| Metric | SPY | DSEEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 197.48% | 97.01% |
| CAGR﹪ | 15.87% | 9.59% |
| Sharpe | 0.71 | 0.39 |
| Prob. Sharpe Ratio | 97.17% | 85.33% |
| Smart Sharpe | 0.61 | 0.31 |
| Sortino | 1.0 | 0.55 |
| Smart Sortino | 0.86 | 0.44 |
| Sortino/√2 | 0.7 | 0.39 |
| Smart Sortino/√2 | 0.61 | 0.31 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -42.9% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-02-20 | 2021-12-08 |
| Max DD Period End | 2020-08-07 | 2026-08-21 |
| Longest DD Days | 714 | 1718 |
| Volatility (ann.) | 19.43% | 23.13% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.47 | 0.22 |
| Skew | -0.29 | -0.07 |
| Kurtosis | 13.99 | 57.25 |
| Ulcer Performance Index | 23.05 | 5.23 |
| Risk-Adjusted Return | 15.87% | 9.89% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.88% | 0.94% |
| Avg. Loss | -0.94% | -0.99% |
| Win/Loss Ratio | 0.94 | 0.94 |
| Profit Ratio | 0.78 | 0.7 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.22% | 0.76% |
| Expected Yearly | 14.6% | 8.85% |
| Kelly Criterion | 7.16% | 5.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.35% |
| Expected Shortfall (cVaR) | -3.2% | -4.11% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.1 | 0.57 |
| Payoff Ratio | 0.94 | 0.94 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.14 |
| CPC Index | 0.61 | 0.57 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.7 | 4.14 |
| Outlier Loss Ratio | 4.12 | 4.16 |
| MTD | 1.47% | 3.45% |
| 3M | 1.46% | 0.19% |
| 6M | 6.94% | 1.61% |
| YTD | 13.33% | 1.9% |
| 1Y | 13.43% | 5.65% |
| 3Y (ann.) | 20.78% | 10.03% |
| 5Y (ann.) | 12.3% | 4.07% |
| 10Y (ann.) | 15.87% | 9.59% |
| All-time (ann.) | 15.87% | 9.59% |
| Best Day | 10.5% | 22.01% |
| Worst Day | -10.94% | -20.31% |
| Best Month | 12.7% | 13.51% |
| Worst Month | -12.49% | -21.2% |
| Best Year | 28.73% | 27.01% |
| Worst Year | -20.18% | -24.86% |
| Avg. Drawdown | -1.82% | -2.92% |
| Avg. Drawdown Days | 16 | 42 |
| Recovery Factor | 3.65 | 2.05 |
| Ulcer Index | 0.09 | 0.19 |
| Serenity Index | 0.87 | 0.19 |
| Avg. Up Month | 4.29% | 4.41% |
| Avg. Down Month | -4.13% | -5.34% |
| Win Days | 55.13% | 53.99% |
| Win Month | 65.56% | 62.22% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.92 |
| Alpha | - | -0.03 |
| Correlation | - | 77.51% |
| Treynor Ratio | - | 105.13% |
| Year | SPY | DSEEX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 18.64 | 1.14 | + |
| 2020 | 18.33 | 16.27 | 0.89 | - |
| 2021 | 28.73 | 18.87 | 0.66 | - |
| 2022 | -20.18 | -24.86 | 1.23 | - |
| 2023 | 26.18 | 27.01 | 1.03 | + |
| 2024 | 24.89 | 12.84 | 0.52 | - |
| 2025 | 17.72 | 9.48 | 0.54 | - |
| 2026 | 13.33 | 1.90 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-08 | 2026-08-21 | -42.90 | 1718 |
| 2020-02-20 | 2020-08-31 | -40.62 | 194 |
| 2026-08-25 | 2026-11-04 | -9.50 | 72 |
| 2020-09-03 | 2020-11-06 | -8.61 | 65 |
| 2021-11-04 | 2021-12-06 | -6.30 | 33 |
| 2019-07-29 | 2019-10-29 | -6.21 | 93 |
| 2021-09-03 | 2021-11-02 | -5.46 | 61 |
| 2021-05-10 | 2021-05-21 | -3.66 | 12 |
| 2021-02-25 | 2021-03-10 | -3.39 | 14 |
| 2021-01-27 | 2021-02-03 | -3.35 | 8 |