| Metric | SPY | DMA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | -2.56% |
| CAGR﹪ | 14.51% | -2.58% |
| Sharpe | 0.83 | -0.29 |
| Prob. Sharpe Ratio | 79.61% | 38.65% |
| Smart Sharpe | 0.82 | -0.29 |
| Sortino | 1.22 | -0.4 |
| Smart Sortino | 1.2 | -0.39 |
| Sortino/√2 | 0.86 | -0.28 |
| Smart Sortino/√2 | 0.85 | -0.28 |
| Omega | 1.2 | 0.99 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 289 |
| Volatility (ann.) | 12.86% | 16.81% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | -0.14 |
| Skew | -0.02 | -0.2 |
| Kurtosis | 0.78 | 3.37 |
| Ulcer Performance Index | 6.68 | -0.31 |
| Risk-Adjusted Return | 14.51% | -2.75% |
| Risk-Return Ratio | 0.07 | -0.0 |
| Avg. Return | 0.05% | -0.01% |
| Avg. Win | 0.69% | 0.86% |
| Avg. Loss | -0.75% | -0.86% |
| Win/Loss Ratio | 0.92 | 0.99 |
| Profit Ratio | 1.02 | 0.69 |
| Expected Daily | 0.05% | -0.01% |
| Expected Monthly | 1.04% | -0.2% |
| Expected Yearly | 6.95% | -1.29% |
| Kelly Criterion | 0.05% | 1.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.75% |
| Expected Shortfall (cVaR) | -1.66% | -2.66% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | -0.01 |
| Gain/Pain (1M) | 1.83 | -0.06 |
| Payoff Ratio | 0.92 | 0.99 |
| Profit Factor | 1.2 | 0.99 |
| Common Sense Ratio | 1.19 | 1.04 |
| CPC Index | 0.58 | 0.5 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.84 | 3.61 |
| Outlier Loss Ratio | 3.01 | 3.93 |
| MTD | 1.47% | -0.56% |
| 3M | 1.46% | -0.47% |
| 6M | 6.94% | 3.58% |
| YTD | 13.33% | -8.17% |
| 1Y | 14.39% | -2.56% |
| 3Y (ann.) | 14.51% | -2.58% |
| 5Y (ann.) | 14.51% | -2.58% |
| 10Y (ann.) | 14.51% | -2.58% |
| All-time (ann.) | 14.51% | -2.58% |
| Best Day | 2.91% | 4.58% |
| Worst Day | -2.58% | -4.43% |
| Best Month | 10.51% | 5.3% |
| Worst Month | -4.94% | -6.23% |
| Best Year | 13.33% | 6.11% |
| Worst Year | 0.94% | -8.17% |
| Avg. Drawdown | -1.74% | -3.13% |
| Avg. Drawdown Days | 14 | 43 |
| Recovery Factor | 1.61 | 0.07 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 0.94 | -0.01 |
| Avg. Up Month | 1.03% | 2.37% |
| Avg. Down Month | -2.24% | -3.51% |
| Win Days | 52.0% | 51.07% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.44 |
| Alpha | - | -0.08 |
| Correlation | - | 33.86% |
| Treynor Ratio | - | -5.79% |
| Year | SPY | DMA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 6.11 | 6.51 | + |
| 2026 | 13.33 | -8.17 | -0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-20 | 2026-11-04 | -18.34 | 289 |
| 2025-11-13 | 2025-11-21 | -2.02 | 9 |
| 2025-12-12 | 2025-12-18 | -1.75 | 7 |
| 2025-11-25 | 2025-12-08 | -1.25 | 14 |
| 2025-12-26 | 2026-01-13 | -0.88 | 19 |
| 2025-12-23 | 2025-12-23 | -0.44 | 1 |
| 2025-11-06 | 2025-11-06 | -0.23 | 1 |
| 2026-01-15 | 2026-01-15 | -0.11 | 1 |