| Metric | SPY | NTSE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 100.41% | 39.17% |
| CAGR﹪ | 13.97% | 6.41% |
| Sharpe | 0.65 | 0.23 |
| Prob. Sharpe Ratio | 93.41% | 70.47% |
| Smart Sharpe | 0.63 | 0.22 |
| Sortino | 0.94 | 0.33 |
| Smart Sortino | 0.91 | 0.32 |
| Sortino/√2 | 0.66 | 0.24 |
| Smart Sortino/√2 | 0.64 | 0.22 |
| Omega | 1.17 | 1.07 |
| 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.) | 16.81% | 20.06% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.57 | 0.15 |
| Skew | 0.31 | 0.08 |
| Kurtosis | 9.26 | 3.15 |
| Ulcer Performance Index | 12.26 | 1.76 |
| Risk-Adjusted Return | 13.97% | 6.41% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.86% | 1.05% |
| Avg. Loss | -0.88% | -1.11% |
| Win/Loss Ratio | 0.98 | 0.94 |
| Profit Ratio | 0.82 | 0.92 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.08% | 0.51% |
| Expected Yearly | 12.28% | 5.66% |
| Kelly Criterion | 7.55% | 1.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -2.05% |
| Expected Shortfall (cVaR) | -2.51% | -2.86% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.17 | 0.07 |
| Gain/Pain (1M) | 0.94 | 0.35 |
| Payoff Ratio | 0.98 | 0.94 |
| Profit Factor | 1.17 | 1.07 |
| Common Sense Ratio | 1.16 | 1.12 |
| CPC Index | 0.62 | 0.53 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.49 | 3.69 |
| Outlier Loss Ratio | 3.84 | 3.72 |
| 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.) | 13.97% | 6.41% |
| All-time (ann.) | 13.97% | 6.41% |
| 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 | -1.72% | -6.07% |
| Avg. Drawdown Days | 18 | 104 |
| Recovery Factor | 3.14 | 1.02 |
| Ulcer Index | 0.08 | 0.22 |
| Serenity Index | 0.54 | 0.06 |
| Avg. Up Month | 3.96% | 4.56% |
| Avg. Down Month | -4.3% | -5.29% |
| Win Days | 54.26% | 51.94% |
| Win Month | 66.15% | 60.0% |
| Win Quarter | 72.73% | 63.64% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.77 |
| Alpha | - | -0.03 |
| Correlation | - | 64.38% |
| Treynor Ratio | - | 51.0% |
| 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 | 14.30 | 28.50 | 1.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-07 | 2025-10-02 | -42.84 | 1579 |
| 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 |