| Metric | SPY | GONIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 75.14% | 67.53% |
| CAGR﹪ | 11.95% | 10.95% |
| Sharpe | 0.52 | 1.07 |
| Prob. Sharpe Ratio | 87.67% | 99.09% |
| Smart Sharpe | 0.5 | 1.02 |
| Sortino | 0.75 | 1.56 |
| Smart Sortino | 0.72 | 1.49 |
| Sortino/√2 | 0.53 | 1.1 |
| Smart Sortino/√2 | 0.51 | 1.06 |
| Omega | 1.14 | 1.32 |
| Max Drawdown | -24.5% | -5.65% |
| Max DD Date | 2022-10-12 | 2025-04-04 |
| Max DD Period Start | 2022-01-04 | 2024-10-16 |
| Max DD Period End | 2023-12-12 | 2025-05-15 |
| Longest DD Days | 708 | 212 |
| Volatility (ann.) | 17.2% | 6.31% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 1.94 |
| Skew | 0.33 | -0.19 |
| Kurtosis | 8.97 | 2.33 |
| Ulcer Performance Index | 8.88 | 36.67 |
| Risk-Adjusted Return | 11.95% | 12.04% |
| Risk-Return Ratio | 0.05 | 0.11 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.86% | 0.36% |
| Avg. Loss | -0.93% | -0.36% |
| Win/Loss Ratio | 0.92 | 1.0 |
| Profit Ratio | 0.86 | 0.56 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.92% | 0.85% |
| Expected Yearly | 9.79% | 8.98% |
| Kelly Criterion | 2.87% | 13.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.61% |
| Expected Shortfall (cVaR) | -2.58% | -0.9% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.32 |
| Gain/Pain (1M) | 0.79 | 2.11 |
| Payoff Ratio | 0.92 | 1.0 |
| Profit Factor | 1.14 | 1.32 |
| Common Sense Ratio | 1.15 | 1.53 |
| CPC Index | 0.56 | 0.75 |
| Tail Ratio | 1.01 | 1.15 |
| Outlier Win Ratio | 3.4 | 3.49 |
| Outlier Loss Ratio | 3.79 | 2.92 |
| MTD | 1.47% | 1.28% |
| 3M | 1.46% | 4.89% |
| 6M | 7.34% | 8.7% |
| YTD | 13.43% | 5.44% |
| 1Y | 13.53% | 7.3% |
| 3Y (ann.) | 20.88% | 10.03% |
| 5Y (ann.) | 12.9% | 10.1% |
| 10Y (ann.) | 11.95% | 10.95% |
| All-time (ann.) | 11.95% | 10.95% |
| Best Day | 10.5% | 2.03% |
| Worst Day | -5.85% | -2.14% |
| Best Month | 10.51% | 5.54% |
| Worst Month | -9.24% | -3.13% |
| Best Year | 26.18% | 17.7% |
| Worst Year | -18.18% | 5.44% |
| Avg. Drawdown | -1.96% | -0.9% |
| Avg. Drawdown Days | 21 | 20 |
| Recovery Factor | 2.59 | 9.31 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 2.9 |
| Avg. Up Month | 3.65% | 2.34% |
| Avg. Down Month | -3.61% | -1.11% |
| Win Days | 53.48% | 56.64% |
| Win Month | 62.3% | 63.33% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.09 |
| Correlation | - | 38.34% |
| Treynor Ratio | - | 479.95% |
| Year | SPY | GONIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 7.40 | 4.28 | + |
| 2022 | -18.18 | 6.59 | -0.36 | + |
| 2023 | 26.18 | 10.06 | 0.38 | - |
| 2024 | 24.89 | 17.70 | 0.71 | - |
| 2025 | 17.72 | 7.13 | 0.40 | - |
| 2026 | 13.43 | 5.44 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-16 | 2025-05-15 | -5.65 | 212 |
| 2022-05-12 | 2022-10-21 | -5.07 | 163 |
| 2022-02-04 | 2022-04-27 | -5.05 | 83 |
| 2022-12-01 | 2023-06-07 | -4.80 | 189 |
| 2025-12-31 | 2026-07-23 | -4.26 | 205 |
| 2025-07-01 | 2025-11-12 | -3.66 | 135 |
| 2023-12-13 | 2024-01-09 | -2.38 | 28 |
| 2026-07-30 | 2026-09-24 | -2.23 | 57 |
| 2024-04-08 | 2024-06-14 | -1.95 | 68 |
| 2024-06-24 | 2024-07-24 | -1.27 | 31 |