| Metric | SPY | SMILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 207.58% | 80.84% |
| CAGR﹪ | 16.68% | 8.48% |
| Sharpe | 0.74 | 0.41 |
| Prob. Sharpe Ratio | 97.6% | 86.07% |
| Smart Sharpe | 0.64 | 0.34 |
| Sortino | 1.04 | 0.56 |
| Smart Sortino | 0.9 | 0.47 |
| Sortino/√2 | 0.74 | 0.39 |
| Smart Sortino/√2 | 0.64 | 0.33 |
| Omega | 1.19 | 1.13 |
| Max Drawdown | -33.72% | -29.75% |
| Max DD Date | 2020-03-23 | 2022-09-26 |
| Max DD Period Start | 2020-02-20 | 2021-12-31 |
| Max DD Period End | 2020-08-07 | 2025-09-30 |
| Longest DD Days | 708 | 1370 |
| Volatility (ann.) | 19.56% | 16.18% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.28 |
| Skew | -0.29 | -0.51 |
| Kurtosis | 13.84 | 71.02 |
| Ulcer Performance Index | 26.03 | 5.59 |
| Risk-Adjusted Return | 16.68% | 9.11% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.89% | 0.67% |
| Avg. Loss | -0.96% | -0.8% |
| Win/Loss Ratio | 0.93 | 0.85 |
| Profit Ratio | 0.77 | 0.53 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.68% |
| Expected Yearly | 15.08% | 7.69% |
| Kelly Criterion | 7.04% | 4.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.64% |
| Expected Shortfall (cVaR) | -3.2% | -2.77% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.13 |
| Gain/Pain (1M) | 1.17 | 0.78 |
| Payoff Ratio | 0.93 | 0.85 |
| Profit Factor | 1.19 | 1.13 |
| Common Sense Ratio | 1.14 | 1.05 |
| CPC Index | 0.61 | 0.53 |
| Tail Ratio | 0.96 | 0.93 |
| Outlier Win Ratio | 3.69 | 3.62 |
| Outlier Loss Ratio | 4.1 | 3.62 |
| MTD | 1.08% | 0.08% |
| 3M | 3.82% | -3.11% |
| 6M | 19.85% | 8.43% |
| YTD | 14.3% | 9.54% |
| 1Y | 17.78% | 12.25% |
| 3Y (ann.) | 24.86% | 15.46% |
| 5Y (ann.) | 13.06% | 5.46% |
| 10Y (ann.) | 16.68% | 8.48% |
| All-time (ann.) | 16.68% | 8.48% |
| Best Day | 10.5% | 16.0% |
| Worst Day | -10.94% | -16.25% |
| Best Month | 12.7% | 9.21% |
| Worst Month | -12.49% | -8.21% |
| Best Year | 28.73% | 17.34% |
| Worst Year | -18.18% | -11.85% |
| Avg. Drawdown | -1.78% | -2.89% |
| Avg. Drawdown Days | 16 | 41 |
| Recovery Factor | 3.75 | 2.31 |
| Ulcer Index | 0.08 | 0.14 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.33% | 2.89% |
| Avg. Down Month | -4.36% | -3.45% |
| Win Days | 55.26% | 56.11% |
| Win Month | 67.05% | 63.64% |
| Win Quarter | 76.67% | 70.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.57 |
| Alpha | - | -0.0 |
| Correlation | - | 68.67% |
| Treynor Ratio | - | 142.26% |
| Year | SPY | SMILX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.46 | 0.52 | - |
| 2020 | 18.33 | 17.34 | 0.95 | - |
| 2021 | 28.73 | 6.91 | 0.24 | - |
| 2022 | -18.18 | -11.85 | 0.65 | + |
| 2023 | 26.18 | 6.60 | 0.25 | - |
| 2024 | 24.89 | 13.29 | 0.53 | - |
| 2025 | 17.72 | 13.97 | 0.79 | - |
| 2026 | 14.30 | 9.54 | 0.67 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-31 | 2025-09-30 | -29.75 | 1370 |
| 2020-02-20 | 2020-07-31 | -23.54 | 163 |
| 2021-02-16 | 2021-05-28 | -8.47 | 102 |
| 2026-06-03 | 2026-09-22 | -8.39 | 112 |
| 2026-03-03 | 2026-04-16 | -8.14 | 45 |
| 2020-09-03 | 2020-10-09 | -7.37 | 37 |
| 2020-10-13 | 2020-11-24 | -7.32 | 43 |
| 2021-11-09 | 2021-12-29 | -6.93 | 51 |
| 2021-06-09 | 2021-09-02 | -6.47 | 86 |
| 2025-10-21 | 2025-12-10 | -5.28 | 51 |