| Metric | SPY | TOAK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 14.39% | 3.64% |
| CAGR﹪ | 14.51% | 3.67% |
| Sharpe | 0.83 | -0.0 |
| Prob. Sharpe Ratio | 79.61% | 49.82% |
| Smart Sharpe | 0.82 | -0.0 |
| Sortino | 1.22 | -0.01 |
| Smart Sortino | 1.2 | -0.0 |
| Sortino/√2 | 0.86 | -0.0 |
| Smart Sortino/√2 | 0.85 | -0.0 |
| Omega | 1.2 | 1.6 |
| Max Drawdown | -8.88% | -1.81% |
| Max DD Date | 2026-03-30 | 2026-05-20 |
| Max DD Period Start | 2026-01-28 | 2026-05-13 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 176 |
| Volatility (ann.) | 12.86% | 3.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 2.03 |
| Skew | -0.02 | 0.98 |
| Kurtosis | 0.78 | 66.84 |
| Ulcer Performance Index | 6.68 | 4.45 |
| Risk-Adjusted Return | 14.51% | 4.53% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | -0.0% | 0.02% |
| Avg. Win | 0.63% | 0.06% |
| Avg. Loss | -0.54% | -0.07% |
| Win/Loss Ratio | 1.17 | 0.84 |
| Profit Ratio | 1.02 | 0.21 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.28% |
| Expected Yearly | 6.95% | 1.8% |
| Kelly Criterion | 10.92% | 28.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.31% |
| Expected Shortfall (cVaR) | -1.66% | -0.81% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.6 |
| Gain/Pain (1M) | 1.83 | - |
| Payoff Ratio | 1.17 | 0.84 |
| Profit Factor | 1.2 | 1.6 |
| Common Sense Ratio | 1.19 | 2.13 |
| CPC Index | 0.73 | 0.9 |
| Tail Ratio | 0.99 | 1.33 |
| Outlier Win Ratio | 2.84 | 10.41 |
| Outlier Loss Ratio | 3.01 | 4.28 |
| MTD | 1.47% | 0.03% |
| 3M | 1.46% | 0.92% |
| 6M | 6.94% | 1.81% |
| YTD | 13.33% | 2.91% |
| 1Y | 14.39% | 3.64% |
| 3Y (ann.) | 14.51% | 3.67% |
| 5Y (ann.) | 14.51% | 3.67% |
| 10Y (ann.) | 14.51% | 3.67% |
| All-time (ann.) | 14.51% | 3.67% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.58% | -1.79% |
| Best Month | 10.51% | 0.5% |
| Worst Month | -4.94% | 0.03% |
| Best Year | 13.33% | 2.91% |
| Worst Year | 0.94% | 0.71% |
| Avg. Drawdown | -1.74% | -0.24% |
| Avg. Drawdown Days | 14 | 23 |
| Recovery Factor | 1.61 | 2.0 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.52 |
| Avg. Up Month | 2.8% | 0.27% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 67.33% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.04 |
| Correlation | - | 0.77% |
| Treynor Ratio | - | 1941.65% |
| Year | SPY | TOAK | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.71 | 0.76 | - |
| 2026 | 13.33 | 2.91 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-13 | 2026-11-04 | -1.81 | 176 |
| 2025-12-16 | 2026-02-19 | -0.68 | 66 |
| 2026-04-06 | 2026-04-16 | -0.16 | 11 |
| 2026-04-21 | 2026-04-27 | -0.10 | 7 |
| 2026-02-23 | 2026-03-09 | -0.09 | 15 |
| 2025-11-18 | 2025-11-20 | -0.07 | 3 |
| 2026-03-27 | 2026-04-01 | -0.07 | 6 |
| 2026-03-11 | 2026-03-17 | -0.05 | 7 |
| 2026-04-29 | 2026-04-29 | -0.05 | 1 |
| 2026-05-07 | 2026-05-11 | -0.03 | 5 |