| Metric | SPY | CPIEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 207.58% | 116.31% |
| CAGR﹪ | 16.68% | 11.18% |
| Sharpe | 0.74 | 0.63 |
| Prob. Sharpe Ratio | 97.6% | 95.47% |
| Smart Sharpe | 0.64 | 0.6 |
| Sortino | 1.04 | 0.89 |
| Smart Sortino | 0.9 | 0.83 |
| Sortino/√2 | 0.74 | 0.63 |
| Smart Sortino/√2 | 0.64 | 0.59 |
| Omega | 1.19 | 1.15 |
| Max Drawdown | -33.72% | -40.58% |
| Max DD Date | 2020-03-23 | 2021-02-26 |
| Max DD Period Start | 2020-02-20 | 2019-07-19 |
| Max DD Period End | 2020-08-07 | 2021-12-09 |
| Longest DD Days | 708 | 875 |
| Volatility (ann.) | 19.56% | 13.69% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.28 |
| Skew | -0.29 | -0.42 |
| Kurtosis | 13.84 | 2.25 |
| Ulcer Performance Index | 26.03 | 8.96 |
| Risk-Adjusted Return | 16.68% | 11.52% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.82% | 0.71% |
| Avg. Loss | -0.91% | -0.74% |
| Win/Loss Ratio | 0.9 | 0.96 |
| Profit Ratio | 0.77 | 0.71 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.28% | 0.88% |
| Expected Yearly | 15.08% | 10.12% |
| Kelly Criterion | 5.83% | 6.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.37% |
| Expected Shortfall (cVaR) | -3.2% | -2.05% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.19 | 0.15 |
| Gain/Pain (1M) | 1.17 | 0.96 |
| Payoff Ratio | 0.9 | 0.96 |
| Profit Factor | 1.19 | 1.15 |
| Common Sense Ratio | 1.14 | 1.19 |
| CPC Index | 0.59 | 0.6 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 3.55 |
| Outlier Loss Ratio | 4.1 | 3.31 |
| MTD | 1.08% | 2.69% |
| 3M | 3.82% | -1.12% |
| 6M | 19.85% | 11.92% |
| YTD | 14.3% | 10.8% |
| 1Y | 17.78% | 12.22% |
| 3Y (ann.) | 24.86% | 20.85% |
| 5Y (ann.) | 13.06% | 20.44% |
| 10Y (ann.) | 16.68% | 11.18% |
| All-time (ann.) | 16.68% | 11.18% |
| Best Day | 10.5% | 3.18% |
| Worst Day | -10.94% | -4.79% |
| Best Month | 12.7% | 13.16% |
| Worst Month | -12.49% | -9.57% |
| Best Year | 28.73% | 54.08% |
| Worst Year | -18.18% | -29.2% |
| Avg. Drawdown | -1.78% | -2.43% |
| Avg. Drawdown Days | 16 | 34 |
| Recovery Factor | 3.75 | 2.07 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.04% | 3.44% |
| Avg. Down Month | -3.83% | -2.4% |
| Win Days | 55.26% | 54.35% |
| Win Month | 67.05% | 61.36% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.26 |
| Alpha | - | 0.07 |
| Correlation | - | 37.26% |
| Treynor Ratio | - | 445.76% |
| Year | SPY | CPIEX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -0.97 | -0.06 | - |
| 2020 | 18.33 | -29.20 | -1.59 | - |
| 2021 | 28.73 | 54.08 | 1.88 | + |
| 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 | 14.30 | 10.80 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-07-19 | 2021-12-09 | -40.58 | 875 |
| 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 | 2026-09-22 | -7.29 | 99 |
| 2025-10-30 | 2026-01-26 | -7.14 | 89 |
| 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 |