| Metric | SPY | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 204.97% | 232.07% |
| CAGR﹪ | 16.25% | 17.6% |
| Sharpe | 0.72 | 0.7 |
| Prob. Sharpe Ratio | 97.45% | 97.05% |
| Smart Sharpe | 0.63 | 0.66 |
| Sortino | 1.02 | 1.0 |
| Smart Sortino | 0.88 | 0.94 |
| Sortino/√2 | 0.72 | 0.71 |
| Smart Sortino/√2 | 0.62 | 0.67 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -33.72% | -47.46% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2019-12-18 |
| Max DD Period End | 2020-08-07 | 2020-11-13 |
| Longest DD Days | 708 | 547 |
| Volatility (ann.) | 19.45% | 22.59% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.48 | 0.37 |
| Skew | -0.29 | -0.51 |
| Kurtosis | 13.94 | 14.59 |
| Ulcer Performance Index | 25.91 | 23.63 |
| Risk-Adjusted Return | 16.25% | 17.77% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.92% | 1.06% |
| Avg. Loss | -0.99% | -1.11% |
| Win/Loss Ratio | 0.93 | 0.95 |
| Profit Ratio | 0.78 | 0.81 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.25% | 1.34% |
| Expected Yearly | 14.96% | 16.19% |
| Kelly Criterion | 7.01% | 5.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.27% |
| Expected Shortfall (cVaR) | -3.2% | -3.88% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.18 |
| Gain/Pain (1M) | 1.15 | 1.06 |
| Payoff Ratio | 0.93 | 0.95 |
| Profit Factor | 1.18 | 1.18 |
| Common Sense Ratio | 1.13 | 1.14 |
| CPC Index | 0.61 | 0.6 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 4.34 |
| Outlier Loss Ratio | 4.12 | 4.27 |
| MTD | 1.47% | 2.84% |
| 3M | 1.46% | -5.31% |
| 6M | 6.94% | 6.44% |
| YTD | 13.33% | 6.64% |
| 1Y | 13.43% | 12.06% |
| 3Y (ann.) | 20.78% | 24.51% |
| 5Y (ann.) | 12.86% | 18.14% |
| 10Y (ann.) | 16.25% | 17.6% |
| All-time (ann.) | 16.25% | 17.6% |
| Best Day | 10.5% | 10.36% |
| Worst Day | -10.94% | -13.34% |
| Best Month | 12.7% | 16.81% |
| Worst Month | -12.49% | -25.37% |
| Best Year | 28.73% | 35.58% |
| Worst Year | -18.18% | -7.18% |
| Avg. Drawdown | -1.79% | -2.71% |
| Avg. Drawdown Days | 16 | 23 |
| Recovery Factor | 3.72 | 2.93 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.03 | 0.73 |
| Avg. Up Month | 4.27% | 5.08% |
| Avg. Down Month | -4.16% | -5.39% |
| Win Days | 55.15% | 53.92% |
| Win Month | 65.56% | 65.56% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.91 |
| Alpha | - | 0.03 |
| Correlation | - | 78.63% |
| Treynor Ratio | - | 254.06% |
| Year | SPY | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.05 | 0.49 | - |
| 2020 | 18.33 | 11.06 | 0.60 | - |
| 2021 | 28.73 | 27.17 | 0.95 | - |
| 2022 | -18.18 | -7.18 | 0.39 | + |
| 2023 | 26.18 | 31.98 | 1.22 | + |
| 2024 | 24.89 | 35.58 | 1.43 | + |
| 2025 | 17.72 | 22.86 | 1.29 | + |
| 2026 | 13.33 | 6.64 | 0.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-18 | 2020-11-13 | -47.46 | 332 |
| 2025-02-19 | 2025-06-26 | -21.00 | 128 |
| 2022-01-18 | 2023-07-18 | -20.95 | 547 |
| 2026-01-23 | 2026-06-23 | -11.49 | 152 |
| 2026-08-14 | 2026-11-04 | -10.33 | 83 |
| 2019-07-25 | 2019-09-10 | -9.64 | 48 |
| 2019-09-17 | 2019-11-22 | -8.96 | 67 |
| 2024-08-01 | 2024-09-16 | -7.39 | 47 |
| 2025-10-06 | 2025-12-09 | -7.24 | 65 |
| 2024-11-26 | 2025-01-17 | -6.82 | 53 |