| Metric | SPY | GONIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 205.25% | 58.01% |
| CAGR﹪ | 16.28% | 6.38% |
| Sharpe | 0.73 | 0.5 |
| Prob. Sharpe Ratio | 97.46% | 91.3% |
| Smart Sharpe | 0.63 | 0.48 |
| Sortino | 1.02 | 0.71 |
| Smart Sortino | 0.88 | 0.68 |
| Sortino/√2 | 0.72 | 0.5 |
| Smart Sortino/√2 | 0.62 | 0.48 |
| Omega | 1.18 | 1.17 |
| Max Drawdown | -33.72% | -19.43% |
| Max DD Date | 2020-03-23 | 2020-12-22 |
| Max DD Period Start | 2020-02-20 | 2019-11-20 |
| Max DD Period End | 2020-08-07 | 2022-02-02 |
| Longest DD Days | 708 | 806 |
| Volatility (ann.) | 19.46% | 7.11% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.33 |
| Skew | -0.29 | -0.21 |
| Kurtosis | 13.93 | 4.06 |
| Ulcer Performance Index | 25.93 | 8.77 |
| Risk-Adjusted Return | 16.28% | 7.01% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.92% | 0.39% |
| Avg. Loss | -1.02% | -0.41% |
| Win/Loss Ratio | 0.9 | 0.96 |
| Profit Ratio | 0.78 | 0.59 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.51% |
| Expected Yearly | 14.97% | 5.89% |
| Kelly Criterion | 5.57% | 5.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.71% |
| Expected Shortfall (cVaR) | -3.2% | -1.08% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.18 | 0.17 |
| Gain/Pain (1M) | 1.15 | 0.95 |
| Payoff Ratio | 0.9 | 0.96 |
| Profit Factor | 1.18 | 1.17 |
| Common Sense Ratio | 1.13 | 1.21 |
| CPC Index | 0.59 | 0.6 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 4.09 |
| Outlier Loss Ratio | 4.11 | 3.32 |
| 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.) | 16.28% | 6.38% |
| All-time (ann.) | 16.28% | 6.38% |
| Best Day | 10.5% | 2.59% |
| Worst Day | -10.94% | -2.68% |
| Best Month | 12.7% | 5.54% |
| Worst Month | -12.49% | -4.22% |
| Best Year | 28.73% | 19.25% |
| Worst Year | -18.18% | -16.47% |
| Avg. Drawdown | -1.81% | -1.17% |
| Avg. Drawdown Days | 16 | 33 |
| Recovery Factor | 3.73 | 2.45 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.21 |
| Avg. Up Month | 3.59% | 2.08% |
| Avg. Down Month | -4.02% | -1.42% |
| Win Days | 55.16% | 53.99% |
| Win Month | 65.56% | 57.3% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.17 |
| Alpha | - | 0.03 |
| Correlation | - | 47.83% |
| Treynor Ratio | - | 331.7% |
| Year | SPY | GONIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 1.69 | 0.10 | - |
| 2020 | 18.33 | -16.47 | -0.90 | - |
| 2021 | 28.73 | 19.25 | 0.67 | - |
| 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 |
|---|---|---|---|
| 2019-11-20 | 2022-02-02 | -19.43 | 806 |
| 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 |