| Metric | SPY | NTSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 98.7% | 25.78% |
| CAGR﹪ | 13.45% | 4.31% |
| Sharpe | 0.63 | 0.13 |
| Prob. Sharpe Ratio | 92.93% | 62.31% |
| Smart Sharpe | 0.61 | 0.13 |
| Sortino | 0.91 | 0.19 |
| Smart Sortino | 0.88 | 0.18 |
| Sortino/√2 | 0.64 | 0.14 |
| Smart Sortino/√2 | 0.62 | 0.13 |
| Omega | 1.16 | 1.06 |
| Max Drawdown | -24.5% | -42.84% |
| Max DD Date | 2022-10-12 | 2022-10-24 |
| Max DD Period Start | 2022-01-04 | 2021-06-07 |
| Max DD Period End | 2023-12-12 | 2025-10-02 |
| Longest DD Days | 708 | 1579 |
| Volatility (ann.) | 16.71% | 20.04% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.1 |
| Skew | 0.31 | 0.07 |
| Kurtosis | 9.3 | 3.08 |
| Ulcer Performance Index | 12.19 | 1.17 |
| Risk-Adjusted Return | 13.45% | 4.31% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.86% | 1.04% |
| Avg. Loss | -0.87% | -1.12% |
| Win/Loss Ratio | 0.98 | 0.93 |
| Profit Ratio | 0.83 | 0.91 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.34% |
| Expected Yearly | 12.12% | 3.9% |
| Kelly Criterion | 7.39% | 0.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -2.05% |
| Expected Shortfall (cVaR) | -2.48% | -2.87% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.06 |
| Gain/Pain (1M) | 0.92 | 0.26 |
| Payoff Ratio | 0.98 | 0.93 |
| Profit Factor | 1.16 | 1.06 |
| Common Sense Ratio | 1.17 | 1.07 |
| CPC Index | 0.62 | 0.51 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.49 | 3.64 |
| Outlier Loss Ratio | 3.86 | 3.64 |
| 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.) | 13.45% | 4.31% |
| All-time (ann.) | 13.45% | 4.31% |
| 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 | -1.74% | -6.07% |
| Avg. Drawdown Days | 18 | 106 |
| Recovery Factor | 3.11 | 0.79 |
| Ulcer Index | 0.08 | 0.22 |
| Serenity Index | 0.54 | 0.05 |
| Avg. Up Month | 3.97% | 4.51% |
| Avg. Down Month | -3.91% | -5.17% |
| Win Days | 54.13% | 51.79% |
| Win Month | 64.18% | 58.21% |
| Win Quarter | 73.91% | 60.87% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.77 |
| Alpha | - | -0.05 |
| Correlation | - | 64.51% |
| Treynor Ratio | - | 33.31% |
| Year | SPY | NTSE | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.52 | -5.66 | -0.36 | - |
| 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 |
|---|---|---|---|
| 2021-06-07 | 2025-10-02 | -42.84 | 1579 |
| 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 |
| 2026-01-16 | 2026-01-20 | -1.38 | 5 |
| 2026-05-07 | 2026-05-07 | -1.35 | 1 |