| Metric | SPY | WALSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 29.58% |
| CAGR﹪ | 11.91% | 5.35% |
| Sharpe | 0.52 | 0.16 |
| Prob. Sharpe Ratio | 87.6% | 64.31% |
| Smart Sharpe | 0.5 | 0.16 |
| Sortino | 0.74 | 0.24 |
| Smart Sortino | 0.72 | 0.24 |
| Sortino/√2 | 0.53 | 0.17 |
| Smart Sortino/√2 | 0.51 | 0.17 |
| Omega | 1.14 | 1.07 |
| Max Drawdown | -24.5% | -25.28% |
| Max DD Date | 2022-10-12 | 2025-10-10 |
| Max DD Period Start | 2022-01-04 | 2024-11-12 |
| Max DD Period End | 2023-12-12 | 2026-11-04 |
| Longest DD Days | 708 | 723 |
| Volatility (ann.) | 17.19% | 16.29% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.21 |
| Skew | 0.33 | 0.34 |
| Kurtosis | 8.98 | 2.31 |
| Ulcer Performance Index | 8.86 | 2.37 |
| Risk-Adjusted Return | 11.91% | 5.52% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.04% | 0.03% |
| Avg. Win | 0.91% | 0.92% |
| Avg. Loss | -0.89% | -0.88% |
| Win/Loss Ratio | 1.03 | 1.05 |
| Profit Ratio | 0.86 | 0.94 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.43% |
| Expected Yearly | 9.77% | 4.41% |
| Kelly Criterion | 8.3% | 1.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.66% |
| Expected Shortfall (cVaR) | -2.58% | -2.22% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.07 |
| Gain/Pain (1M) | 0.79 | 0.34 |
| Payoff Ratio | 1.03 | 1.05 |
| Profit Factor | 1.14 | 1.07 |
| Common Sense Ratio | 1.15 | 1.18 |
| CPC Index | 0.63 | 0.56 |
| Tail Ratio | 1.0 | 1.1 |
| Outlier Win Ratio | 3.4 | 3.3 |
| Outlier Loss Ratio | 3.8 | 3.19 |
| MTD | 1.47% | 4.43% |
| 3M | 1.46% | 2.57% |
| 6M | 6.94% | 10.54% |
| YTD | 13.33% | 17.11% |
| 1Y | 13.43% | 17.11% |
| 3Y (ann.) | 20.78% | 6.21% |
| 5Y (ann.) | 12.86% | 5.91% |
| 10Y (ann.) | 11.91% | 5.35% |
| All-time (ann.) | 11.91% | 5.35% |
| Best Day | 10.5% | 6.17% |
| Worst Day | -5.85% | -4.26% |
| Best Month | 10.51% | 10.44% |
| Worst Month | -9.24% | -8.29% |
| Best Year | 26.18% | 27.75% |
| Worst Year | -18.18% | -12.79% |
| Avg. Drawdown | -1.94% | -3.37% |
| Avg. Drawdown Days | 21 | 57 |
| Recovery Factor | 2.58 | 1.29 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.43 | 0.12 |
| Avg. Up Month | 4.44% | 4.39% |
| Avg. Down Month | -4.04% | -4.13% |
| Win Days | 53.48% | 49.75% |
| Win Month | 62.3% | 45.9% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.7 |
| Alpha | - | -0.02 |
| Correlation | - | 73.61% |
| Treynor Ratio | - | 42.4% |
| Year | SPY | WALSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.08 | 0.63 | - |
| 2022 | -18.18 | -8.38 | 0.46 | + |
| 2023 | 26.18 | 27.75 | 1.06 | + |
| 2024 | 24.89 | 7.24 | 0.29 | - |
| 2025 | 17.72 | -12.79 | -0.72 | - |
| 2026 | 13.33 | 17.11 | 1.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-12 | 2026-11-04 | -25.28 | 723 |
| 2021-12-30 | 2023-07-31 | -21.33 | 579 |
| 2023-09-05 | 2023-11-30 | -9.42 | 87 |
| 2021-11-22 | 2021-12-28 | -5.05 | 37 |
| 2024-03-28 | 2024-07-12 | -4.96 | 107 |
| 2024-10-18 | 2024-11-05 | -4.32 | 19 |
| 2023-12-29 | 2024-01-26 | -4.08 | 29 |
| 2024-08-01 | 2024-08-20 | -3.53 | 20 |
| 2024-07-17 | 2024-07-25 | -3.28 | 9 |
| 2024-09-03 | 2024-09-13 | -2.96 | 11 |