| Metric | SPY | NLSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 23.81% |
| CAGR﹪ | 40.67% | 53.28% |
| Sharpe | 2.32 | 2.2 |
| Prob. Sharpe Ratio | 95.04% | 93.55% |
| Smart Sharpe | 2.3 | 2.14 |
| Sortino | 3.78 | 3.29 |
| Smart Sortino | 3.75 | 3.19 |
| Sortino/√2 | 2.67 | 2.33 |
| Smart Sortino/√2 | 2.65 | 2.26 |
| Omega | 1.54 | 1.48 |
| Max Drawdown | -4.49% | -8.08% |
| Max DD Date | 2026-06-10 | 2026-06-17 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-07-29 |
| Longest DD Days | 59 | 58 |
| Volatility (ann.) | 13.55% | 18.54% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 9.05 | 6.59 |
| Skew | 0.1 | -0.35 |
| Kurtosis | 1.12 | 0.72 |
| Ulcer Performance Index | 11.86 | 7.61 |
| Risk-Adjusted Return | 40.67% | 53.28% |
| Risk-Return Ratio | 0.16 | 0.15 |
| Avg. Return | 0.14% | 0.18% |
| Avg. Win | 0.76% | 0.96% |
| Avg. Loss | -0.67% | -1.11% |
| Win/Loss Ratio | 1.13 | 0.86 |
| Profit Ratio | 1.12 | 0.64 |
| Expected Daily | 0.14% | 0.17% |
| Expected Monthly | 2.47% | 3.1% |
| Expected Yearly | 18.6% | 23.81% |
| Kelly Criterion | 13.28% | 14.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.74% |
| Expected Shortfall (cVaR) | -1.77% | -2.55% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.48 |
| Gain/Pain (1M) | 10.92 | 3.57 |
| Payoff Ratio | 1.13 | 0.86 |
| Profit Factor | 1.54 | 1.48 |
| Common Sense Ratio | 2.01 | 1.49 |
| CPC Index | 0.94 | 0.77 |
| Tail Ratio | 1.3 | 1.01 |
| Outlier Win Ratio | 3.21 | 2.7 |
| Outlier Loss Ratio | 3.16 | 3.26 |
| MTD | 1.08% | 0.52% |
| 3M | 3.82% | 15.04% |
| 6M | 18.6% | 23.81% |
| YTD | 18.6% | 23.81% |
| 1Y | 18.6% | 23.81% |
| 3Y (ann.) | 40.67% | 53.28% |
| 5Y (ann.) | 40.67% | 53.28% |
| 10Y (ann.) | 40.67% | 53.28% |
| All-time (ann.) | 40.67% | 53.28% |
| Best Day | 2.91% | 3.69% |
| Worst Day | -2.58% | -3.15% |
| Best Month | 10.51% | 10.61% |
| Worst Month | -1.03% | -4.28% |
| Best Year | 18.6% | 23.81% |
| Worst Year | 18.6% | 23.81% |
| Avg. Drawdown | -1.13% | -2.05% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 3.9 | 2.75 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 1.2 |
| Avg. Up Month | 3.91% | 5.8% |
| Avg. Down Month | -0.9% | -3.22% |
| Win Days | 53.97% | 60.32% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.45 |
| Alpha | - | 0.29 |
| Correlation | - | 32.97% |
| Treynor Ratio | - | 52.77% |
| Year | SPY | NLSI | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 23.81 | 1.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-07-29 | -8.08 | 58 |
| 2026-03-24 | 2026-04-28 | -7.09 | 36 |
| 2026-08-18 | 2026-08-28 | -2.46 | 11 |
| 2026-09-08 | 2026-09-22 | -1.99 | 15 |
| 2026-05-06 | 2026-05-07 | -1.81 | 2 |
| 2026-07-31 | 2026-08-03 | -1.45 | 4 |
| 2026-04-30 | 2026-05-01 | -1.23 | 2 |
| 2026-05-27 | 2026-05-28 | -0.94 | 2 |
| 2026-05-20 | 2026-05-21 | -0.64 | 2 |
| 2026-08-05 | 2026-08-07 | -0.51 | 3 |