| Metric | SPY | EHLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 8.51% |
| CAGR﹪ | 18.02% | 8.58% |
| Sharpe | 1.04 | 0.32 |
| Prob. Sharpe Ratio | 84.73% | 62.38% |
| Smart Sharpe | 1.01 | 0.3 |
| Sortino | 1.51 | 0.44 |
| Smart Sortino | 1.47 | 0.41 |
| Sortino/√2 | 1.07 | 0.31 |
| Smart Sortino/√2 | 1.04 | 0.29 |
| Omega | 1.25 | 1.09 |
| Max Drawdown | -8.88% | -9.06% |
| Max DD Date | 2026-03-30 | 2025-11-20 |
| Max DD Period Start | 2026-01-28 | 2025-10-16 |
| Max DD Period End | 2026-04-13 | 2026-01-09 |
| Longest DD Days | 76 | 119 |
| Volatility (ann.) | 12.99% | 19.17% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.03 | 0.95 |
| Skew | -0.15 | -0.32 |
| Kurtosis | 1.05 | 0.91 |
| Ulcer Performance Index | 8.3 | 1.96 |
| Risk-Adjusted Return | 18.02% | 8.58% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.7% | 0.96% |
| Avg. Loss | -0.66% | -1.09% |
| Win/Loss Ratio | 1.06 | 0.89 |
| Profit Ratio | 0.94 | 0.74 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.63% |
| Expected Yearly | 8.57% | 4.17% |
| Kelly Criterion | 9.79% | 3.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.95% |
| Expected Shortfall (cVaR) | -1.72% | -2.56% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.09 |
| Gain/Pain (1M) | 2.6 | 0.78 |
| Payoff Ratio | 1.06 | 0.89 |
| Profit Factor | 1.25 | 1.09 |
| Common Sense Ratio | 1.24 | 0.97 |
| CPC Index | 0.71 | 0.53 |
| Tail Ratio | 0.99 | 0.89 |
| Outlier Win Ratio | 2.88 | 3.53 |
| Outlier Loss Ratio | 3.19 | 3.17 |
| MTD | 1.08% | 1.55% |
| 3M | 3.82% | -4.23% |
| 6M | 19.85% | 5.17% |
| YTD | 14.3% | 9.3% |
| 1Y | 17.87% | 8.51% |
| 3Y (ann.) | 18.02% | 8.58% |
| 5Y (ann.) | 18.02% | 8.58% |
| 10Y (ann.) | 18.02% | 8.58% |
| All-time (ann.) | 18.02% | 8.58% |
| Best Day | 2.91% | 3.35% |
| Worst Day | -2.7% | -4.24% |
| Best Month | 10.51% | 7.06% |
| Worst Month | -4.94% | -3.88% |
| Best Year | 14.3% | 9.3% |
| Worst Year | 3.13% | -0.72% |
| Avg. Drawdown | -1.71% | -3.49% |
| Avg. Drawdown Days | 13 | 25 |
| Recovery Factor | 1.94 | 1.1 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.34 |
| Avg. Up Month | 4.14% | 3.86% |
| Avg. Down Month | -2.98% | -2.66% |
| Win Days | 53.6% | 54.8% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.96 |
| Alpha | - | -0.07 |
| Correlation | - | 64.9% |
| Treynor Ratio | - | 8.88% |
| Year | SPY | EHLS | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.72 | -0.23 | - |
| 2026 | 14.30 | 9.30 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-16 | 2026-01-09 | -9.06 | 86 |
| 2026-05-27 | 2026-09-22 | -8.74 | 119 |
| 2026-02-26 | 2026-04-09 | -8.35 | 43 |
| 2026-01-29 | 2026-02-23 | -6.00 | 26 |
| 2026-04-15 | 2026-04-29 | -2.83 | 15 |
| 2026-05-15 | 2026-05-22 | -2.75 | 8 |
| 2026-05-07 | 2026-05-11 | -2.57 | 5 |
| 2025-10-10 | 2025-10-10 | -1.96 | 1 |
| 2025-09-24 | 2025-10-03 | -1.88 | 10 |
| 2026-01-23 | 2026-01-26 | -0.78 | 4 |