| Metric | SPY | BTAL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 86.58% | -20.12% |
| CAGR﹪ | 13.36% | -4.42% |
| Sharpe | 0.59 | -0.32 |
| Prob. Sharpe Ratio | 90.85% | 23.55% |
| Smart Sharpe | 0.58 | -0.32 |
| Sortino | 0.86 | -0.46 |
| Smart Sortino | 0.83 | -0.44 |
| Sortino/√2 | 0.61 | -0.32 |
| Smart Sortino/√2 | 0.59 | -0.31 |
| Omega | 1.16 | 0.98 |
| Max Drawdown | -24.5% | -47.83% |
| Max DD Date | 2022-10-12 | 2026-06-22 |
| Max DD Period Start | 2022-01-04 | 2025-04-04 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 763 |
| Volatility (ann.) | 17.2% | 19.69% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | -0.09 |
| Skew | 0.32 | 0.08 |
| Kurtosis | 8.95 | 0.92 |
| Ulcer Performance Index | 10.24 | -1.09 |
| Risk-Adjusted Return | 13.36% | -4.51% |
| Risk-Return Ratio | 0.05 | -0.01 |
| Avg. Return | 0.06% | -0.01% |
| Avg. Win | 0.53% | 0.55% |
| Avg. Loss | -0.41% | -0.57% |
| Win/Loss Ratio | 1.3 | 0.97 |
| Profit Ratio | 0.83 | 0.95 |
| Expected Daily | 0.05% | -0.02% |
| Expected Monthly | 1.03% | -0.37% |
| Expected Yearly | 10.95% | -3.67% |
| Kelly Criterion | 18.76% | -3.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.05% |
| Expected Shortfall (cVaR) | -2.58% | -2.68% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | -0.02 |
| Gain/Pain (1M) | 0.87 | -0.1 |
| Payoff Ratio | 1.3 | 0.97 |
| Profit Factor | 1.16 | 0.98 |
| Common Sense Ratio | 1.17 | 1.0 |
| CPC Index | 0.81 | 0.47 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.41 | 3.27 |
| Outlier Loss Ratio | 3.77 | 3.19 |
| MTD | 1.08% | -2.69% |
| 3M | 3.82% | 8.85% |
| 6M | 19.85% | -15.69% |
| YTD | 14.3% | -17.1% |
| 1Y | 17.78% | -21.35% |
| 3Y (ann.) | 24.86% | -13.89% |
| 5Y (ann.) | 13.06% | -4.23% |
| 10Y (ann.) | 13.36% | -4.42% |
| All-time (ann.) | 13.36% | -4.42% |
| Best Day | 10.5% | 5.56% |
| Worst Day | -5.85% | -4.76% |
| Best Month | 10.51% | 9.87% |
| Worst Month | -9.24% | -10.74% |
| Best Year | 26.18% | 20.48% |
| Worst Year | -18.18% | -20.17% |
| Avg. Drawdown | -1.89% | -6.46% |
| Avg. Drawdown Days | 20 | 88 |
| Recovery Factor | 2.85 | 0.27 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.47 | -0.02 |
| Avg. Up Month | 2.88% | 3.33% |
| Avg. Down Month | -2.46% | -2.0% |
| Win Days | 54.04% | 48.93% |
| Win Month | 63.93% | 45.9% |
| Win Quarter | 66.67% | 47.62% |
| Win Year | 83.33% | 50.0% |
| Beta | - | -0.74 |
| Alpha | - | 0.08 |
| Correlation | - | -64.64% |
| Treynor Ratio | - | 27.19% |
| Year | SPY | BTAL | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 4.59 | 0.61 | - |
| 2022 | -18.18 | 20.48 | -1.13 | + |
| 2023 | 26.18 | -15.11 | -0.58 | - |
| 2024 | 24.89 | 12.83 | 0.52 | - |
| 2025 | 17.72 | -20.17 | -1.14 | - |
| 2026 | 14.30 | -17.10 | -1.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-04 | 2026-09-22 | -47.83 | 537 |
| 2022-07-01 | 2024-08-01 | -17.98 | 763 |
| 2024-08-08 | 2025-03-06 | -12.59 | 211 |
| 2022-03-15 | 2022-04-20 | -7.27 | 37 |
| 2025-03-11 | 2025-04-02 | -6.47 | 23 |
| 2022-01-24 | 2022-03-04 | -5.85 | 40 |
| 2022-06-17 | 2022-06-29 | -4.92 | 13 |
| 2021-10-01 | 2021-11-29 | -4.87 | 60 |
| 2022-05-12 | 2022-06-09 | -4.54 | 29 |
| 2021-12-06 | 2021-12-13 | -3.23 | 8 |