| Metric | SPY | NTSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 29.91% |
| CAGR﹪ | 11.91% | 5.4% |
| Sharpe | 0.52 | 0.17 |
| Prob. Sharpe Ratio | 87.6% | 64.84% |
| Smart Sharpe | 0.5 | 0.16 |
| Sortino | 0.74 | 0.24 |
| Smart Sortino | 0.72 | 0.23 |
| Sortino/√2 | 0.53 | 0.17 |
| Smart Sortino/√2 | 0.51 | 0.16 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -24.5% | -38.96% |
| Max DD Date | 2022-10-12 | 2022-10-24 |
| Max DD Period Start | 2022-01-04 | 2021-11-15 |
| Max DD Period End | 2023-12-12 | 2025-09-04 |
| Longest DD Days | 708 | 1390 |
| Volatility (ann.) | 17.19% | 20.5% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.14 |
| Skew | 0.33 | 0.07 |
| Kurtosis | 8.98 | 3.01 |
| Ulcer Performance Index | 8.86 | 1.57 |
| Risk-Adjusted Return | 11.91% | 5.4% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.88% | 1.08% |
| Avg. Loss | -0.89% | -1.13% |
| Win/Loss Ratio | 0.99 | 0.95 |
| Profit Ratio | 0.86 | 0.91 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.43% |
| Expected Yearly | 9.77% | 4.46% |
| Kelly Criterion | 6.34% | 1.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.1% |
| Expected Shortfall (cVaR) | -2.58% | -2.91% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | 0.79 | 0.3 |
| Payoff Ratio | 0.99 | 0.95 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 3.75 |
| Outlier Loss Ratio | 3.8 | 3.7 |
| MTD | 1.47% | 0.79% |
| 3M | 1.46% | -3.09% |
| 6M | 6.94% | -1.99% |
| YTD | 13.33% | 16.14% |
| 1Y | 13.43% | 15.49% |
| 3Y (ann.) | 20.78% | 20.61% |
| 5Y (ann.) | 12.86% | 6.26% |
| 10Y (ann.) | 11.91% | 5.4% |
| All-time (ann.) | 11.91% | 5.4% |
| Best Day | 10.5% | 7.1% |
| Worst Day | -5.85% | -6.71% |
| Best Month | 10.51% | 17.57% |
| Worst Month | -9.24% | -13.46% |
| Best Year | 26.18% | 36.29% |
| Worst Year | -18.18% | -26.31% |
| Avg. Drawdown | -1.94% | -5.59% |
| Avg. Drawdown Days | 21 | 91 |
| Recovery Factor | 2.58 | 0.94 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 0.43 | 0.07 |
| Avg. Up Month | 4.06% | 4.92% |
| Avg. Down Month | -3.98% | -5.24% |
| Win Days | 53.48% | 51.96% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.78 |
| Alpha | - | -0.03 |
| Correlation | - | 65.46% |
| Treynor Ratio | - | 38.31% |
| Year | SPY | NTSE | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.55 | -1.48 | - |
| 2022 | -18.18 | -26.31 | 1.45 | - |
| 2023 | 26.18 | 9.47 | 0.36 | - |
| 2024 | 24.89 | 4.42 | 0.18 | - |
| 2025 | 17.72 | 36.29 | 2.05 | + |
| 2026 | 13.33 | 16.14 | 1.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-15 | 2025-09-04 | -38.96 | 1390 |
| 2026-06-23 | 2026-11-04 | -14.83 | 135 |
| 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 |
| 2025-09-18 | 2025-09-30 | -1.64 | 13 |
| 2026-01-16 | 2026-01-20 | -1.38 | 5 |