| Metric | SPY | BTAL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.39% | -10.01% |
| CAGR﹪ | 14.51% | -10.08% |
| Sharpe | 0.83 | -0.48 |
| Prob. Sharpe Ratio | 79.61% | 31.84% |
| Smart Sharpe | 0.82 | -0.43 |
| Sortino | 1.22 | -0.69 |
| Smart Sortino | 1.2 | -0.62 |
| Sortino/√2 | 0.86 | -0.49 |
| Smart Sortino/√2 | 0.85 | -0.44 |
| Omega | 1.2 | 0.95 |
| Max Drawdown | -8.88% | -29.19% |
| Max DD Date | 2026-03-30 | 2026-06-22 |
| Max DD Period Start | 2026-01-28 | 2025-11-21 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 349 |
| Volatility (ann.) | 12.86% | 23.98% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | -0.35 |
| Skew | -0.02 | 0.25 |
| Kurtosis | 0.78 | -0.27 |
| Ulcer Performance Index | 6.68 | -0.58 |
| Risk-Adjusted Return | 14.51% | -10.39% |
| Risk-Return Ratio | 0.07 | -0.02 |
| Avg. Return | 0.06% | -0.03% |
| Avg. Win | 0.25% | 0.68% |
| Avg. Loss | -0.29% | -0.65% |
| Win/Loss Ratio | 0.89 | 1.05 |
| Profit Ratio | 1.02 | 1.4 |
| Expected Daily | 0.05% | -0.04% |
| Expected Monthly | 1.04% | -0.81% |
| Expected Yearly | 6.95% | -5.13% |
| Kelly Criterion | -1.92% | -10.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.52% |
| Expected Shortfall (cVaR) | -1.66% | -3.01% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | -0.05 |
| Gain/Pain (1M) | 1.83 | -0.27 |
| Payoff Ratio | 0.89 | 1.05 |
| Profit Factor | 1.2 | 0.95 |
| Common Sense Ratio | 1.19 | 1.05 |
| CPC Index | 0.56 | 0.43 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.84 | 2.64 |
| Outlier Loss Ratio | 3.01 | 2.66 |
| MTD | 1.47% | -1.28% |
| 3M | 1.46% | 8.46% |
| 6M | 6.94% | 5.65% |
| YTD | 13.33% | -9.1% |
| 1Y | 14.39% | -10.01% |
| 3Y (ann.) | 14.51% | -10.08% |
| 5Y (ann.) | 14.51% | -10.08% |
| 10Y (ann.) | 14.51% | -10.08% |
| All-time (ann.) | 14.51% | -10.08% |
| Best Day | 2.91% | 4.0% |
| Worst Day | -2.58% | -3.93% |
| Best Month | 10.51% | 10.42% |
| Worst Month | -4.94% | -10.74% |
| Best Year | 13.33% | -0.99% |
| Worst Year | 0.94% | -9.1% |
| Avg. Drawdown | -1.74% | -8.43% |
| Avg. Drawdown Days | 14 | 89 |
| Recovery Factor | 1.61 | 0.26 |
| Ulcer Index | 0.02 | 0.17 |
| Serenity Index | 0.94 | -0.02 |
| Avg. Up Month | 1.36% | 4.97% |
| Avg. Down Month | -1.79% | -1.86% |
| Win Days | 52.0% | 43.39% |
| Win Month | 61.54% | 23.08% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -1.41 |
| Alpha | - | 0.12 |
| Correlation | - | -75.58% |
| Treynor Ratio | - | 7.1% |
| Year | SPY | BTAL | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.99 | -1.06 | - |
| 2026 | 13.33 | -9.10 | -0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-21 | 2026-11-04 | -29.19 | 349 |
| 2025-11-10 | 2025-11-12 | -2.43 | 3 |
| 2025-11-18 | 2025-11-19 | -1.53 | 2 |
| 2025-11-14 | 2025-11-14 | -0.58 | 1 |