| Metric | SPY | NTSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 35.81% |
| CAGR﹪ | 18.02% | 36.14% |
| Sharpe | 1.04 | 1.17 |
| Prob. Sharpe Ratio | 84.73% | 87.44% |
| Smart Sharpe | 1.01 | 1.02 |
| Sortino | 1.51 | 1.7 |
| Smart Sortino | 1.47 | 1.48 |
| Sortino/√2 | 1.07 | 1.2 |
| Smart Sortino/√2 | 1.04 | 1.05 |
| Omega | 1.25 | 1.26 |
| Max Drawdown | -8.88% | -14.83% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.99% | 25.97% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.03 | 2.44 |
| Skew | -0.15 | -0.25 |
| Kurtosis | 1.05 | 2.21 |
| Ulcer Performance Index | 8.3 | 6.48 |
| Risk-Adjusted Return | 18.02% | 36.14% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.14% |
| Avg. Win | 0.72% | 1.35% |
| Avg. Loss | -0.7% | -1.32% |
| Win/Loss Ratio | 1.03 | 1.02 |
| Profit Ratio | 0.94 | 0.83 |
| Expected Daily | 0.07% | 0.12% |
| Expected Monthly | 1.27% | 2.38% |
| Expected Yearly | 8.57% | 16.54% |
| Kelly Criterion | 8.5% | 11.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.55% |
| Expected Shortfall (cVaR) | -1.72% | -3.77% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.26 |
| Gain/Pain (1M) | 2.6 | 1.66 |
| Payoff Ratio | 1.03 | 1.02 |
| Profit Factor | 1.25 | 1.26 |
| Common Sense Ratio | 1.24 | 1.31 |
| CPC Index | 0.69 | 0.71 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.37 |
| Outlier Loss Ratio | 3.19 | 3.71 |
| MTD | 1.08% | 2.5% |
| 3M | 3.82% | -3.83% |
| 6M | 19.85% | 23.76% |
| YTD | 14.3% | 28.5% |
| 1Y | 17.87% | 35.81% |
| 3Y (ann.) | 18.02% | 36.14% |
| 5Y (ann.) | 18.02% | 36.14% |
| 10Y (ann.) | 18.02% | 36.14% |
| All-time (ann.) | 18.02% | 36.14% |
| Best Day | 2.91% | 6.18% |
| Worst Day | -2.7% | -6.71% |
| Best Month | 10.51% | 12.07% |
| Worst Month | -4.94% | -10.28% |
| Best Year | 14.3% | 28.5% |
| Worst Year | 3.13% | 5.69% |
| Avg. Drawdown | -1.71% | -4.11% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.94 | 2.29 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 1.16 | 0.87 |
| Avg. Up Month | 2.99% | 5.72% |
| Avg. Down Month | -4.94% | -10.28% |
| Win Days | 53.6% | 55.2% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.52 |
| Alpha | - | 0.08 |
| Correlation | - | 76.2% |
| Treynor Ratio | - | 23.51% |
| Year | SPY | NTSE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 5.69 | 1.82 | + |
| 2026 | 14.30 | 28.50 | 1.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -14.83 | 92 |
| 2026-02-26 | 2026-04-30 | -14.20 | 64 |
| 2026-06-03 | 2026-06-17 | -9.01 | 15 |
| 2026-05-11 | 2026-05-22 | -5.77 | 12 |
| 2025-10-30 | 2025-12-31 | -5.41 | 63 |
| 2025-10-09 | 2025-10-15 | -4.11 | 7 |
| 2026-01-29 | 2026-02-09 | -3.68 | 12 |
| 2026-01-16 | 2026-01-20 | -1.38 | 5 |
| 2026-05-07 | 2026-05-07 | -1.35 | 1 |
| 2026-02-23 | 2026-02-23 | -1.13 | 1 |