| Metric | SPY | EHLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 52.16% | 19.18% |
| CAGR﹪ | 17.64% | 7.03% |
| Sharpe | 0.82 | 0.22 |
| Prob. Sharpe Ratio | 91.05% | 63.47% |
| Smart Sharpe | 0.76 | 0.21 |
| Sortino | 1.2 | 0.29 |
| Smart Sortino | 1.11 | 0.28 |
| Sortino/√2 | 0.85 | 0.2 |
| Smart Sortino/√2 | 0.79 | 0.2 |
| Omega | 1.23 | 1.08 |
| Max Drawdown | -18.76% | -18.96% |
| Max DD Date | 2025-04-08 | 2025-04-04 |
| Max DD Period Start | 2025-02-20 | 2025-02-11 |
| Max DD Period End | 2025-06-25 | 2025-09-19 |
| Longest DD Days | 126 | 221 |
| Volatility (ann.) | 15.81% | 19.04% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.94 | 0.37 |
| Skew | 0.98 | -0.61 |
| Kurtosis | 21.4 | 1.47 |
| Ulcer Performance Index | 15.25 | 3.18 |
| Risk-Adjusted Return | 17.64% | 7.03% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.74% | 0.94% |
| Avg. Loss | -0.81% | -1.12% |
| Win/Loss Ratio | 0.91 | 0.84 |
| Profit Ratio | 0.74 | 0.68 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.32% | 0.55% |
| Expected Yearly | 15.02% | 6.02% |
| Kelly Criterion | 8.66% | 3.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.57% | -1.94% |
| Expected Shortfall (cVaR) | -2.34% | -2.73% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.23 | 0.08 |
| Gain/Pain (1M) | 2.16 | 0.49 |
| Payoff Ratio | 0.91 | 0.84 |
| Profit Factor | 1.23 | 1.08 |
| Common Sense Ratio | 1.17 | 0.92 |
| CPC Index | 0.64 | 0.51 |
| Tail Ratio | 0.95 | 0.85 |
| Outlier Win Ratio | 3.38 | 3.16 |
| Outlier Loss Ratio | 3.82 | 3.65 |
| MTD | 1.47% | -3.09% |
| 3M | 1.46% | -9.27% |
| 6M | 6.94% | -11.52% |
| YTD | 13.33% | 0.13% |
| 1Y | 13.43% | -1.08% |
| 3Y (ann.) | 17.64% | 7.03% |
| 5Y (ann.) | 17.64% | 7.03% |
| 10Y (ann.) | 17.64% | 7.03% |
| All-time (ann.) | 17.64% | 7.03% |
| Best Day | 10.5% | 3.55% |
| Worst Day | -5.85% | -5.13% |
| Best Month | 10.51% | 9.83% |
| Worst Month | -5.57% | -6.77% |
| Best Year | 17.72% | 11.57% |
| Worst Year | 13.33% | 0.13% |
| Avg. Drawdown | -1.8% | -4.03% |
| Avg. Drawdown Days | 14 | 30 |
| Recovery Factor | 2.41 | 1.17 |
| Ulcer Index | 0.03 | 0.06 |
| Serenity Index | 1.31 | 0.33 |
| Avg. Up Month | 4.4% | 4.7% |
| Avg. Down Month | -2.77% | -4.22% |
| Win Days | 56.37% | 55.69% |
| Win Month | 65.62% | 50.0% |
| Win Quarter | 81.82% | 72.73% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.75 |
| Alpha | - | -0.04 |
| Correlation | - | 61.89% |
| Treynor Ratio | - | 25.74% |
| Year | SPY | EHLS | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 14.05 | 11.57 | 0.82 | - |
| 2025 | 17.72 | 6.67 | 0.38 | - |
| 2026 | 13.33 | 0.13 | 0.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-11 | 2025-09-19 | -18.96 | 221 |
| 2026-05-27 | 2026-11-04 | -14.70 | 162 |
| 2024-05-29 | 2024-10-11 | -12.85 | 136 |
| 2025-10-16 | 2026-01-09 | -9.06 | 86 |
| 2026-02-26 | 2026-04-09 | -8.35 | 43 |
| 2024-04-08 | 2024-05-06 | -7.47 | 29 |
| 2024-12-09 | 2025-02-05 | -6.34 | 59 |
| 2026-01-29 | 2026-02-23 | -6.00 | 26 |
| 2026-04-15 | 2026-04-29 | -2.83 | 15 |
| 2024-11-12 | 2024-11-20 | -2.83 | 9 |