| Metric | SPY | DHLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 39.54% |
| CAGR﹪ | 11.91% | 6.93% |
| Sharpe | 0.52 | 0.32 |
| Prob. Sharpe Ratio | 87.6% | 76.23% |
| Smart Sharpe | 0.5 | 0.32 |
| Sortino | 0.74 | 0.45 |
| Smart Sortino | 0.72 | 0.45 |
| Sortino/√2 | 0.53 | 0.32 |
| Smart Sortino/√2 | 0.51 | 0.32 |
| Omega | 1.14 | 1.13 |
| Max Drawdown | -24.5% | -16.78% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2022-02-03 |
| Max DD Period End | 2023-12-12 | 2024-01-04 |
| Longest DD Days | 708 | 701 |
| Volatility (ann.) | 17.19% | 10.65% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.41 |
| Skew | 0.33 | 0.02 |
| Kurtosis | 8.98 | 4.56 |
| Ulcer Performance Index | 8.86 | 6.73 |
| Risk-Adjusted Return | 11.91% | 7.15% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.88% | 0.54% |
| Avg. Loss | -0.92% | -0.57% |
| Win/Loss Ratio | 0.96 | 0.95 |
| Profit Ratio | 0.86 | 0.77 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.55% |
| Expected Yearly | 9.77% | 5.71% |
| Kelly Criterion | 5.19% | 4.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.07% |
| Expected Shortfall (cVaR) | -2.58% | -1.58% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.79 | 0.61 |
| Payoff Ratio | 0.96 | 0.95 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.15 | 1.11 |
| CPC Index | 0.59 | 0.57 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.6 |
| Outlier Loss Ratio | 3.8 | 3.76 |
| MTD | 1.47% | 2.06% |
| 3M | 1.46% | 4.17% |
| 6M | 6.94% | 5.0% |
| YTD | 13.33% | 2.99% |
| 1Y | 13.43% | 7.01% |
| 3Y (ann.) | 20.78% | 12.12% |
| 5Y (ann.) | 12.86% | 7.73% |
| 10Y (ann.) | 11.91% | 6.93% |
| All-time (ann.) | 11.91% | 6.93% |
| Best Day | 10.5% | 5.02% |
| Worst Day | -5.85% | -3.73% |
| Best Month | 10.51% | 6.69% |
| Worst Month | -9.24% | -7.44% |
| Best Year | 26.18% | 19.1% |
| Worst Year | -18.18% | -8.45% |
| Avg. Drawdown | -1.94% | -1.55% |
| Avg. Drawdown Days | 21 | 30 |
| Recovery Factor | 2.58 | 2.15 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.43 | 0.33 |
| Avg. Up Month | 3.95% | 2.72% |
| Avg. Down Month | -3.71% | -2.55% |
| Win Days | 53.48% | 53.22% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.51 |
| Alpha | - | 0.01 |
| Correlation | - | 81.54% |
| Treynor Ratio | - | 78.28% |
| Year | SPY | DHLSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.28 | 0.16 | - |
| 2022 | -18.18 | -8.45 | 0.47 | + |
| 2023 | 26.18 | 12.40 | 0.47 | - |
| 2024 | 24.89 | 10.26 | 0.41 | - |
| 2025 | 17.72 | 19.10 | 1.08 | + |
| 2026 | 13.33 | 2.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-03 | 2024-01-04 | -16.78 | 701 |
| 2026-01-12 | 2026-08-27 | -8.93 | 228 |
| 2025-01-27 | 2025-05-12 | -8.56 | 106 |
| 2024-07-11 | 2024-10-16 | -4.58 | 98 |
| 2021-11-09 | 2021-12-23 | -4.42 | 45 |
| 2026-08-31 | 2026-10-30 | -3.91 | 61 |
| 2022-01-18 | 2022-02-01 | -3.47 | 15 |
| 2024-10-21 | 2025-01-15 | -3.25 | 87 |
| 2024-04-10 | 2024-05-08 | -2.40 | 29 |
| 2024-05-20 | 2024-06-21 | -2.01 | 33 |