| Metric | SPY | EHLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 53.46% | 30.09% |
| CAGR﹪ | 19.01% | 11.28% |
| Sharpe | 0.88 | 0.41 |
| Prob. Sharpe Ratio | 92.02% | 73.97% |
| Smart Sharpe | 0.81 | 0.4 |
| Sortino | 1.29 | 0.55 |
| Smart Sortino | 1.19 | 0.53 |
| Sortino/√2 | 0.91 | 0.39 |
| Smart Sortino/√2 | 0.84 | 0.38 |
| Omega | 1.25 | 1.12 |
| 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.) | 16.01% | 19.2% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.01 | 0.6 |
| Skew | 0.99 | -0.62 |
| Kurtosis | 21.35 | 1.48 |
| Ulcer Performance Index | 15.33 | 5.18 |
| Risk-Adjusted Return | 19.01% | 11.28% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.75% | 0.96% |
| Avg. Loss | -0.82% | -1.13% |
| Win/Loss Ratio | 0.91 | 0.85 |
| Profit Ratio | 0.72 | 0.67 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.44% | 0.88% |
| Expected Yearly | 15.34% | 9.16% |
| Kelly Criterion | 9.36% | 4.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -1.94% |
| Expected Shortfall (cVaR) | -2.42% | -2.75% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.25 | 0.12 |
| Gain/Pain (1M) | 2.32 | 0.83 |
| Payoff Ratio | 0.91 | 0.85 |
| Profit Factor | 1.25 | 1.12 |
| Common Sense Ratio | 1.2 | 0.97 |
| CPC Index | 0.65 | 0.53 |
| Tail Ratio | 0.96 | 0.87 |
| Outlier Win Ratio | 3.45 | 3.16 |
| Outlier Loss Ratio | 3.82 | 3.65 |
| MTD | 1.08% | 1.55% |
| 3M | 3.82% | -4.23% |
| 6M | 19.85% | 5.17% |
| YTD | 14.3% | 9.3% |
| 1Y | 17.78% | 9.67% |
| 3Y (ann.) | 19.01% | 11.28% |
| 5Y (ann.) | 19.01% | 11.28% |
| 10Y (ann.) | 19.01% | 11.28% |
| All-time (ann.) | 19.01% | 11.28% |
| 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 | 14.05% | 6.67% |
| Avg. Drawdown | -1.77% | -3.82% |
| Avg. Drawdown Days | 13 | 29 |
| Recovery Factor | 2.45 | 1.63 |
| Ulcer Index | 0.03 | 0.06 |
| Serenity Index | 1.33 | 0.48 |
| Avg. Up Month | 4.14% | 4.46% |
| Avg. Down Month | -3.08% | -4.05% |
| Win Days | 56.77% | 56.22% |
| Win Month | 70.0% | 53.33% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.75 |
| Alpha | - | -0.01 |
| Correlation | - | 62.25% |
| Treynor Ratio | - | 40.29% |
| Year | SPY | EHLS | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 14.05 | 11.57 | 0.82 | - |
| 2025 | 17.72 | 6.67 | 0.38 | - |
| 2026 | 14.30 | 9.30 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-11 | 2025-09-19 | -18.96 | 221 |
| 2024-05-29 | 2024-10-11 | -12.85 | 136 |
| 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 |
| 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 |