| Metric | SPY | DAMDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 74.99% | 21.67% |
| CAGR﹪ | 11.91% | 4.02% |
| Sharpe | 0.52 | 0.04 |
| Prob. Sharpe Ratio | 87.6% | 53.64% |
| Smart Sharpe | 0.5 | 0.04 |
| Sortino | 0.74 | 0.06 |
| Smart Sortino | 0.72 | 0.06 |
| Sortino/√2 | 0.53 | 0.04 |
| Smart Sortino/√2 | 0.51 | 0.04 |
| Omega | 1.14 | 1.22 |
| 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.) | 17.19% | 4.05% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.77 |
| Skew | 0.33 | 0.35 |
| Kurtosis | 8.98 | 8.64 |
| Ulcer Performance Index | 8.86 | 19.59 |
| Risk-Adjusted Return | 11.91% | 4.47% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.91% | 0.2% |
| Avg. Loss | -0.93% | -0.2% |
| Win/Loss Ratio | 0.98 | 1.03 |
| Profit Ratio | 0.86 | 0.63 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.32% |
| Expected Yearly | 9.77% | 3.32% |
| Kelly Criterion | 5.89% | 8.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.4% |
| Expected Shortfall (cVaR) | -2.58% | -0.66% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.22 |
| Gain/Pain (1M) | 0.79 | 1.61 |
| Payoff Ratio | 0.98 | 1.03 |
| Profit Factor | 1.14 | 1.22 |
| Common Sense Ratio | 1.15 | 1.45 |
| CPC Index | 0.6 | 0.67 |
| Tail Ratio | 1.0 | 1.19 |
| Outlier Win Ratio | 3.4 | 5.11 |
| Outlier Loss Ratio | 3.8 | 3.87 |
| MTD | 1.47% | -0.12% |
| 3M | 1.46% | 0.84% |
| 6M | 6.94% | 0.41% |
| YTD | 13.33% | 2.25% |
| 1Y | 13.43% | 3.78% |
| 3Y (ann.) | 20.78% | 5.5% |
| 5Y (ann.) | 12.86% | 4.12% |
| 10Y (ann.) | 11.91% | 4.02% |
| All-time (ann.) | 11.91% | 4.02% |
| 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 | -1.94% | -0.47% |
| Avg. Drawdown Days | 21 | 18 |
| Recovery Factor | 2.58 | 3.83 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 1.58 |
| Avg. Up Month | 4.23% | 0.86% |
| Avg. Down Month | -4.83% | -0.54% |
| Win Days | 53.48% | 53.5% |
| Win Month | 62.3% | 63.93% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.03 |
| Correlation | - | 46.04% |
| Treynor Ratio | - | 199.97% |
| Year | SPY | DAMDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.73 | 0.42 | - |
| 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 | 13.33 | 2.25 | 0.17 | - |
| 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 |
| 2025-04-03 | 2025-04-22 | -1.56 | 20 |
| 2024-11-08 | 2025-02-12 | -1.45 | 97 |
| 2026-05-27 | 2026-10-01 | -1.17 | 128 |
| 2021-11-08 | 2021-12-03 | -1.05 | 26 |