| Metric | SPY | DMA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.87% | 4.14% |
| CAGR﹪ | 18.02% | 4.17% |
| Sharpe | 1.04 | 0.09 |
| Prob. Sharpe Ratio | 84.73% | 53.56% |
| Smart Sharpe | 1.01 | 0.09 |
| Sortino | 1.51 | 0.13 |
| Smart Sortino | 1.47 | 0.12 |
| Sortino/√2 | 1.07 | 0.09 |
| Smart Sortino/√2 | 1.04 | 0.09 |
| Omega | 1.25 | 1.06 |
| Max Drawdown | -8.88% | -18.34% |
| Max DD Date | 2026-03-30 | 2026-05-19 |
| Max DD Period Start | 2026-01-28 | 2026-01-20 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 246 |
| Volatility (ann.) | 12.99% | 16.54% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 0.23 |
| Skew | -0.15 | -0.21 |
| Kurtosis | 1.05 | 3.71 |
| Ulcer Performance Index | 8.3 | 0.54 |
| Risk-Adjusted Return | 18.02% | 4.44% |
| Risk-Return Ratio | 0.08 | 0.02 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.71% | 0.86% |
| Avg. Loss | -0.77% | -0.82% |
| Win/Loss Ratio | 0.93 | 1.05 |
| Profit Ratio | 0.94 | 0.77 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.31% |
| Expected Yearly | 8.57% | 2.05% |
| Kelly Criterion | 3.45% | 3.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.69% |
| Expected Shortfall (cVaR) | -1.72% | -2.71% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.06 |
| Gain/Pain (1M) | 2.6 | 0.34 |
| Payoff Ratio | 0.93 | 1.05 |
| Profit Factor | 1.25 | 1.06 |
| Common Sense Ratio | 1.24 | 1.22 |
| CPC Index | 0.62 | 0.57 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.88 | 3.53 |
| Outlier Loss Ratio | 3.19 | 4.2 |
| MTD | 1.08% | 2.33% |
| 3M | 3.82% | 8.01% |
| 6M | 19.85% | 4.27% |
| YTD | 14.3% | -2.79% |
| 1Y | 17.87% | 4.14% |
| 3Y (ann.) | 18.02% | 4.17% |
| 5Y (ann.) | 18.02% | 4.17% |
| 10Y (ann.) | 18.02% | 4.17% |
| All-time (ann.) | 18.02% | 4.17% |
| Best Day | 2.91% | 4.58% |
| Worst Day | -2.7% | -4.43% |
| Best Month | 10.51% | 5.3% |
| Worst Month | -4.94% | -6.23% |
| Best Year | 14.3% | 7.12% |
| Worst Year | 3.13% | -2.79% |
| Avg. Drawdown | -1.71% | -2.78% |
| Avg. Drawdown Days | 13 | 33 |
| Recovery Factor | 1.94 | 0.29 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 1.16 | 0.04 |
| Avg. Up Month | 1.13% | 2.2% |
| Avg. Down Month | -2.9% | -3.58% |
| Win Days | 53.6% | 50.64% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.43 |
| Alpha | - | -0.02 |
| Correlation | - | 34.03% |
| Treynor Ratio | - | 9.55% |
| Year | SPY | DMA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 7.12 | 2.28 | + |
| 2026 | 14.30 | -2.79 | -0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-20 | 2026-09-22 | -18.34 | 246 |
| 2025-11-13 | 2025-11-21 | -2.02 | 9 |
| 2025-12-12 | 2025-12-18 | -1.75 | 7 |
| 2025-10-17 | 2025-11-06 | -1.45 | 21 |
| 2025-11-25 | 2025-12-08 | -1.25 | 14 |
| 2025-09-24 | 2025-10-03 | -1.04 | 10 |
| 2025-12-23 | 2026-01-13 | -0.88 | 22 |
| 2025-10-10 | 2025-10-10 | -0.57 | 1 |
| 2025-10-15 | 2025-10-15 | -0.34 | 1 |
| 2026-01-15 | 2026-01-15 | -0.11 | 1 |