| Metric | SPY | SYMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.6% | 14.19% |
| CAGR﹪ | 40.67% | 30.4% |
| Sharpe | 2.32 | 2.63 |
| Prob. Sharpe Ratio | 95.04% | 96.58% |
| Smart Sharpe | 2.3 | 2.45 |
| Sortino | 3.78 | 4.2 |
| Smart Sortino | 3.75 | 3.91 |
| Sortino/√2 | 2.67 | 2.97 |
| Smart Sortino/√2 | 2.65 | 2.77 |
| Omega | 1.54 | 1.64 |
| Max Drawdown | -4.49% | -6.5% |
| Max DD Date | 2026-06-10 | 2026-06-24 |
| Max DD Period Start | 2026-06-03 | 2026-05-19 |
| Max DD Period End | 2026-07-31 | 2026-08-07 |
| Longest DD Days | 59 | 81 |
| Volatility (ann.) | 13.55% | 8.89% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 9.05 | 4.67 |
| Skew | 0.1 | -0.22 |
| Kurtosis | 1.12 | 0.52 |
| Ulcer Performance Index | 11.86 | 6.41 |
| Risk-Adjusted Return | 40.67% | 32.69% |
| Risk-Return Ratio | 0.16 | 0.19 |
| Avg. Return | 0.11% | 0.12% |
| Avg. Win | 0.68% | 0.56% |
| Avg. Loss | -0.7% | -0.51% |
| Win/Loss Ratio | 0.97 | 1.12 |
| Profit Ratio | 1.12 | 0.81 |
| Expected Daily | 0.14% | 0.11% |
| Expected Monthly | 2.47% | 1.91% |
| Expected Yearly | 18.6% | 14.19% |
| Kelly Criterion | 6.44% | 15.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.81% |
| Expected Shortfall (cVaR) | -1.77% | -1.23% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.64 |
| Gain/Pain (1M) | 10.92 | 3.44 |
| Payoff Ratio | 0.97 | 1.12 |
| Profit Factor | 1.54 | 1.64 |
| Common Sense Ratio | 2.01 | 2.03 |
| CPC Index | 0.81 | 1.02 |
| Tail Ratio | 1.3 | 1.24 |
| Outlier Win Ratio | 3.21 | 2.74 |
| Outlier Loss Ratio | 3.16 | 2.86 |
| MTD | 1.08% | 1.84% |
| 3M | 3.82% | 8.64% |
| 6M | 18.6% | 14.19% |
| YTD | 18.6% | 14.19% |
| 1Y | 18.6% | 14.19% |
| 3Y (ann.) | 40.67% | 30.4% |
| 5Y (ann.) | 40.67% | 30.4% |
| 10Y (ann.) | 40.67% | 30.4% |
| All-time (ann.) | 40.67% | 30.4% |
| Best Day | 2.91% | 1.33% |
| Worst Day | -2.58% | -1.83% |
| Best Month | 10.51% | 6.63% |
| Worst Month | -1.03% | -3.49% |
| Best Year | 18.6% | 14.19% |
| Worst Year | 18.6% | 14.19% |
| Avg. Drawdown | -1.13% | -0.85% |
| Avg. Drawdown Days | 9 | 8 |
| Recovery Factor | 3.9 | 2.07 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.64 |
| Avg. Up Month | 3.57% | 4.01% |
| Avg. Down Month | -1.03% | -3.49% |
| Win Days | 53.97% | 55.56% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.2 |
| Correlation | - | 31.63% |
| Treynor Ratio | - | 68.41% |
| Year | SPY | SYMAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 14.19 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-08-07 | -6.50 | 81 |
| 2026-09-16 | 2026-09-22 | -1.05 | 7 |
| 2026-05-01 | 2026-05-07 | -0.98 | 7 |
| 2026-05-14 | 2026-05-15 | -0.97 | 2 |
| 2026-08-24 | 2026-08-28 | -0.70 | 5 |
| 2026-04-17 | 2026-04-21 | -0.60 | 5 |
| 2026-04-08 | 2026-04-08 | -0.41 | 1 |
| 2026-04-14 | 2026-04-15 | -0.40 | 2 |
| 2026-03-26 | 2026-03-30 | -0.35 | 5 |
| 2026-08-18 | 2026-08-20 | -0.32 | 3 |