| Metric | SPY | NLSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | 19.19% |
| CAGR﹪ | 13.27% | 41.67% |
| Sharpe | 0.78 | 1.92 |
| Prob. Sharpe Ratio | 70.87% | 90.92% |
| Smart Sharpe | 0.75 | 1.84 |
| Sortino | 1.14 | 2.86 |
| Smart Sortino | 1.09 | 2.74 |
| Sortino/√2 | 0.8 | 2.03 |
| Smart Sortino/√2 | 0.77 | 1.94 |
| Omega | 1.19 | 1.41 |
| 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.) | 12.4% | 17.05% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.95 | 5.16 |
| Skew | -0.15 | -0.28 |
| Kurtosis | 0.59 | 1.08 |
| Ulcer Performance Index | 3.89 | 7.03 |
| Risk-Adjusted Return | 13.27% | 41.67% |
| Risk-Return Ratio | 0.07 | 0.13 |
| Avg. Return | 0.05% | 0.14% |
| Avg. Win | 0.67% | 0.95% |
| Avg. Loss | -0.67% | -0.82% |
| Win/Loss Ratio | 1.0 | 1.16 |
| Profit Ratio | 1.15 | 0.82 |
| Expected Daily | 0.05% | 0.14% |
| Expected Monthly | 0.9% | 2.54% |
| Expected Yearly | 6.48% | 19.19% |
| Kelly Criterion | 0.98% | 19.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.62% |
| Expected Shortfall (cVaR) | -1.63% | -2.3% |
| Max Consecutive Wins | 4 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.41 |
| Gain/Pain (1M) | 3.26 | 3.08 |
| Payoff Ratio | 1.0 | 1.16 |
| Profit Factor | 1.19 | 1.41 |
| Common Sense Ratio | 1.47 | 1.4 |
| CPC Index | 0.6 | 0.93 |
| Tail Ratio | 1.23 | 0.99 |
| Outlier Win Ratio | 2.66 | 2.71 |
| Outlier Loss Ratio | 3.07 | 3.64 |
| MTD | 1.47% | -3.7% |
| 3M | 1.46% | 7.67% |
| 6M | 6.48% | 19.19% |
| YTD | 6.48% | 19.19% |
| 1Y | 6.48% | 19.19% |
| 3Y (ann.) | 13.27% | 41.67% |
| 5Y (ann.) | 13.27% | 41.67% |
| 10Y (ann.) | 13.27% | 41.67% |
| All-time (ann.) | 13.27% | 41.67% |
| Best Day | 1.8% | 3.69% |
| Worst Day | -2.58% | -3.19% |
| Best Month | 4.52% | 8.37% |
| Worst Month | -1.03% | -3.7% |
| Best Year | 6.48% | 19.19% |
| Worst Year | 6.48% | 19.19% |
| Avg. Drawdown | -1.57% | -1.82% |
| Avg. Drawdown Days | 17 | 10 |
| Recovery Factor | 1.48 | 2.26 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 1.13 |
| Avg. Up Month | 2.41% | 6.96% |
| Avg. Down Month | -0.68% | -1.26% |
| Win Days | 50.39% | 56.69% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.31 |
| Correlation | - | 29.46% |
| Treynor Ratio | - | 47.36% |
| Year | SPY | NLSI | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 19.19 | 2.96 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-07-29 | -8.08 | 58 |
| 2026-10-22 | 2026-11-04 | -5.19 | 14 |
| 2026-09-08 | 2026-10-06 | -2.74 | 29 |
| 2026-08-18 | 2026-08-28 | -2.46 | 11 |
| 2026-05-06 | 2026-05-07 | -1.81 | 2 |
| 2026-07-31 | 2026-08-03 | -1.45 | 4 |
| 2026-05-27 | 2026-05-28 | -0.94 | 2 |
| 2026-10-09 | 2026-10-14 | -0.67 | 6 |
| 2026-05-20 | 2026-05-21 | -0.64 | 2 |
| 2026-10-16 | 2026-10-19 | -0.53 | 4 |