| Metric | SPY | DAMDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 14.39% | 3.7% |
| CAGR﹪ | 14.51% | 3.73% |
| Sharpe | 0.83 | 0.01 |
| Prob. Sharpe Ratio | 79.61% | 50.36% |
| Smart Sharpe | 0.82 | 0.01 |
| Sortino | 1.22 | 0.01 |
| Smart Sortino | 1.2 | 0.01 |
| Sortino/√2 | 0.86 | 0.01 |
| Smart Sortino/√2 | 0.85 | 0.01 |
| Omega | 1.2 | 1.45 |
| Max Drawdown | -8.88% | -1.17% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-05-27 |
| Max DD Period End | 2026-04-13 | 2026-10-01 |
| Longest DD Days | 76 | 128 |
| Volatility (ann.) | 12.86% | 1.89% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 3.18 |
| Skew | -0.02 | -0.54 |
| Kurtosis | 0.78 | 6.92 |
| Ulcer Performance Index | 6.68 | 10.52 |
| Risk-Adjusted Return | 14.51% | 4.55% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.74% | 0.1% |
| Avg. Loss | -0.71% | -0.1% |
| Win/Loss Ratio | 1.04 | 0.97 |
| Profit Ratio | 1.02 | 0.37 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.28% |
| Expected Yearly | 6.95% | 1.83% |
| Kelly Criterion | 5.93% | 16.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.18% |
| Expected Shortfall (cVaR) | -1.66% | -0.31% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.45 |
| Gain/Pain (1M) | 1.83 | 2.78 |
| Payoff Ratio | 1.04 | 0.97 |
| Profit Factor | 1.2 | 1.45 |
| Common Sense Ratio | 1.19 | 1.8 |
| CPC Index | 0.65 | 0.82 |
| Tail Ratio | 0.99 | 1.25 |
| Outlier Win Ratio | 2.84 | 4.74 |
| Outlier Loss Ratio | 3.01 | 2.81 |
| MTD | 1.47% | -0.12% |
| 3M | 1.46% | 0.84% |
| 6M | 6.94% | 0.41% |
| YTD | 13.33% | 2.25% |
| 1Y | 14.39% | 3.7% |
| 3Y (ann.) | 14.51% | 3.73% |
| 5Y (ann.) | 14.51% | 3.73% |
| 10Y (ann.) | 14.51% | 3.73% |
| All-time (ann.) | 14.51% | 3.73% |
| Best Day | 2.91% | 0.56% |
| Worst Day | -2.58% | -0.6% |
| Best Month | 10.51% | 1.09% |
| Worst Month | -4.94% | -0.55% |
| Best Year | 13.33% | 2.25% |
| Worst Year | 0.94% | 1.42% |
| Avg. Drawdown | -1.74% | -0.19% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 3.11 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 1.42 |
| Avg. Up Month | 3.53% | 0.6% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 58.82% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 38.4% |
| Treynor Ratio | - | 65.68% |
| Year | SPY | DAMDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.42 | 1.51 | + |
| 2026 | 13.33 | 2.25 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-27 | 2026-10-01 | -1.17 | 128 |
| 2026-03-03 | 2026-03-23 | -0.48 | 21 |
| 2026-01-15 | 2026-02-05 | -0.47 | 22 |
| 2026-05-15 | 2026-05-19 | -0.26 | 5 |
| 2025-11-13 | 2025-11-21 | -0.22 | 9 |
| 2026-10-27 | 2026-11-04 | -0.21 | 9 |
| 2026-04-27 | 2026-05-07 | -0.17 | 11 |
| 2026-03-25 | 2026-03-30 | -0.15 | 6 |
| 2026-10-16 | 2026-10-20 | -0.11 | 5 |
| 2025-12-08 | 2025-12-08 | -0.11 | 1 |