| Metric | SPY | NTSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 20.07% |
| CAGR﹪ | 40.67% | 44.16% |
| Sharpe | 2.32 | 1.23 |
| Prob. Sharpe Ratio | 95.04% | 80.49% |
| Smart Sharpe | 2.3 | 1.05 |
| Sortino | 3.78 | 1.82 |
| Smart Sortino | 3.75 | 1.55 |
| Sortino/√2 | 2.67 | 1.28 |
| Smart Sortino/√2 | 2.65 | 1.09 |
| Omega | 1.54 | 1.26 |
| Max Drawdown | -4.49% | -14.83% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-23 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 92 |
| Volatility (ann.) | 13.55% | 30.63% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 9.05 | 2.98 |
| Skew | 0.1 | -0.19 |
| Kurtosis | 1.12 | 1.47 |
| Ulcer Performance Index | 11.86 | 3.33 |
| Risk-Adjusted Return | 40.67% | 44.16% |
| Risk-Return Ratio | 0.16 | 0.08 |
| Avg. Return | 0.14% | 0.16% |
| Avg. Win | 0.84% | 1.68% |
| Avg. Loss | -0.63% | -1.58% |
| Win/Loss Ratio | 1.32 | 1.07 |
| Profit Ratio | 1.12 | 0.92 |
| Expected Daily | 0.14% | 0.15% |
| Expected Monthly | 2.47% | 2.65% |
| Expected Yearly | 18.6% | 20.07% |
| Kelly Criterion | 19.19% | 10.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -3.01% |
| Expected Shortfall (cVaR) | -1.77% | -4.22% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.26 |
| Gain/Pain (1M) | 10.92 | 2.2 |
| Payoff Ratio | 1.32 | 1.07 |
| Profit Factor | 1.54 | 1.26 |
| Common Sense Ratio | 2.01 | 1.35 |
| CPC Index | 1.1 | 0.73 |
| Tail Ratio | 1.3 | 1.07 |
| Outlier Win Ratio | 3.21 | 3.06 |
| Outlier Loss Ratio | 3.16 | 3.53 |
| MTD | 1.08% | 2.5% |
| 3M | 3.82% | -3.83% |
| 6M | 18.6% | 20.07% |
| YTD | 18.6% | 20.07% |
| 1Y | 18.6% | 20.07% |
| 3Y (ann.) | 40.67% | 44.16% |
| 5Y (ann.) | 40.67% | 44.16% |
| 10Y (ann.) | 40.67% | 44.16% |
| All-time (ann.) | 40.67% | 44.16% |
| Best Day | 2.91% | 6.18% |
| Worst Day | -2.58% | -6.71% |
| Best Month | 10.51% | 12.07% |
| Worst Month | -1.03% | -8.27% |
| Best Year | 18.6% | 20.07% |
| Worst Year | 18.6% | 20.07% |
| Avg. Drawdown | -1.13% | -4.48% |
| Avg. Drawdown Days | 9 | 16 |
| Recovery Factor | 3.9 | 1.39 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 2.75 | 0.54 |
| Avg. Up Month | 4.88% | 7.24% |
| Avg. Down Month | -0.77% | -1.34% |
| Win Days | 53.97% | 53.97% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.78 |
| Alpha | - | -0.21 |
| Correlation | - | 78.88% |
| Treynor Ratio | - | 11.25% |
| Year | SPY | NTSE | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 20.07 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -14.83 | 92 |
| 2026-06-03 | 2026-06-17 | -9.01 | 15 |
| 2026-05-11 | 2026-05-22 | -5.77 | 12 |
| 2026-03-24 | 2026-04-07 | -5.08 | 15 |
| 2026-04-20 | 2026-04-23 | -2.07 | 4 |
| 2026-04-27 | 2026-04-29 | -1.66 | 3 |
| 2026-05-07 | 2026-05-07 | -1.35 | 1 |
| 2026-04-15 | 2026-04-16 | -0.45 | 2 |
| 2026-04-09 | 2026-04-09 | -0.07 | 1 |