| Metric | SPY | DHLSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 204.97% | 82.42% |
| CAGR﹪ | 16.25% | 8.46% |
| Sharpe | 0.72 | 0.45 |
| Prob. Sharpe Ratio | 97.45% | 88.55% |
| Smart Sharpe | 0.63 | 0.4 |
| Sortino | 1.02 | 0.62 |
| Smart Sortino | 0.88 | 0.56 |
| Sortino/√2 | 0.72 | 0.44 |
| Smart Sortino/√2 | 0.62 | 0.39 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -31.55% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-21 |
| Max DD Period End | 2020-08-07 | 2021-01-05 |
| Longest DD Days | 708 | 701 |
| Volatility (ann.) | 19.45% | 13.92% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.27 |
| Skew | -0.29 | -0.64 |
| Kurtosis | 13.94 | 15.77 |
| Ulcer Performance Index | 25.91 | 11.9 |
| Risk-Adjusted Return | 16.25% | 8.72% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.92% | 0.64% |
| Avg. Loss | -0.99% | -0.7% |
| Win/Loss Ratio | 0.93 | 0.92 |
| Profit Ratio | 0.78 | 0.74 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.67% |
| Expected Yearly | 14.96% | 7.8% |
| Kelly Criterion | 6.97% | 3.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.41% |
| Expected Shortfall (cVaR) | -3.2% | -2.46% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.15 | 0.71 |
| Payoff Ratio | 0.93 | 0.92 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.16 |
| CPC Index | 0.61 | 0.56 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 4.15 |
| Outlier Loss Ratio | 4.12 | 3.99 |
| 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.) | 16.25% | 8.46% |
| All-time (ann.) | 16.25% | 8.46% |
| Best Day | 10.5% | 6.65% |
| Worst Day | -10.94% | -8.53% |
| Best Month | 12.7% | 11.32% |
| Worst Month | -12.49% | -15.56% |
| Best Year | 28.73% | 19.4% |
| Worst Year | -18.18% | -8.45% |
| Avg. Drawdown | -1.79% | -1.73% |
| Avg. Drawdown Days | 16 | 26 |
| Recovery Factor | 3.72 | 2.13 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.48 |
| Avg. Up Month | 4.15% | 2.95% |
| Avg. Down Month | -3.84% | -3.15% |
| Win Days | 55.15% | 53.77% |
| Win Month | 65.56% | 63.33% |
| Win Quarter | 77.42% | 80.65% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.6 |
| Alpha | - | -0.01 |
| Correlation | - | 84.24% |
| Treynor Ratio | - | 136.66% |
| Year | SPY | DHLSX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 10.08 | 0.61 | - |
| 2020 | 18.33 | -0.27 | -0.01 | - |
| 2021 | 28.73 | 19.40 | 0.68 | - |
| 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 |
|---|---|---|---|
| 2020-01-21 | 2021-01-05 | -31.55 | 351 |
| 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 |
| 2021-01-21 | 2021-02-11 | -5.68 | 22 |
| 2019-07-29 | 2019-09-10 | -5.46 | 44 |
| 2024-07-11 | 2024-10-16 | -4.58 | 98 |
| 2019-09-16 | 2019-10-31 | -4.54 | 46 |
| 2021-11-09 | 2021-12-23 | -4.42 | 45 |
| 2021-06-07 | 2021-08-05 | -4.02 | 60 |