| Metric | SPY | DAMDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 204.97% | 25.4% |
| CAGR﹪ | 16.25% | 3.1% |
| Sharpe | 0.72 | 0.07 |
| Prob. Sharpe Ratio | 97.45% | 57.08% |
| Smart Sharpe | 0.63 | 0.06 |
| Sortino | 1.02 | 0.09 |
| Smart Sortino | 0.88 | 0.09 |
| Sortino/√2 | 0.72 | 0.06 |
| Smart Sortino/√2 | 0.62 | 0.06 |
| Omega | 1.18 | 1.17 |
| Max Drawdown | -33.72% | -8.43% |
| Max DD Date | 2020-03-23 | 2022-06-16 |
| Max DD Period Start | 2020-02-20 | 2021-06-08 |
| Max DD Period End | 2020-08-07 | 2023-12-11 |
| Longest DD Days | 708 | 917 |
| Volatility (ann.) | 19.45% | 4.04% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.37 |
| Skew | -0.29 | -0.45 |
| Kurtosis | 13.94 | 13.2 |
| Ulcer Performance Index | 25.91 | 10.41 |
| Risk-Adjusted Return | 16.25% | 3.45% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.94% | 0.19% |
| Avg. Loss | -1.02% | -0.2% |
| Win/Loss Ratio | 0.92 | 0.91 |
| Profit Ratio | 0.78 | 0.54 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.25% |
| Expected Yearly | 14.96% | 2.87% |
| Kelly Criterion | 6.56% | 5.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.41% |
| Expected Shortfall (cVaR) | -3.2% | -0.71% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.17 |
| Gain/Pain (1M) | 1.15 | 1.02 |
| Payoff Ratio | 0.92 | 0.91 |
| Profit Factor | 1.18 | 1.17 |
| Common Sense Ratio | 1.13 | 1.31 |
| CPC Index | 0.6 | 0.59 |
| Tail Ratio | 0.96 | 1.12 |
| Outlier Win Ratio | 3.69 | 4.88 |
| Outlier Loss Ratio | 4.12 | 4.46 |
| 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.) | 16.25% | 3.1% |
| All-time (ann.) | 16.25% | 3.1% |
| Best Day | 10.5% | 1.72% |
| Worst Day | -10.94% | -2.4% |
| Best Month | 12.7% | 3.07% |
| Worst Month | -12.49% | -3.78% |
| Best Year | 28.73% | 7.93% |
| Worst Year | -18.18% | 0.12% |
| Avg. Drawdown | -1.79% | -0.42% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.72 | 2.75 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.44 |
| Avg. Up Month | 4.34% | 0.84% |
| Avg. Down Month | -4.47% | -0.62% |
| Win Days | 55.15% | 55.07% |
| Win Month | 65.56% | 62.22% |
| Win Quarter | 77.42% | 83.87% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.01 |
| Correlation | - | 48.55% |
| Treynor Ratio | - | 251.8% |
| Year | SPY | DAMDX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.24 | 0.20 | - |
| 2020 | 18.33 | 0.44 | 0.02 | - |
| 2021 | 28.73 | 0.12 | 0.00 | - |
| 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 |
|---|---|---|---|
| 2021-06-08 | 2023-12-11 | -8.43 | 917 |
| 2020-02-24 | 2021-01-05 | -6.42 | 317 |
| 2024-08-19 | 2024-09-23 | -1.82 | 36 |
| 2021-01-15 | 2021-02-05 | -1.76 | 22 |
| 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 |
| 2019-07-29 | 2019-09-27 | -1.15 | 61 |
| 2021-03-18 | 2021-04-19 | -0.95 | 33 |