| Metric | SPY | NTSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 31.54% |
| CAGR﹪ | 11.91% | 5.67% |
| Sharpe | 0.52 | 0.18 |
| Prob. Sharpe Ratio | 87.6% | 65.88% |
| Smart Sharpe | 0.5 | 0.18 |
| Sortino | 0.74 | 0.27 |
| Smart Sortino | 0.72 | 0.26 |
| Sortino/√2 | 0.53 | 0.19 |
| Smart Sortino/√2 | 0.51 | 0.19 |
| Omega | 1.14 | 1.07 |
| Max Drawdown | -24.5% | -33.43% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2021-11-08 |
| Max DD Period End | 2023-12-12 | 2024-08-20 |
| Longest DD Days | 708 | 1017 |
| Volatility (ann.) | 17.19% | 15.97% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.17 |
| Skew | 0.33 | 0.22 |
| Kurtosis | 8.98 | 2.98 |
| Ulcer Performance Index | 8.86 | 2.65 |
| Risk-Adjusted Return | 11.91% | 5.67% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.88% | 0.86% |
| Avg. Loss | -0.89% | -0.88% |
| Win/Loss Ratio | 0.99 | 0.97 |
| Profit Ratio | 0.86 | 0.91 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.45% |
| Expected Yearly | 9.77% | 4.68% |
| Kelly Criterion | 6.34% | 2.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.63% |
| Expected Shortfall (cVaR) | -2.58% | -2.19% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.07 |
| Gain/Pain (1M) | 0.79 | 0.32 |
| Payoff Ratio | 0.99 | 0.97 |
| Profit Factor | 1.14 | 1.07 |
| Common Sense Ratio | 1.15 | 1.06 |
| CPC Index | 0.6 | 0.54 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 3.63 |
| Outlier Loss Ratio | 3.8 | 3.09 |
| MTD | 1.47% | 2.34% |
| 3M | 1.46% | -0.46% |
| 6M | 6.94% | 4.21% |
| YTD | 13.33% | 9.25% |
| 1Y | 13.43% | 12.5% |
| 3Y (ann.) | 20.78% | 15.28% |
| 5Y (ann.) | 12.86% | 6.87% |
| 10Y (ann.) | 11.91% | 5.67% |
| All-time (ann.) | 11.91% | 5.67% |
| Best Day | 10.5% | 6.02% |
| Worst Day | -5.85% | -5.33% |
| Best Month | 10.51% | 13.95% |
| Worst Month | -9.24% | -10.79% |
| Best Year | 26.18% | 30.37% |
| Worst Year | -18.18% | -19.27% |
| Avg. Drawdown | -1.94% | -2.8% |
| Avg. Drawdown Days | 21 | 43 |
| Recovery Factor | 2.58 | 1.01 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.43 | 0.11 |
| Avg. Up Month | 3.93% | 3.9% |
| Avg. Down Month | -3.99% | -5.19% |
| Win Days | 53.48% | 52.0% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.7 |
| Alpha | - | -0.02 |
| Correlation | - | 74.93% |
| Treynor Ratio | - | 45.3% |
| Year | SPY | NTSI | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.96 | -1.13 | - |
| 2022 | -18.18 | -19.27 | 1.06 | - |
| 2023 | 26.18 | 15.42 | 0.59 | - |
| 2024 | 24.89 | 1.11 | 0.04 | - |
| 2025 | 17.72 | 30.37 | 1.71 | + |
| 2026 | 13.33 | 9.25 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-08 | 2024-08-20 | -33.43 | 1017 |
| 2024-09-27 | 2025-05-01 | -13.22 | 217 |
| 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 |
| 2025-07-24 | 2025-08-11 | -3.98 | 19 |
| 2024-08-26 | 2024-09-18 | -2.96 | 24 |
| 2025-06-13 | 2025-06-26 | -2.82 | 14 |
| 2025-10-07 | 2025-10-15 | -2.73 | 9 |
| 2025-08-25 | 2025-09-05 | -2.52 | 12 |