| Metric | SPY | MFTTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 207.58% | 80.32% |
| CAGR﹪ | 16.68% | 8.43% |
| Sharpe | 0.74 | 0.36 |
| Prob. Sharpe Ratio | 97.6% | 82.79% |
| Smart Sharpe | 0.64 | 0.32 |
| Sortino | 1.04 | 0.46 |
| Smart Sortino | 0.9 | 0.41 |
| Sortino/√2 | 0.74 | 0.33 |
| Smart Sortino/√2 | 0.64 | 0.29 |
| Omega | 1.19 | 1.09 |
| Max Drawdown | -33.72% | -33.23% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2024-04-12 |
| Max DD Period End | 2020-08-07 | 2026-05-12 |
| Longest DD Days | 708 | 912 |
| Volatility (ann.) | 19.56% | 20.84% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.25 |
| Skew | -0.29 | -1.32 |
| Kurtosis | 13.84 | 7.87 |
| Ulcer Performance Index | 26.03 | 5.12 |
| Risk-Adjusted Return | 16.68% | 8.97% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.75% | 1.0% |
| Avg. Loss | -0.8% | -1.32% |
| Win/Loss Ratio | 0.95 | 0.76 |
| Profit Ratio | 0.77 | 0.5 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.67% |
| Expected Yearly | 15.08% | 7.65% |
| Kelly Criterion | 8.07% | -0.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -2.12% |
| Expected Shortfall (cVaR) | -3.2% | -3.2% |
| Max Consecutive Wins | 11 | 15 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.19 | 0.09 |
| Gain/Pain (1M) | 1.17 | 0.4 |
| Payoff Ratio | 0.95 | 0.76 |
| Profit Factor | 1.19 | 1.09 |
| Common Sense Ratio | 1.14 | 0.95 |
| CPC Index | 0.62 | 0.47 |
| Tail Ratio | 0.96 | 0.87 |
| Outlier Win Ratio | 3.69 | 3.48 |
| Outlier Loss Ratio | 4.1 | 3.3 |
| MTD | 1.08% | 2.07% |
| 3M | 3.82% | 4.73% |
| 6M | 19.85% | 12.63% |
| YTD | 14.3% | 18.01% |
| 1Y | 17.78% | 34.59% |
| 3Y (ann.) | 24.86% | 5.66% |
| 5Y (ann.) | 13.06% | 10.77% |
| 10Y (ann.) | 16.68% | 8.43% |
| All-time (ann.) | 16.68% | 8.43% |
| Best Day | 10.5% | 4.15% |
| Worst Day | -10.94% | -11.87% |
| Best Month | 12.7% | 17.93% |
| Worst Month | -12.49% | -15.4% |
| Best Year | 28.73% | 56.67% |
| Worst Year | -18.18% | -14.23% |
| Avg. Drawdown | -1.78% | -4.96% |
| Avg. Drawdown Days | 16 | 65 |
| Recovery Factor | 3.75 | 2.26 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 1.03 | 0.21 |
| Avg. Up Month | 3.86% | 5.13% |
| Avg. Down Month | -2.74% | -5.25% |
| Win Days | 55.26% | 56.83% |
| Win Month | 67.05% | 55.68% |
| Win Quarter | 76.67% | 53.33% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.09 |
| Correlation | - | 9.37% |
| Treynor Ratio | - | 804.66% |
| Year | SPY | MFTTX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.97 | 0.18 | - |
| 2020 | 18.33 | -4.85 | -0.26 | - |
| 2021 | 28.73 | 1.13 | 0.04 | - |
| 2022 | -18.18 | 56.67 | -3.12 | + |
| 2023 | 26.18 | -14.23 | -0.54 | - |
| 2024 | 24.89 | 5.91 | 0.24 | - |
| 2025 | 17.72 | 8.37 | 0.47 | - |
| 2026 | 14.30 | 18.01 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-12 | 2026-05-12 | -33.23 | 761 |
| 2019-09-04 | 2022-03-03 | -27.87 | 912 |
| 2023-09-18 | 2024-02-14 | -21.32 | 150 |
| 2023-03-09 | 2023-09-14 | -20.97 | 190 |
| 2022-11-04 | 2023-03-07 | -16.53 | 124 |
| 2022-06-15 | 2022-09-02 | -13.53 | 80 |
| 2026-06-03 | 2026-09-09 | -8.79 | 99 |
| 2024-03-04 | 2024-03-18 | -5.88 | 15 |
| 2022-05-06 | 2022-06-08 | -5.05 | 34 |
| 2019-07-05 | 2019-07-22 | -4.17 | 18 |