| Metric | SPY | BTAL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 7.13% |
| CAGR﹪ | 13.27% | 14.63% |
| Sharpe | 0.78 | 0.52 |
| Prob. Sharpe Ratio | 70.87% | 64.29% |
| Smart Sharpe | 0.75 | 0.43 |
| Sortino | 1.14 | 0.78 |
| Smart Sortino | 1.09 | 0.66 |
| Sortino/√2 | 0.8 | 0.55 |
| Smart Sortino/√2 | 0.77 | 0.47 |
| Omega | 1.19 | 1.11 |
| Max Drawdown | -4.49% | -13.54% |
| Max DD Date | 2026-06-10 | 2026-06-22 |
| Max DD Period Start | 2026-06-03 | 2026-05-20 |
| Max DD Period End | 2026-07-31 | 2026-07-28 |
| Longest DD Days | 59 | 76 |
| Volatility (ann.) | 12.4% | 26.09% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.95 | 1.08 |
| Skew | -0.15 | 0.18 |
| Kurtosis | 0.59 | -0.37 |
| Ulcer Performance Index | 3.89 | 1.19 |
| Risk-Adjusted Return | 13.27% | 15.09% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.28% | 0.68% |
| Avg. Loss | -0.3% | -0.67% |
| Win/Loss Ratio | 0.95 | 1.02 |
| Profit Ratio | 1.15 | 1.22 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.9% | 0.99% |
| Expected Yearly | 6.48% | 7.13% |
| Kelly Criterion | -1.75% | -5.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -2.64% |
| Expected Shortfall (cVaR) | -1.63% | -3.14% |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.19 | 0.11 |
| Gain/Pain (1M) | 3.26 | 0.73 |
| Payoff Ratio | 0.95 | 1.02 |
| Profit Factor | 1.19 | 1.11 |
| Common Sense Ratio | 1.47 | 1.25 |
| CPC Index | 0.57 | 0.53 |
| Tail Ratio | 1.23 | 1.13 |
| Outlier Win Ratio | 2.66 | 2.74 |
| Outlier Loss Ratio | 3.07 | 2.64 |
| MTD | 1.47% | -1.28% |
| 3M | 1.46% | 8.46% |
| 6M | 6.48% | 7.13% |
| YTD | 6.48% | 7.13% |
| 1Y | 6.48% | 7.13% |
| 3Y (ann.) | 13.27% | 14.63% |
| 5Y (ann.) | 13.27% | 14.63% |
| 10Y (ann.) | 13.27% | 14.63% |
| All-time (ann.) | 13.27% | 14.63% |
| Best Day | 1.8% | 4.0% |
| Worst Day | -2.58% | -3.93% |
| Best Month | 4.52% | 10.42% |
| Worst Month | -1.03% | -5.41% |
| Best Year | 6.48% | 7.13% |
| Worst Year | 6.48% | 7.13% |
| Avg. Drawdown | -1.57% | -3.76% |
| Avg. Drawdown Days | 17 | 21 |
| Recovery Factor | 1.48 | 0.63 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.91 | 0.2 |
| Avg. Up Month | 1.36% | 4.97% |
| Avg. Down Month | -0.68% | -2.79% |
| Win Days | 50.39% | 46.72% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -1.59 |
| Alpha | - | 0.38 |
| Correlation | - | -75.57% |
| Treynor Ratio | - | -4.48% |
| Year | SPY | BTAL | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 7.13 | 1.10 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-07-28 | -13.54 | 70 |
| 2026-07-30 | 2026-10-13 | -7.01 | 76 |
| 2026-10-27 | 2026-11-04 | -4.50 | 9 |
| 2026-05-06 | 2026-05-15 | -3.03 | 10 |
| 2026-10-21 | 2026-10-21 | -1.38 | 1 |
| 2026-10-19 | 2026-10-19 | -0.31 | 1 |
| 2026-10-15 | 2026-10-15 | -0.23 | 1 |
| 2026-10-23 | 2026-10-23 | -0.08 | 1 |