| Metric | SPY | NTSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 42.63% |
| CAGR﹪ | 13.36% | 7.4% |
| Sharpe | 0.59 | 0.27 |
| Prob. Sharpe Ratio | 90.85% | 72.35% |
| Smart Sharpe | 0.58 | 0.25 |
| Sortino | 0.86 | 0.38 |
| Smart Sortino | 0.83 | 0.36 |
| Sortino/√2 | 0.61 | 0.27 |
| Smart Sortino/√2 | 0.59 | 0.26 |
| Omega | 1.16 | 1.08 |
| Max Drawdown | -24.5% | -39.67% |
| Max DD Date | 2022-10-12 | 2022-10-24 |
| Max DD Period Start | 2022-01-04 | 2021-10-20 |
| Max DD Period End | 2023-12-12 | 2025-09-09 |
| Longest DD Days | 708 | 1421 |
| Volatility (ann.) | 17.2% | 20.38% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.19 |
| Skew | 0.32 | 0.07 |
| Kurtosis | 8.95 | 3.12 |
| Ulcer Performance Index | 10.24 | 2.16 |
| Risk-Adjusted Return | 13.36% | 7.4% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.88% | 1.07% |
| Avg. Loss | -0.9% | -1.11% |
| Win/Loss Ratio | 0.98 | 0.96 |
| Profit Ratio | 0.83 | 0.93 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.58% |
| Expected Yearly | 10.95% | 6.1% |
| Kelly Criterion | 7.28% | 2.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.07% |
| Expected Shortfall (cVaR) | -2.58% | -2.91% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.08 |
| Gain/Pain (1M) | 0.87 | 0.39 |
| Payoff Ratio | 0.98 | 0.96 |
| Profit Factor | 1.16 | 1.08 |
| Common Sense Ratio | 1.17 | 1.1 |
| CPC Index | 0.61 | 0.54 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.41 | 3.75 |
| Outlier Loss Ratio | 3.77 | 3.76 |
| MTD | 1.08% | 2.5% |
| 3M | 3.82% | -3.83% |
| 6M | 19.85% | 23.76% |
| YTD | 14.3% | 28.5% |
| 1Y | 17.78% | 36.21% |
| 3Y (ann.) | 24.86% | 28.97% |
| 5Y (ann.) | 13.06% | 7.38% |
| 10Y (ann.) | 13.36% | 7.4% |
| All-time (ann.) | 13.36% | 7.4% |
| 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 | -1.89% | -5.76% |
| Avg. Drawdown Days | 20 | 92 |
| Recovery Factor | 2.85 | 1.15 |
| Ulcer Index | 0.08 | 0.2 |
| Serenity Index | 0.47 | 0.08 |
| Avg. Up Month | 4.14% | 4.83% |
| Avg. Down Month | -4.21% | -5.15% |
| Win Days | 54.04% | 51.96% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.77 |
| Alpha | - | -0.02 |
| Correlation | - | 65.13% |
| Treynor Ratio | - | 55.26% |
| Year | SPY | NTSE | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -3.31 | -0.44 | - |
| 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 | 14.30 | 28.50 | 1.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2025-09-09 | -39.67 | 1421 |
| 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 |
| 2021-09-24 | 2021-10-13 | -3.26 | 20 |
| 2025-09-18 | 2025-09-30 | -1.64 | 13 |