| Metric | SPY | BTAL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | -20.84% |
| CAGR﹪ | 18.02% | -20.99% |
| Sharpe | 1.04 | -1.03 |
| Prob. Sharpe Ratio | 84.73% | 15.37% |
| Smart Sharpe | 1.01 | -0.89 |
| Sortino | 1.51 | -1.46 |
| Smart Sortino | 1.47 | -1.25 |
| Sortino/√2 | 1.07 | -1.03 |
| Smart Sortino/√2 | 1.04 | -0.89 |
| Omega | 1.25 | 0.87 |
| Max Drawdown | -8.88% | -29.86% |
| Max DD Date | 2026-03-30 | 2026-06-22 |
| Max DD Period Start | 2026-01-28 | 2025-10-13 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 345 |
| Volatility (ann.) | 12.99% | 23.85% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | -0.7 |
| Skew | -0.15 | 0.26 |
| Kurtosis | 1.05 | -0.3 |
| Ulcer Performance Index | 8.3 | -1.24 |
| Risk-Adjusted Return | 18.02% | -21.42% |
| Risk-Return Ratio | 0.08 | -0.05 |
| Avg. Return | 0.07% | -0.08% |
| Avg. Win | 0.27% | 0.78% |
| Avg. Loss | -0.28% | -0.67% |
| Win/Loss Ratio | 0.97 | 1.17 |
| Profit Ratio | 0.94 | 1.51 |
| Expected Daily | 0.07% | -0.09% |
| Expected Monthly | 1.27% | -1.78% |
| Expected Yearly | 8.57% | -11.03% |
| Kelly Criterion | 5.72% | -8.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.55% |
| Expected Shortfall (cVaR) | -1.72% | -2.98% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | -0.13 |
| Gain/Pain (1M) | 2.6 | -0.58 |
| Payoff Ratio | 0.97 | 1.17 |
| Profit Factor | 1.25 | 0.87 |
| Common Sense Ratio | 1.24 | 0.91 |
| CPC Index | 0.65 | 0.42 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.88 | 2.5 |
| Outlier Loss Ratio | 3.19 | 2.64 |
| MTD | 1.08% | -2.69% |
| 3M | 3.82% | 8.85% |
| 6M | 19.85% | -15.69% |
| YTD | 14.3% | -17.1% |
| 1Y | 17.87% | -20.84% |
| 3Y (ann.) | 18.02% | -20.99% |
| 5Y (ann.) | 18.02% | -20.99% |
| 10Y (ann.) | 18.02% | -20.99% |
| All-time (ann.) | 18.02% | -20.99% |
| Best Day | 2.91% | 4.0% |
| Worst Day | -2.7% | -3.93% |
| Best Month | 10.51% | 9.87% |
| Worst Month | -4.94% | -10.74% |
| Best Year | 14.3% | -4.52% |
| Worst Year | 3.13% | -17.1% |
| Avg. Drawdown | -1.71% | -8.36% |
| Avg. Drawdown Days | 13 | 89 |
| Recovery Factor | 1.94 | 0.69 |
| Ulcer Index | 0.02 | 0.17 |
| Serenity Index | 1.16 | -0.06 |
| Avg. Up Month | 0.84% | 3.62% |
| Avg. Down Month | -2.28% | -1.77% |
| Win Days | 53.6% | 41.56% |
| Win Month | 76.92% | 30.77% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -1.39 |
| Alpha | - | 0.04 |
| Correlation | - | -75.76% |
| Treynor Ratio | - | 14.98% |
| Year | SPY | BTAL | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -4.52 | -1.45 | - |
| 2026 | 14.30 | -17.10 | -1.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-13 | 2026-09-22 | -29.86 | 345 |
| 2025-10-01 | 2025-10-09 | -3.20 | 9 |
| 2025-09-29 | 2025-09-29 | -0.25 | 1 |
| 2025-09-25 | 2025-09-25 | -0.13 | 1 |