| Metric | SPY | WALSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 15.7% |
| CAGR﹪ | 14.51% | 15.84% |
| Sharpe | 0.83 | 0.78 |
| Prob. Sharpe Ratio | 79.61% | 78.38% |
| Smart Sharpe | 0.82 | 0.74 |
| Sortino | 1.22 | 1.24 |
| Smart Sortino | 1.2 | 1.18 |
| Sortino/√2 | 0.86 | 0.88 |
| Smart Sortino/√2 | 0.85 | 0.84 |
| Omega | 1.2 | 1.18 |
| Max Drawdown | -8.88% | -9.49% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-03-03 |
| Max DD Period End | 2026-04-13 | 2026-06-25 |
| Longest DD Days | 76 | 115 |
| Volatility (ann.) | 12.86% | 15.71% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 1.67 |
| Skew | -0.02 | 0.47 |
| Kurtosis | 0.78 | 0.3 |
| Ulcer Performance Index | 6.68 | 3.68 |
| Risk-Adjusted Return | 14.51% | 16.16% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.04% | 0.06% |
| Avg. Win | 0.68% | 0.95% |
| Avg. Loss | -0.65% | -0.76% |
| Win/Loss Ratio | 1.05 | 1.24 |
| Profit Ratio | 1.02 | 1.18 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.13% |
| Expected Yearly | 6.95% | 7.56% |
| Kelly Criterion | 6.1% | 7.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.56% |
| Expected Shortfall (cVaR) | -1.66% | -1.83% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.18 |
| Gain/Pain (1M) | 1.83 | 0.92 |
| Payoff Ratio | 1.05 | 1.24 |
| Profit Factor | 1.2 | 1.18 |
| Common Sense Ratio | 1.19 | 1.52 |
| CPC Index | 0.65 | 0.71 |
| Tail Ratio | 0.99 | 1.29 |
| Outlier Win Ratio | 2.84 | 2.96 |
| Outlier Loss Ratio | 3.01 | 2.77 |
| MTD | 1.47% | 4.43% |
| 3M | 1.46% | 2.57% |
| 6M | 6.94% | 10.54% |
| YTD | 13.33% | 17.11% |
| 1Y | 14.39% | 15.7% |
| 3Y (ann.) | 14.51% | 15.84% |
| 5Y (ann.) | 14.51% | 15.84% |
| 10Y (ann.) | 14.51% | 15.84% |
| All-time (ann.) | 14.51% | 15.84% |
| Best Day | 2.91% | 3.59% |
| Worst Day | -2.58% | -2.13% |
| Best Month | 10.51% | 8.21% |
| Worst Month | -4.94% | -6.1% |
| Best Year | 13.33% | 17.11% |
| Worst Year | 0.94% | -1.21% |
| Avg. Drawdown | -1.74% | -2.59% |
| Avg. Drawdown Days | 14 | 20 |
| Recovery Factor | 1.61 | 1.67 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.45 |
| Avg. Up Month | 2.84% | 2.28% |
| Avg. Down Month | -2.63% | -6.05% |
| Win Days | 52.0% | 48.77% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.53 |
| Alpha | - | 0.08 |
| Correlation | - | 43.65% |
| Treynor Ratio | - | 29.44% |
| Year | SPY | WALSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.21 | -1.29 | - |
| 2026 | 13.33 | 17.11 | 1.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-06-25 | -9.49 | 115 |
| 2026-08-14 | 2026-11-04 | -7.85 | 83 |
| 2025-11-26 | 2026-01-07 | -4.22 | 43 |
| 2026-01-22 | 2026-02-04 | -3.08 | 14 |
| 2026-07-29 | 2026-08-12 | -3.00 | 15 |
| 2026-07-17 | 2026-07-24 | -2.76 | 8 |
| 2026-07-07 | 2026-07-15 | -2.59 | 9 |
| 2026-01-16 | 2026-01-20 | -1.70 | 5 |
| 2025-11-06 | 2025-11-20 | -1.69 | 15 |
| 2026-02-09 | 2026-02-12 | -1.36 | 4 |