| Metric | SPY | NTSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 13.05% |
| CAGR﹪ | 14.51% | 13.16% |
| Sharpe | 0.83 | 0.62 |
| Prob. Sharpe Ratio | 79.61% | 73.17% |
| Smart Sharpe | 0.82 | 0.52 |
| Sortino | 1.22 | 0.91 |
| Smart Sortino | 1.2 | 0.75 |
| Sortino/√2 | 0.86 | 0.64 |
| Smart Sortino/√2 | 0.85 | 0.53 |
| Omega | 1.2 | 1.15 |
| Max Drawdown | -8.88% | -12.33% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-07-29 |
| Longest DD Days | 76 | 154 |
| Volatility (ann.) | 12.86% | 16.08% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.63 | 1.07 |
| Skew | -0.02 | 0.04 |
| Kurtosis | 0.78 | 1.26 |
| Ulcer Performance Index | 6.68 | 3.28 |
| Risk-Adjusted Return | 14.51% | 13.16% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.74% | 0.91% |
| Avg. Loss | -0.68% | -0.86% |
| Win/Loss Ratio | 1.08 | 1.06 |
| Profit Ratio | 1.02 | 0.95 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 0.95% |
| Expected Yearly | 6.95% | 6.32% |
| Kelly Criterion | 7.66% | 7.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.61% |
| Expected Shortfall (cVaR) | -1.66% | -2.28% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.15 |
| Gain/Pain (1M) | 1.83 | 1.02 |
| Payoff Ratio | 1.08 | 1.06 |
| Profit Factor | 1.2 | 1.15 |
| Common Sense Ratio | 1.19 | 1.07 |
| CPC Index | 0.68 | 0.64 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 2.84 | 3.63 |
| Outlier Loss Ratio | 3.01 | 3.31 |
| MTD | 1.47% | 2.34% |
| 3M | 1.46% | -0.46% |
| 6M | 6.94% | 4.21% |
| YTD | 13.33% | 9.25% |
| 1Y | 14.39% | 13.05% |
| 3Y (ann.) | 14.51% | 13.16% |
| 5Y (ann.) | 14.51% | 13.16% |
| 10Y (ann.) | 14.51% | 13.16% |
| All-time (ann.) | 14.51% | 13.16% |
| Best Day | 2.91% | 3.39% |
| Worst Day | -2.58% | -3.48% |
| Best Month | 10.51% | 5.44% |
| Worst Month | -4.94% | -8.5% |
| Best Year | 13.33% | 9.25% |
| Worst Year | 0.94% | 3.48% |
| Avg. Drawdown | -1.74% | -2.53% |
| Avg. Drawdown Days | 14 | 25 |
| Recovery Factor | 1.61 | 1.1 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.37 |
| Avg. Up Month | 2.8% | 2.51% |
| Avg. Down Month | -2.1% | -4.41% |
| Win Days | 52.0% | 52.4% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.95 |
| Alpha | - | -0.0 |
| Correlation | - | 76.12% |
| Treynor Ratio | - | 13.71% |
| Year | SPY | NTSI | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.48 | 3.71 | + |
| 2026 | 13.33 | 9.25 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-07-29 | -12.33 | 154 |
| 2026-08-14 | 2026-11-04 | -6.75 | 83 |
| 2025-11-13 | 2025-12-10 | -5.00 | 28 |
| 2026-01-13 | 2026-01-22 | -2.05 | 10 |
| 2026-01-28 | 2026-02-05 | -1.61 | 9 |
| 2025-12-12 | 2025-12-19 | -1.23 | 8 |
| 2026-02-12 | 2026-02-23 | -1.02 | 12 |
| 2026-07-31 | 2026-08-03 | -0.89 | 4 |
| 2026-01-06 | 2026-01-08 | -0.71 | 3 |
| 2026-08-10 | 2026-08-12 | -0.62 | 3 |