| Metric | SPY | FTLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 7.72% |
| CAGR﹪ | 14.51% | 7.79% |
| Sharpe | 0.83 | 0.52 |
| Prob. Sharpe Ratio | 79.61% | 69.6% |
| Smart Sharpe | 0.82 | 0.49 |
| Sortino | 1.22 | 0.74 |
| Smart Sortino | 1.2 | 0.7 |
| Sortino/√2 | 0.86 | 0.52 |
| Smart Sortino/√2 | 0.85 | 0.49 |
| Omega | 1.2 | 1.17 |
| Max Drawdown | -8.88% | -3.79% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-03 |
| Max DD Period End | 2026-04-13 | 2026-04-08 |
| Longest DD Days | 76 | 65 |
| Volatility (ann.) | 12.86% | 8.04% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 2.06 |
| Skew | -0.02 | -0.15 |
| Kurtosis | 0.78 | 0.61 |
| Ulcer Performance Index | 6.68 | 6.08 |
| Risk-Adjusted Return | 14.51% | 7.95% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.74% | 0.45% |
| Avg. Loss | -0.69% | -0.45% |
| Win/Loss Ratio | 1.08 | 1.0 |
| Profit Ratio | 1.02 | 0.73 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.57% |
| Expected Yearly | 6.95% | 3.79% |
| Kelly Criterion | 7.42% | 9.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.8% |
| Expected Shortfall (cVaR) | -1.66% | -1.17% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.17 |
| Gain/Pain (1M) | 1.83 | 2.37 |
| Payoff Ratio | 1.08 | 1.0 |
| Profit Factor | 1.2 | 1.17 |
| Common Sense Ratio | 1.19 | 1.35 |
| CPC Index | 0.67 | 0.65 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.84 | 3.2 |
| Outlier Loss Ratio | 3.01 | 3.24 |
| MTD | 1.47% | -0.24% |
| 3M | 1.46% | 1.8% |
| 6M | 6.94% | 4.05% |
| YTD | 13.33% | 8.05% |
| 1Y | 14.39% | 7.72% |
| 3Y (ann.) | 14.51% | 7.79% |
| 5Y (ann.) | 14.51% | 7.79% |
| 10Y (ann.) | 14.51% | 7.79% |
| All-time (ann.) | 14.51% | 7.79% |
| Best Day | 2.91% | 1.54% |
| Worst Day | -2.58% | -1.68% |
| Best Month | 10.51% | 4.87% |
| Worst Month | -4.94% | -1.17% |
| Best Year | 13.33% | 8.05% |
| Worst Year | 0.94% | -0.3% |
| Avg. Drawdown | -1.74% | -0.97% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 2.05 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.0 |
| Avg. Up Month | 3.47% | 1.71% |
| Avg. Down Month | -1.93% | -0.67% |
| Win Days | 52.0% | 54.92% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.5 |
| Alpha | - | 0.01 |
| Correlation | - | 79.7% |
| Treynor Ratio | - | 15.51% |
| Year | SPY | FTLS | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.30 | -0.32 | - |
| 2026 | 13.33 | 8.05 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-04-08 | -3.79 | 65 |
| 2025-11-13 | 2025-12-23 | -3.46 | 41 |
| 2026-10-14 | 2026-11-04 | -3.11 | 22 |
| 2026-06-05 | 2026-07-08 | -2.53 | 34 |
| 2025-12-26 | 2026-01-23 | -2.19 | 29 |
| 2026-09-04 | 2026-09-18 | -1.35 | 15 |
| 2026-07-23 | 2026-08-03 | -1.29 | 12 |
| 2026-08-17 | 2026-08-25 | -0.86 | 9 |
| 2026-05-27 | 2026-06-03 | -0.82 | 8 |
| 2026-05-01 | 2026-05-04 | -0.75 | 4 |