| Metric | SPY | BTAL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 204.97% | -32.94% |
| CAGR﹪ | 16.25% | -5.25% |
| Sharpe | 0.72 | -0.32 |
| Prob. Sharpe Ratio | 97.45% | 18.95% |
| Smart Sharpe | 0.63 | -0.32 |
| Sortino | 1.02 | -0.45 |
| Smart Sortino | 0.88 | -0.44 |
| Sortino/√2 | 0.72 | -0.32 |
| Smart Sortino/√2 | 0.62 | -0.31 |
| Omega | 1.18 | 0.97 |
| Max Drawdown | -33.72% | -52.7% |
| Max DD Date | 2020-03-23 | 2026-06-22 |
| Max DD Period Start | 2020-02-20 | 2020-03-13 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 708 | 2428 |
| Volatility (ann.) | 19.45% | 19.62% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | -0.1 |
| Skew | -0.29 | -0.06 |
| Kurtosis | 13.94 | 2.78 |
| Ulcer Performance Index | 25.91 | -1.21 |
| Risk-Adjusted Return | 16.25% | -5.36% |
| Risk-Return Ratio | 0.05 | -0.01 |
| Avg. Return | 0.07% | -0.01% |
| Avg. Win | 0.6% | 0.59% |
| Avg. Loss | -0.56% | -0.64% |
| Win/Loss Ratio | 1.08 | 0.92 |
| Profit Ratio | 0.78 | 0.95 |
| Expected Daily | 0.06% | -0.02% |
| Expected Monthly | 1.25% | -0.44% |
| Expected Yearly | 14.96% | -4.87% |
| Kelly Criterion | 13.48% | -5.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.05% |
| Expected Shortfall (cVaR) | -3.2% | -2.81% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | -0.03 |
| Gain/Pain (1M) | 1.15 | -0.14 |
| Payoff Ratio | 1.08 | 0.92 |
| Profit Factor | 1.18 | 0.97 |
| Common Sense Ratio | 1.13 | 0.98 |
| CPC Index | 0.7 | 0.44 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.41 |
| Outlier Loss Ratio | 4.12 | 3.42 |
| MTD | 1.47% | -1.28% |
| 3M | 1.46% | 8.46% |
| 6M | 6.94% | 5.65% |
| YTD | 13.33% | -9.1% |
| 1Y | 13.43% | -8.16% |
| 3Y (ann.) | 20.78% | -9.31% |
| 5Y (ann.) | 12.86% | -3.25% |
| 10Y (ann.) | 16.25% | -5.25% |
| All-time (ann.) | 16.25% | -5.25% |
| Best Day | 10.5% | 6.62% |
| Worst Day | -10.94% | -8.89% |
| Best Month | 12.7% | 10.42% |
| Worst Month | -12.49% | -14.96% |
| Best Year | 28.73% | 20.48% |
| Worst Year | -18.18% | -20.17% |
| Avg. Drawdown | -1.79% | -7.96% |
| Avg. Drawdown Days | 16 | 298 |
| Recovery Factor | 3.72 | 0.49 |
| Ulcer Index | 0.08 | 0.27 |
| Serenity Index | 1.03 | -0.02 |
| Avg. Up Month | 3.02% | 2.91% |
| Avg. Down Month | -2.59% | -1.79% |
| Win Days | 55.15% | 49.12% |
| Win Month | 65.56% | 42.22% |
| Win Quarter | 77.42% | 41.94% |
| Win Year | 87.5% | 25.0% |
| Beta | - | -0.53 |
| Alpha | - | 0.05 |
| Correlation | - | -52.24% |
| Treynor Ratio | - | 62.49% |
| Year | SPY | BTAL | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -0.24 | -0.01 | - |
| 2020 | 18.33 | -13.86 | -0.76 | - |
| 2021 | 28.73 | -6.81 | -0.24 | - |
| 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 | 13.33 | -9.10 | -0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-03-13 | 2026-11-04 | -52.70 | 2428 |
| 2019-09-04 | 2020-03-04 | -9.87 | 183 |
| 2019-06-07 | 2019-07-31 | -3.69 | 55 |
| 2019-08-28 | 2019-08-30 | -1.87 | 3 |
| 2020-03-10 | 2020-03-11 | -1.45 | 2 |
| 2019-08-16 | 2019-08-22 | -1.40 | 7 |
| 2019-08-13 | 2019-08-13 | -0.50 | 1 |
| 2019-08-08 | 2019-08-08 | -0.08 | 1 |
| 2019-08-06 | 2019-08-06 | -0.04 | 1 |