| Metric | SPY | WALSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 6.04% |
| CAGR﹪ | 18.02% | 6.09% |
| Sharpe | 1.04 | 0.2 |
| Prob. Sharpe Ratio | 84.73% | 57.95% |
| Smart Sharpe | 1.01 | 0.19 |
| Sortino | 1.51 | 0.31 |
| Smart Sortino | 1.47 | 0.29 |
| Sortino/√2 | 1.07 | 0.22 |
| Smart Sortino/√2 | 1.04 | 0.21 |
| Omega | 1.25 | 1.08 |
| 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.) | 12.99% | 15.93% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 0.64 |
| Skew | -0.15 | 0.42 |
| Kurtosis | 1.05 | 0.33 |
| Ulcer Performance Index | 8.3 | 1.57 |
| Risk-Adjusted Return | 18.02% | 6.22% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.7% | 0.95% |
| Avg. Loss | -0.66% | -0.79% |
| Win/Loss Ratio | 1.05 | 1.21 |
| Profit Ratio | 0.94 | 1.22 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.45% |
| Expected Yearly | 8.57% | 2.98% |
| Kelly Criterion | 9.61% | 3.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.62% |
| Expected Shortfall (cVaR) | -1.72% | -1.93% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.08 |
| Gain/Pain (1M) | 2.6 | 0.37 |
| Payoff Ratio | 1.05 | 1.21 |
| Profit Factor | 1.25 | 1.08 |
| Common Sense Ratio | 1.24 | 1.32 |
| CPC Index | 0.71 | 0.61 |
| Tail Ratio | 0.99 | 1.23 |
| Outlier Win Ratio | 2.88 | 2.95 |
| Outlier Loss Ratio | 3.19 | 2.81 |
| MTD | 1.08% | -5.66% |
| 3M | 3.82% | 2.85% |
| 6M | 19.85% | 7.58% |
| YTD | 14.3% | 8.72% |
| 1Y | 17.87% | 6.04% |
| 3Y (ann.) | 18.02% | 6.09% |
| 5Y (ann.) | 18.02% | 6.09% |
| 10Y (ann.) | 18.02% | 6.09% |
| All-time (ann.) | 18.02% | 6.09% |
| Best Day | 2.91% | 3.59% |
| Worst Day | -2.7% | -2.44% |
| Best Month | 10.51% | 8.21% |
| Worst Month | -4.94% | -6.1% |
| Best Year | 14.3% | 8.72% |
| Worst Year | 3.13% | -2.46% |
| Avg. Drawdown | -1.71% | -2.62% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.94 | 0.75 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.24 |
| Avg. Up Month | 2.98% | 2.13% |
| Avg. Down Month | -4.94% | -6.1% |
| Win Days | 53.6% | 46.91% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.56 |
| Alpha | - | -0.03 |
| Correlation | - | 46.05% |
| Treynor Ratio | - | 10.7% |
| Year | SPY | WALSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -2.46 | -0.79 | - |
| 2026 | 14.30 | 8.72 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-06-25 | -9.49 | 115 |
| 2026-08-14 | 2026-09-22 | -7.85 | 40 |
| 2025-09-24 | 2025-10-20 | -5.09 | 27 |
| 2025-11-26 | 2026-01-07 | -4.22 | 43 |
| 2025-10-28 | 2025-11-24 | -4.08 | 28 |
| 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 |