| Metric | SPY | TOAK |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 42.05% | 8.39% |
| CAGR﹪ | 18.43% | 3.96% |
| Sharpe | 0.84 | -0.28 |
| Prob. Sharpe Ratio | 89.1% | 34.51% |
| Smart Sharpe | 0.75 | -0.16 |
| Sortino | 1.24 | -0.41 |
| Smart Sortino | 1.12 | -0.24 |
| Sortino/√2 | 0.88 | -0.29 |
| Smart Sortino/√2 | 0.79 | -0.17 |
| Omega | 1.24 | 2.06 |
| 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 | 2026-09-22 |
| Longest DD Days | 126 | 133 |
| Volatility (ann.) | 16.42% | 2.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.98 | 2.19 |
| Skew | 1.15 | 1.32 |
| Kurtosis | 22.79 | 132.53 |
| Ulcer Performance Index | 11.6 | 15.13 |
| Risk-Adjusted Return | 18.43% | 4.89% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.65% | 0.05% |
| Avg. Loss | -0.56% | -0.06% |
| Win/Loss Ratio | 1.16 | 0.81 |
| Profit Ratio | 0.79 | 0.2 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.36% | 0.31% |
| Expected Yearly | 12.41% | 2.72% |
| Kelly Criterion | 17.26% | 34.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.63% | -0.21% |
| Expected Shortfall (cVaR) | -2.46% | -0.71% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.24 | 1.06 |
| Gain/Pain (1M) | 2.28 | - |
| Payoff Ratio | 1.16 | 0.81 |
| Profit Factor | 1.24 | 2.06 |
| Common Sense Ratio | 1.2 | 3.45 |
| CPC Index | 0.8 | 1.18 |
| Tail Ratio | 0.96 | 1.67 |
| Outlier Win Ratio | 3.56 | 4.86 |
| Outlier Loss Ratio | 3.87 | 2.19 |
| MTD | 1.08% | 0.21% |
| 3M | 3.82% | 0.9% |
| 6M | 19.85% | 1.71% |
| YTD | 14.3% | 2.4% |
| 1Y | 17.78% | 3.53% |
| 3Y (ann.) | 18.43% | 3.96% |
| 5Y (ann.) | 18.43% | 3.96% |
| 10Y (ann.) | 18.43% | 3.96% |
| All-time (ann.) | 18.43% | 3.96% |
| Best Day | 10.5% | 1.96% |
| Worst Day | -5.85% | -1.79% |
| Best Month | 10.51% | 0.5% |
| Worst Month | -5.57% | 0.09% |
| Best Year | 17.72% | 4.28% |
| Worst Year | 5.58% | 1.51% |
| Avg. Drawdown | -1.69% | -0.07% |
| Avg. Drawdown Days | 12 | 6 |
| Recovery Factor | 2.02 | 4.49 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 1.06 | 1.34 |
| Avg. Up Month | 3.04% | 0.31% |
| Avg. Down Month | - | - |
| Win Days | 55.64% | 70.62% |
| Win Month | 69.23% | 100.0% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.04 |
| Correlation | - | -2.62% |
| Treynor Ratio | - | -2382.25% |
| Year | SPY | TOAK | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.58 | 1.51 | 0.27 | - |
| 2025 | 17.72 | 4.28 | 0.24 | - |
| 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 |
| 2026-03-27 | 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 |