| Metric | SPY | TOAK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 40.85% | 8.93% |
| CAGR﹪ | 16.86% | 3.97% |
| Sharpe | 0.77 | -0.24 |
| Prob. Sharpe Ratio | 87.83% | 36.53% |
| Smart Sharpe | 0.7 | -0.13 |
| Sortino | 1.14 | -0.35 |
| Smart Sortino | 1.03 | -0.2 |
| Sortino/√2 | 0.8 | -0.25 |
| Smart Sortino/√2 | 0.73 | -0.14 |
| Omega | 1.22 | 2.11 |
| Max Drawdown | -18.76% | -1.81% |
| Max DD Date | 2025-04-08 | 2026-05-20 |
| Max DD Period Start | 2025-02-20 | 2026-05-13 |
| Max DD Period End | 2025-06-25 | 2026-11-04 |
| Longest DD Days | 126 | 176 |
| Volatility (ann.) | 16.17% | 2.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.9 | 2.2 |
| Skew | 1.14 | 1.35 |
| Kurtosis | 22.9 | 139.59 |
| Ulcer Performance Index | 11.54 | 16.28 |
| Risk-Adjusted Return | 16.86% | 4.9% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.64% | 0.05% |
| Avg. Loss | -0.57% | -0.05% |
| Win/Loss Ratio | 1.12 | 0.84 |
| Profit Ratio | 0.8 | 0.2 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.23% | 0.31% |
| Expected Yearly | 12.09% | 2.89% |
| Kelly Criterion | 15.36% | 35.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -0.21% |
| Expected Shortfall (cVaR) | -2.43% | -0.71% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.22 | 1.11 |
| Gain/Pain (1M) | 2.09 | - |
| Payoff Ratio | 1.12 | 0.84 |
| Profit Factor | 1.22 | 2.11 |
| Common Sense Ratio | 1.18 | 3.55 |
| CPC Index | 0.76 | 1.25 |
| Tail Ratio | 0.96 | 1.69 |
| Outlier Win Ratio | 3.41 | 4.79 |
| Outlier Loss Ratio | 3.87 | 2.19 |
| MTD | 1.47% | 0.03% |
| 3M | 1.46% | 0.92% |
| 6M | 6.94% | 1.81% |
| YTD | 13.33% | 2.91% |
| 1Y | 13.43% | 3.64% |
| 3Y (ann.) | 16.86% | 3.97% |
| 5Y (ann.) | 16.86% | 3.97% |
| 10Y (ann.) | 16.86% | 3.97% |
| All-time (ann.) | 16.86% | 3.97% |
| Best Day | 10.5% | 1.96% |
| Worst Day | -5.85% | -1.79% |
| Best Month | 10.51% | 0.5% |
| Worst Month | -5.57% | 0.03% |
| Best Year | 17.72% | 4.28% |
| Worst Year | 5.58% | 1.51% |
| Avg. Drawdown | -1.72% | -0.07% |
| Avg. Drawdown Days | 13 | 6 |
| Recovery Factor | 1.98 | 4.76 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 1.05 | 1.4 |
| Avg. Up Month | 3.06% | 0.31% |
| Avg. Down Month | - | - |
| Win Days | 55.23% | 70.63% |
| Win Month | 64.29% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.04 |
| Correlation | - | -2.55% |
| Treynor Ratio | - | -2642.31% |
| Year | SPY | TOAK | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.58 | 1.51 | 0.27 | - |
| 2025 | 17.72 | 4.28 | 0.24 | - |
| 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 |
| 2026-03-27 | 2026-04-17 | -0.16 | 22 |
| 2024-11-11 | 2024-11-15 | -0.13 | 5 |
| 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 |
| 2024-10-03 | 2024-10-04 | -0.06 | 2 |
| 2024-11-04 | 2024-11-04 | -0.06 | 1 |
| 2025-04-09 | 2025-04-09 | -0.05 | 1 |