| Metric | SPY | FTLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 11.41% |
| CAGR﹪ | 18.02% | 11.51% |
| Sharpe | 1.04 | 0.88 |
| Prob. Sharpe Ratio | 84.73% | 80.79% |
| Smart Sharpe | 1.01 | 0.81 |
| Sortino | 1.51 | 1.28 |
| Smart Sortino | 1.47 | 1.18 |
| Sortino/√2 | 1.07 | 0.91 |
| Smart Sortino/√2 | 1.04 | 0.83 |
| Omega | 1.25 | 1.25 |
| 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.) | 12.99% | 8.28% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.03 | 3.04 |
| Skew | -0.15 | -0.16 |
| Kurtosis | 1.05 | 0.75 |
| Ulcer Performance Index | 8.3 | 9.07 |
| Risk-Adjusted Return | 18.02% | 11.74% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.72% | 0.46% |
| Avg. Loss | -0.69% | -0.45% |
| Win/Loss Ratio | 1.05 | 1.02 |
| Profit Ratio | 0.94 | 0.72 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.83% |
| Expected Yearly | 8.57% | 5.55% |
| Kelly Criterion | 9.49% | 12.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.81% |
| Expected Shortfall (cVaR) | -1.72% | -1.18% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.25 |
| Gain/Pain (1M) | 2.6 | 4.1 |
| Payoff Ratio | 1.05 | 1.02 |
| Profit Factor | 1.25 | 1.25 |
| Common Sense Ratio | 1.24 | 1.47 |
| CPC Index | 0.7 | 0.71 |
| Tail Ratio | 0.99 | 1.17 |
| Outlier Win Ratio | 2.88 | 3.23 |
| Outlier Loss Ratio | 3.19 | 3.19 |
| MTD | 1.08% | 0.98% |
| 3M | 3.82% | 3.69% |
| 6M | 19.85% | 11.44% |
| YTD | 14.3% | 8.91% |
| 1Y | 17.87% | 11.41% |
| 3Y (ann.) | 18.02% | 11.51% |
| 5Y (ann.) | 18.02% | 11.51% |
| 10Y (ann.) | 18.02% | 11.51% |
| All-time (ann.) | 18.02% | 11.51% |
| Best Day | 2.91% | 1.54% |
| Worst Day | -2.7% | -1.78% |
| Best Month | 10.51% | 4.87% |
| Worst Month | -4.94% | -1.17% |
| Best Year | 14.3% | 8.91% |
| Worst Year | 3.13% | 2.3% |
| Avg. Drawdown | -1.71% | -0.98% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 2.94 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.49 |
| Avg. Up Month | 2.67% | 1.54% |
| Avg. Down Month | -2.28% | -0.78% |
| Win Days | 53.6% | 55.92% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.52 |
| Alpha | - | 0.02 |
| Correlation | - | 81.0% |
| Treynor Ratio | - | 22.11% |
| Year | SPY | FTLS | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.30 | 0.73 | - |
| 2026 | 14.30 | 8.91 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-04-08 | -3.79 | 65 |
| 2025-11-13 | 2025-12-23 | -3.46 | 41 |
| 2025-10-03 | 2025-10-24 | -3.40 | 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 |