| Metric | SPY | SMILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.39% | 7.61% |
| CAGR﹪ | 14.51% | 7.67% |
| Sharpe | 0.83 | 0.33 |
| Prob. Sharpe Ratio | 79.61% | 62.9% |
| Smart Sharpe | 0.82 | 0.32 |
| Sortino | 1.22 | 0.46 |
| Smart Sortino | 1.2 | 0.43 |
| Sortino/√2 | 0.86 | 0.32 |
| Smart Sortino/√2 | 0.85 | 0.31 |
| Omega | 1.2 | 1.1 |
| Max Drawdown | -8.88% | -8.87% |
| Max DD Date | 2026-03-30 | 2026-11-02 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.86% | 14.27% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 0.86 |
| Skew | -0.02 | -0.38 |
| Kurtosis | 0.78 | 1.33 |
| Ulcer Performance Index | 6.68 | 1.91 |
| Risk-Adjusted Return | 14.51% | 7.91% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.71% | 0.74% |
| Avg. Loss | -0.68% | -0.82% |
| Win/Loss Ratio | 1.05 | 0.9 |
| Profit Ratio | 1.02 | 0.62 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.57% |
| Expected Yearly | 6.95% | 3.73% |
| Kelly Criterion | 6.1% | 6.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.45% |
| Expected Shortfall (cVaR) | -1.66% | -1.87% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.1 |
| Gain/Pain (1M) | 1.83 | 0.56 |
| Payoff Ratio | 1.05 | 0.9 |
| Profit Factor | 1.2 | 1.1 |
| Common Sense Ratio | 1.19 | 0.94 |
| CPC Index | 0.65 | 0.55 |
| Tail Ratio | 0.99 | 0.85 |
| Outlier Win Ratio | 2.84 | 3.73 |
| Outlier Loss Ratio | 3.01 | 2.94 |
| MTD | 1.47% | 0.18% |
| 3M | 1.46% | -2.73% |
| 6M | 6.94% | -3.96% |
| YTD | 13.33% | 5.65% |
| 1Y | 14.39% | 7.61% |
| 3Y (ann.) | 14.51% | 7.67% |
| 5Y (ann.) | 14.51% | 7.67% |
| 10Y (ann.) | 14.51% | 7.67% |
| All-time (ann.) | 14.51% | 7.67% |
| Best Day | 2.91% | 2.58% |
| Worst Day | -2.58% | -3.72% |
| Best Month | 10.51% | 6.92% |
| Worst Month | -4.94% | -5.76% |
| Best Year | 13.33% | 5.65% |
| Worst Year | 0.94% | 1.86% |
| Avg. Drawdown | -1.74% | -2.05% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 1.61 | 0.94 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.23 |
| Avg. Up Month | 3.19% | 2.82% |
| Avg. Down Month | -1.8% | -2.77% |
| Win Days | 52.0% | 55.6% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.96 |
| Alpha | - | -0.05 |
| Correlation | - | 86.64% |
| Treynor Ratio | - | 7.91% |
| Year | SPY | SMILX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.86 | 1.98 | + |
| 2026 | 13.33 | 5.65 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-11-04 | -8.87 | 155 |
| 2026-03-03 | 2026-04-16 | -8.14 | 45 |
| 2025-11-13 | 2025-12-04 | -4.63 | 22 |
| 2026-01-30 | 2026-02-24 | -3.75 | 26 |
| 2025-12-12 | 2025-12-19 | -2.38 | 8 |
| 2026-05-15 | 2026-05-22 | -2.38 | 8 |
| 2025-12-29 | 2026-01-02 | -1.66 | 5 |
| 2026-04-28 | 2026-04-29 | -1.10 | 2 |
| 2026-04-20 | 2026-04-21 | -1.01 | 2 |
| 2026-05-07 | 2026-05-07 | -0.91 | 1 |