| Metric | SPY | CPIEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 127.83% |
| CAGR﹪ | 11.91% | 18.01% |
| Sharpe | 0.52 | 1.08 |
| Prob. Sharpe Ratio | 87.6% | 99.16% |
| Smart Sharpe | 0.5 | 1.0 |
| Sortino | 0.74 | 1.57 |
| Smart Sortino | 0.72 | 1.45 |
| Sortino/√2 | 0.53 | 1.11 |
| Smart Sortino/√2 | 0.51 | 1.02 |
| Omega | 1.14 | 1.26 |
| Max Drawdown | -24.5% | -9.79% |
| Max DD Date | 2022-10-12 | 2023-03-15 |
| Max DD Period Start | 2022-01-04 | 2022-05-12 |
| Max DD Period End | 2023-12-12 | 2023-09-08 |
| Longest DD Days | 708 | 485 |
| Volatility (ann.) | 17.19% | 12.49% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | 1.84 |
| Skew | 0.33 | -0.2 |
| Kurtosis | 8.98 | 1.18 |
| Ulcer Performance Index | 8.86 | 35.22 |
| Risk-Adjusted Return | 11.91% | 18.57% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.77% | 0.66% |
| Avg. Loss | -0.82% | -0.64% |
| Win/Loss Ratio | 0.94 | 1.04 |
| Profit Ratio | 0.86 | 0.73 |
| Expected Daily | 0.04% | 0.07% |
| Expected Monthly | 0.92% | 1.36% |
| Expected Yearly | 9.77% | 14.71% |
| Kelly Criterion | 3.81% | 12.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.23% |
| Expected Shortfall (cVaR) | -2.58% | -1.76% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.26 |
| Gain/Pain (1M) | 0.79 | 2.78 |
| Payoff Ratio | 0.94 | 1.04 |
| Profit Factor | 1.14 | 1.26 |
| Common Sense Ratio | 1.15 | 1.32 |
| CPC Index | 0.57 | 0.72 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.4 | 3.46 |
| Outlier Loss Ratio | 3.8 | 3.35 |
| MTD | 1.47% | -0.4% |
| 3M | 1.46% | -1.12% |
| 6M | 6.94% | 1.48% |
| YTD | 13.33% | 7.33% |
| 1Y | 13.43% | 5.38% |
| 3Y (ann.) | 20.78% | 19.1% |
| 5Y (ann.) | 12.86% | 16.01% |
| 10Y (ann.) | 11.91% | 18.01% |
| All-time (ann.) | 11.91% | 18.01% |
| Best Day | 10.5% | 3.18% |
| Worst Day | -5.85% | -3.48% |
| Best Month | 10.51% | 13.16% |
| Worst Month | -9.24% | -5.0% |
| Best Year | 26.18% | 37.81% |
| Worst Year | -18.18% | 6.15% |
| Avg. Drawdown | -1.94% | -2.0% |
| Avg. Drawdown Days | 21 | 23 |
| Recovery Factor | 2.58 | 8.81 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 2.39 |
| Avg. Up Month | 4.2% | 3.28% |
| Avg. Down Month | -3.31% | -1.38% |
| Win Days | 53.48% | 55.44% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.15 |
| Correlation | - | 26.72% |
| Treynor Ratio | - | 658.29% |
| Year | SPY | CPIEX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 17.46 | 10.10 | + |
| 2022 | -18.18 | 12.12 | -0.67 | + |
| 2023 | 26.18 | 6.15 | 0.24 | - |
| 2024 | 24.89 | 37.81 | 1.52 | + |
| 2025 | 17.72 | 10.17 | 0.57 | - |
| 2026 | 13.33 | 7.33 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-12 | 2023-09-08 | -9.79 | 485 |
| 2022-03-15 | 2022-05-05 | -8.14 | 52 |
| 2024-07-11 | 2024-09-12 | -7.30 | 64 |
| 2026-06-16 | 2026-10-01 | -7.29 | 108 |
| 2025-10-30 | 2026-01-26 | -7.14 | 89 |
| 2026-10-07 | 2026-11-04 | -6.66 | 29 |
| 2025-02-07 | 2025-05-02 | -6.44 | 85 |
| 2024-12-06 | 2025-01-21 | -5.89 | 47 |
| 2026-02-26 | 2026-04-23 | -5.06 | 57 |
| 2025-10-09 | 2025-10-28 | -3.87 | 20 |