| Metric | SPY | BTAL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | -13.92% |
| CAGR﹪ | 40.67% | -25.91% |
| Sharpe | 2.32 | -1.18 |
| Prob. Sharpe Ratio | 95.04% | 20.36% |
| Smart Sharpe | 2.3 | -1.03 |
| Sortino | 3.78 | -1.64 |
| Smart Sortino | 3.75 | -1.42 |
| Sortino/√2 | 2.67 | -1.16 |
| Smart Sortino/√2 | 2.65 | -1.0 |
| Omega | 1.54 | 0.85 |
| Max Drawdown | -4.49% | -23.9% |
| Max DD Date | 2026-06-10 | 2026-06-22 |
| Max DD Period Start | 2026-06-03 | 2026-03-31 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 176 |
| Volatility (ann.) | 13.55% | 25.62% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 9.05 | -1.08 |
| Skew | 0.1 | 0.18 |
| Kurtosis | 1.12 | -0.49 |
| Ulcer Performance Index | 11.86 | -0.88 |
| Risk-Adjusted Return | 40.67% | -26.71% |
| Risk-Return Ratio | 0.16 | -0.07 |
| Avg. Return | 0.14% | -0.11% |
| Avg. Win | 0.2% | 0.78% |
| Avg. Loss | -0.27% | -0.8% |
| Win/Loss Ratio | 0.74 | 0.97 |
| Profit Ratio | 1.12 | 1.42 |
| Expected Daily | 0.14% | -0.12% |
| Expected Monthly | 2.47% | -2.12% |
| Expected Yearly | 18.6% | -13.92% |
| Kelly Criterion | -8.02% | -18.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -2.76% |
| Expected Shortfall (cVaR) | -1.77% | -3.14% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.54 | -0.15 |
| Gain/Pain (1M) | 10.92 | -0.55 |
| Payoff Ratio | 0.74 | 0.97 |
| Profit Factor | 1.54 | 0.85 |
| Common Sense Ratio | 2.01 | 0.81 |
| CPC Index | 0.62 | 0.34 |
| Tail Ratio | 1.3 | 0.96 |
| Outlier Win Ratio | 3.21 | 2.24 |
| Outlier Loss Ratio | 3.16 | 2.53 |
| MTD | 1.08% | -2.69% |
| 3M | 3.82% | 8.85% |
| 6M | 18.6% | -13.92% |
| YTD | 18.6% | -13.92% |
| 1Y | 18.6% | -13.92% |
| 3Y (ann.) | 40.67% | -25.91% |
| 5Y (ann.) | 40.67% | -25.91% |
| 10Y (ann.) | 40.67% | -25.91% |
| All-time (ann.) | 40.67% | -25.91% |
| Best Day | 2.91% | 4.0% |
| Worst Day | -2.58% | -3.93% |
| Best Month | 10.51% | 9.87% |
| Worst Month | -1.03% | -10.74% |
| Best Year | 18.6% | -13.92% |
| Worst Year | 18.6% | -13.92% |
| Avg. Drawdown | -1.13% | -12.53% |
| Avg. Drawdown Days | 9 | 89 |
| Recovery Factor | 3.9 | 0.56 |
| Ulcer Index | 0.02 | 0.16 |
| Serenity Index | 2.75 | -0.06 |
| Avg. Up Month | 1.36% | 4.97% |
| Avg. Down Month | -1.03% | -3.46% |
| Win Days | 53.97% | 41.8% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -1.42 |
| Alpha | - | 0.23 |
| Correlation | - | -74.89% |
| Treynor Ratio | - | 9.83% |
| Year | SPY | BTAL | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | -13.92 | -0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-09-22 | -23.90 | 176 |
| 2026-03-24 | 2026-03-25 | -1.15 | 2 |