| Metric | SPY | DAMDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 86.58% | 21.73% |
| CAGR﹪ | 13.36% | 4.03% |
| Sharpe | 0.59 | 0.06 |
| Prob. Sharpe Ratio | 90.85% | 55.25% |
| Smart Sharpe | 0.58 | 0.06 |
| Sortino | 0.86 | 0.09 |
| Smart Sortino | 0.83 | 0.08 |
| Sortino/√2 | 0.61 | 0.06 |
| Smart Sortino/√2 | 0.59 | 0.06 |
| Omega | 1.16 | 1.21 |
| Max Drawdown | -24.5% | -5.22% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-12 | 2022-08-02 |
| Longest DD Days | 708 | 237 |
| Volatility (ann.) | 17.2% | 4.08% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.77 |
| Skew | 0.32 | 0.35 |
| Kurtosis | 8.95 | 8.31 |
| Ulcer Performance Index | 10.24 | 19.43 |
| Risk-Adjusted Return | 13.36% | 4.43% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.92% | 0.2% |
| Avg. Loss | -0.94% | -0.2% |
| Win/Loss Ratio | 0.98 | 1.02 |
| Profit Ratio | 0.83 | 0.64 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.32% |
| Expected Yearly | 10.95% | 3.33% |
| Kelly Criterion | 7.1% | 7.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.41% |
| Expected Shortfall (cVaR) | -2.58% | -0.66% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.21 |
| Gain/Pain (1M) | 0.87 | 1.61 |
| Payoff Ratio | 0.98 | 1.02 |
| Profit Factor | 1.16 | 1.21 |
| Common Sense Ratio | 1.17 | 1.45 |
| CPC Index | 0.61 | 0.66 |
| Tail Ratio | 1.01 | 1.19 |
| Outlier Win Ratio | 3.41 | 5.0 |
| Outlier Loss Ratio | 3.77 | 3.82 |
| MTD | 1.08% | 0.53% |
| 3M | 3.82% | 0.28% |
| 6M | 19.85% | 1.36% |
| YTD | 14.3% | 2.25% |
| 1Y | 17.78% | 4.49% |
| 3Y (ann.) | 24.86% | 5.96% |
| 5Y (ann.) | 13.06% | 4.15% |
| 10Y (ann.) | 13.36% | 4.03% |
| All-time (ann.) | 13.36% | 4.03% |
| Best Day | 10.5% | 1.71% |
| Worst Day | -5.85% | -1.61% |
| Best Month | 10.51% | 3.07% |
| Worst Month | -9.24% | -2.74% |
| Best Year | 26.18% | 7.93% |
| Worst Year | -18.18% | 0.57% |
| Avg. Drawdown | -1.89% | -0.48% |
| Avg. Drawdown Days | 20 | 19 |
| Recovery Factor | 2.85 | 3.85 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.47 | 1.57 |
| Avg. Up Month | 4.12% | 0.85% |
| Avg. Down Month | -4.65% | -0.54% |
| Win Days | 54.04% | 53.44% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.03 |
| Correlation | - | 45.43% |
| Treynor Ratio | - | 201.65% |
| Year | SPY | DAMDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.78 | 0.10 | - |
| 2022 | -18.18 | 0.57 | -0.03 | + |
| 2023 | 26.18 | 4.05 | 0.15 | - |
| 2024 | 24.89 | 4.59 | 0.18 | - |
| 2025 | 17.72 | 7.93 | 0.45 | - |
| 2026 | 14.30 | 2.25 | 0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-08-02 | -5.22 | 210 |
| 2022-08-19 | 2023-04-12 | -4.06 | 237 |
| 2023-04-14 | 2023-07-26 | -4.06 | 104 |
| 2023-09-05 | 2023-11-21 | -1.89 | 78 |
| 2024-08-19 | 2024-09-23 | -1.82 | 36 |
| 2024-04-02 | 2024-06-27 | -1.75 | 87 |
| 2021-10-11 | 2021-12-28 | -1.64 | 79 |
| 2025-04-03 | 2025-04-22 | -1.56 | 20 |
| 2024-11-08 | 2025-02-12 | -1.45 | 97 |
| 2026-05-27 | 2026-09-22 | -1.17 | 119 |