| Metric | SPY | DMA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 83.45% | 22.79% |
| CAGR﹪ | 13.54% | 4.39% |
| Sharpe | 0.59 | 0.13 |
| Prob. Sharpe Ratio | 90.3% | 61.19% |
| Smart Sharpe | 0.57 | 0.12 |
| Sortino | 0.86 | 0.19 |
| Smart Sortino | 0.83 | 0.17 |
| Sortino/√2 | 0.61 | 0.13 |
| Smart Sortino/√2 | 0.59 | 0.12 |
| Omega | 1.16 | 1.06 |
| Max Drawdown | -19.04% | -38.7% |
| Max DD Date | 2022-10-12 | 2023-07-24 |
| Max DD Period Start | 2022-01-18 | 2022-04-04 |
| Max DD Period End | 2023-06-13 | 2024-02-29 |
| Longest DD Days | 512 | 697 |
| Volatility (ann.) | 17.19% | 23.72% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.71 | 0.11 |
| Skew | 0.37 | 0.78 |
| Kurtosis | 9.29 | 16.95 |
| Ulcer Performance Index | 14.09 | 1.53 |
| Risk-Adjusted Return | 13.54% | 4.72% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.86% | 1.07% |
| Avg. Loss | -0.93% | -1.1% |
| Win/Loss Ratio | 0.93 | 0.98 |
| Profit Ratio | 0.85 | 0.75 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.35% |
| Expected Yearly | 12.9% | 4.19% |
| Kelly Criterion | 3.77% | 0.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -2.43% |
| Expected Shortfall (cVaR) | -2.59% | -3.93% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.06 |
| Gain/Pain (1M) | 0.9 | 0.33 |
| Payoff Ratio | 0.93 | 0.98 |
| Profit Factor | 1.16 | 1.06 |
| Common Sense Ratio | 1.18 | 1.05 |
| CPC Index | 0.58 | 0.53 |
| Tail Ratio | 1.02 | 0.99 |
| Outlier Win Ratio | 3.41 | 4.36 |
| Outlier Loss Ratio | 3.79 | 4.14 |
| MTD | 1.47% | -0.56% |
| 3M | 1.46% | -0.47% |
| 6M | 6.94% | 3.58% |
| YTD | 13.33% | -8.17% |
| 1Y | 13.43% | -2.33% |
| 3Y (ann.) | 20.78% | 16.11% |
| 5Y (ann.) | 13.54% | 4.39% |
| 10Y (ann.) | 13.54% | 4.39% |
| All-time (ann.) | 13.54% | 4.39% |
| Best Day | 10.5% | 15.01% |
| Worst Day | -5.85% | -11.03% |
| Best Month | 10.51% | 20.4% |
| Worst Month | -9.24% | -14.58% |
| Best Year | 26.18% | 41.06% |
| Worst Year | -12.73% | -15.69% |
| Avg. Drawdown | -1.93% | -5.41% |
| Avg. Drawdown Days | 20 | 57 |
| Recovery Factor | 3.56 | 0.88 |
| Ulcer Index | 0.06 | 0.15 |
| Serenity Index | 0.88 | 0.1 |
| Avg. Up Month | 3.53% | 4.15% |
| Avg. Down Month | -4.36% | -5.19% |
| Win Days | 53.74% | 50.81% |
| Win Month | 62.71% | 55.93% |
| Win Quarter | 70.0% | 65.0% |
| Win Year | 80.0% | 40.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.01 |
| Correlation | - | 29.73% |
| Treynor Ratio | - | 55.55% |
| Year | SPY | DMA | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -12.73 | -15.69 | 1.23 | - |
| 2023 | 26.18 | -3.81 | -0.15 | - |
| 2024 | 24.89 | 41.06 | 1.65 | + |
| 2025 | 17.72 | 16.89 | 0.95 | - |
| 2026 | 13.33 | -8.17 | -0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-04 | 2024-02-29 | -38.70 | 697 |
| 2022-01-14 | 2022-01-24 | -18.52 | 11 |
| 2026-01-20 | 2026-11-04 | -18.34 | 289 |
| 2022-01-27 | 2022-03-29 | -16.26 | 62 |
| 2025-03-06 | 2025-05-15 | -15.86 | 71 |
| 2024-03-04 | 2024-06-25 | -10.97 | 114 |
| 2024-07-16 | 2024-09-18 | -6.37 | 65 |
| 2024-12-06 | 2025-02-26 | -5.05 | 83 |
| 2025-05-21 | 2025-09-10 | -4.65 | 113 |
| 2024-10-23 | 2024-11-06 | -2.59 | 15 |