| Metric | SPY | FTLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 204.97% | 109.02% |
| CAGR﹪ | 16.25% | 10.47% |
| Sharpe | 0.72 | 0.66 |
| Prob. Sharpe Ratio | 97.45% | 96.01% |
| Smart Sharpe | 0.63 | 0.56 |
| Sortino | 1.02 | 0.9 |
| Smart Sortino | 0.88 | 0.77 |
| Sortino/√2 | 0.72 | 0.64 |
| Smart Sortino/√2 | 0.62 | 0.55 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -33.72% | -20.53% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2020-08-28 |
| Longest DD Days | 708 | 519 |
| Volatility (ann.) | 19.45% | 11.86% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.51 |
| Skew | -0.29 | -0.9 |
| Kurtosis | 13.94 | 9.46 |
| Ulcer Performance Index | 25.91 | 28.45 |
| Risk-Adjusted Return | 16.25% | 10.57% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.89% | 0.58% |
| Avg. Loss | -0.97% | -0.62% |
| Win/Loss Ratio | 0.92 | 0.94 |
| Profit Ratio | 0.78 | 0.77 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.82% |
| Expected Yearly | 14.96% | 9.65% |
| Kelly Criterion | 6.45% | 6.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.19% |
| Expected Shortfall (cVaR) | -3.2% | -1.86% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.18 |
| Gain/Pain (1M) | 1.15 | 1.3 |
| Payoff Ratio | 0.92 | 0.94 |
| Profit Factor | 1.18 | 1.18 |
| Common Sense Ratio | 1.13 | 1.19 |
| CPC Index | 0.6 | 0.6 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.31 |
| Outlier Loss Ratio | 4.12 | 3.73 |
| MTD | 1.47% | -0.24% |
| 3M | 1.46% | 1.8% |
| 6M | 6.94% | 4.05% |
| YTD | 13.33% | 8.05% |
| 1Y | 13.43% | 8.07% |
| 3Y (ann.) | 20.78% | 13.08% |
| 5Y (ann.) | 12.86% | 10.26% |
| 10Y (ann.) | 16.25% | 10.47% |
| All-time (ann.) | 16.25% | 10.47% |
| Best Day | 10.5% | 4.4% |
| Worst Day | -10.94% | -7.11% |
| Best Month | 12.7% | 6.0% |
| Worst Month | -12.49% | -6.63% |
| Best Year | 28.73% | 19.65% |
| Worst Year | -18.18% | -5.56% |
| Avg. Drawdown | -1.79% | -1.31% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.72 | 3.85 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.03 | 1.5 |
| Avg. Up Month | 4.2% | 2.49% |
| Avg. Down Month | -4.11% | -2.24% |
| Win Days | 55.15% | 54.77% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.51 |
| Alpha | - | 0.02 |
| Correlation | - | 84.28% |
| Treynor Ratio | - | 212.06% |
| Year | SPY | FTLS | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 10.14 | 0.62 | - |
| 2020 | 18.33 | 2.56 | 0.14 | - |
| 2021 | 28.73 | 19.65 | 0.68 | - |
| 2022 | -18.18 | -5.56 | 0.31 | + |
| 2023 | 26.18 | 16.94 | 0.65 | - |
| 2024 | 24.89 | 18.80 | 0.76 | - |
| 2025 | 17.72 | 9.09 | 0.51 | - |
| 2026 | 13.33 | 8.05 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-08-28 | -20.53 | 191 |
| 2025-01-24 | 2025-08-26 | -11.69 | 215 |
| 2021-12-30 | 2023-06-01 | -10.35 | 519 |
| 2020-09-03 | 2021-01-06 | -7.45 | 126 |
| 2021-02-12 | 2021-04-14 | -4.76 | 62 |
| 2024-07-11 | 2024-08-26 | -4.44 | 47 |
| 2024-04-01 | 2024-06-05 | -4.22 | 66 |
| 2023-09-12 | 2023-11-09 | -3.95 | 59 |
| 2026-02-03 | 2026-04-08 | -3.79 | 65 |
| 2025-11-13 | 2025-12-23 | -3.46 | 41 |