| Metric | SPY | DMA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 6.48% | 4.27% |
| CAGR﹪ | 13.27% | 8.65% |
| Sharpe | 0.78 | 0.35 |
| Prob. Sharpe Ratio | 70.87% | 59.87% |
| Smart Sharpe | 0.75 | 0.34 |
| Sortino | 1.14 | 0.52 |
| Smart Sortino | 1.09 | 0.5 |
| Sortino/√2 | 0.8 | 0.37 |
| Smart Sortino/√2 | 0.77 | 0.35 |
| Omega | 1.19 | 1.1 |
| Max Drawdown | -4.49% | -7.26% |
| Max DD Date | 2026-06-10 | 2026-10-20 |
| Max DD Period Start | 2026-06-03 | 2026-09-23 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 43 |
| Volatility (ann.) | 12.4% | 17.93% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.95 | 1.19 |
| Skew | -0.15 | 0.12 |
| Kurtosis | 0.59 | 2.66 |
| Ulcer Performance Index | 3.89 | 1.37 |
| Risk-Adjusted Return | 13.27% | 9.11% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.67% | 0.98% |
| Avg. Loss | -0.66% | -0.88% |
| Win/Loss Ratio | 1.01 | 1.12 |
| Profit Ratio | 1.15 | 0.88 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.6% |
| Expected Yearly | 6.48% | 4.27% |
| Kelly Criterion | 1.52% | 5.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.82% |
| Expected Shortfall (cVaR) | -1.63% | -2.63% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 3.26 | 0.83 |
| Payoff Ratio | 1.01 | 1.12 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.47 | 1.31 |
| CPC Index | 0.61 | 0.62 |
| Tail Ratio | 1.23 | 1.19 |
| Outlier Win Ratio | 2.66 | 3.06 |
| Outlier Loss Ratio | 3.07 | 3.44 |
| MTD | 1.47% | -0.56% |
| 3M | 1.46% | -0.47% |
| 6M | 6.48% | 4.27% |
| YTD | 6.48% | 4.27% |
| 1Y | 6.48% | 4.27% |
| 3Y (ann.) | 13.27% | 8.65% |
| 5Y (ann.) | 13.27% | 8.65% |
| 10Y (ann.) | 13.27% | 8.65% |
| All-time (ann.) | 13.27% | 8.65% |
| Best Day | 1.8% | 4.58% |
| Worst Day | -2.58% | -4.08% |
| Best Month | 4.52% | 5.3% |
| Worst Month | -1.03% | -3.37% |
| Best Year | 6.48% | 4.27% |
| Worst Year | 6.48% | 4.27% |
| Avg. Drawdown | -1.57% | -3.32% |
| Avg. Drawdown Days | 17 | 16 |
| Recovery Factor | 1.48 | 0.69 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 0.29 |
| Avg. Up Month | 1.36% | 2.35% |
| Avg. Down Month | -0.91% | -3.37% |
| Win Days | 50.39% | 50.0% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.04 |
| Correlation | - | 31.65% |
| Treynor Ratio | - | 9.33% |
| Year | SPY | DMA | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.27 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-23 | 2026-11-04 | -7.26 | 43 |
| 2026-05-07 | 2026-05-29 | -5.84 | 23 |
| 2026-06-17 | 2026-07-09 | -5.05 | 23 |
| 2026-06-04 | 2026-06-15 | -4.71 | 12 |
| 2026-09-14 | 2026-09-21 | -4.13 | 8 |
| 2026-07-22 | 2026-09-02 | -3.60 | 43 |
| 2026-07-13 | 2026-07-16 | -1.02 | 4 |
| 2026-09-08 | 2026-09-10 | -0.91 | 3 |
| 2026-07-20 | 2026-07-20 | -0.38 | 1 |
| 2026-06-02 | 2026-06-02 | -0.27 | 1 |