| Metric | SPY | TOAK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 17.87% | 3.47% |
| CAGR﹪ | 18.02% | 3.5% |
| Sharpe | 1.04 | -0.15 |
| Prob. Sharpe Ratio | 84.73% | 44.03% |
| Smart Sharpe | 1.01 | -0.09 |
| Sortino | 1.51 | -0.22 |
| Smart Sortino | 1.47 | -0.13 |
| Sortino/√2 | 1.07 | -0.16 |
| Smart Sortino/√2 | 1.04 | -0.09 |
| Omega | 1.25 | 1.57 |
| 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 | 2026-09-22 |
| Longest DD Days | 76 | 133 |
| Volatility (ann.) | 12.99% | 3.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 1.94 |
| Skew | -0.15 | 0.98 |
| Kurtosis | 1.05 | 66.74 |
| Ulcer Performance Index | 8.3 | 4.33 |
| Risk-Adjusted Return | 18.02% | 4.27% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.02% | 0.02% |
| Avg. Win | 0.63% | 0.06% |
| Avg. Loss | -0.52% | -0.07% |
| Win/Loss Ratio | 1.22 | 0.84 |
| Profit Ratio | 0.94 | 0.26 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.26% |
| Expected Yearly | 8.57% | 1.72% |
| Kelly Criterion | 15.42% | 23.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.31% |
| Expected Shortfall (cVaR) | -1.72% | -0.81% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.25 | 0.57 |
| Gain/Pain (1M) | 2.6 | - |
| Payoff Ratio | 1.22 | 0.84 |
| Profit Factor | 1.25 | 1.57 |
| Common Sense Ratio | 1.24 | 2.2 |
| CPC Index | 0.81 | 0.85 |
| Tail Ratio | 0.99 | 1.4 |
| Outlier Win Ratio | 2.88 | 10.13 |
| Outlier Loss Ratio | 3.19 | 4.59 |
| MTD | 1.08% | 0.21% |
| 3M | 3.82% | 0.9% |
| 6M | 19.85% | 1.71% |
| YTD | 14.3% | 2.4% |
| 1Y | 17.87% | 3.47% |
| 3Y (ann.) | 18.02% | 3.5% |
| 5Y (ann.) | 18.02% | 3.5% |
| 10Y (ann.) | 18.02% | 3.5% |
| All-time (ann.) | 18.02% | 3.5% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.7% | -1.79% |
| Best Month | 10.51% | 0.5% |
| Worst Month | -4.94% | 0.1% |
| Best Year | 14.3% | 2.4% |
| Worst Year | 3.13% | 1.05% |
| Avg. Drawdown | -1.71% | -0.16% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 1.91 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 0.5 |
| Avg. Up Month | 2.41% | 0.27% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 64.88% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.03 |
| Correlation | - | 0.22% |
| Treynor Ratio | - | 6473.78% |
| Year | SPY | TOAK | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.05 | 0.34 | - |
| 2026 | 14.30 | 2.40 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-13 | 2026-09-22 | -1.81 | 133 |
| 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 |
| 2025-10-08 | 2025-10-08 | -0.04 | 1 |