-11-04 | -35.22 | 841 |
| 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 | 2021-02-18 | -8.00 | 23 |
| 2019-07-31 | 2019-11-14 | -7.72 | 107 |
| 2021-08-25 | 2021-11-02 | -7.27 | 70 |
| 2021-02-22 | 2021-04-05 | -7.22 | 43 |
| 2021-05-11 | 2021-05-28 | -7.18 | 18 |