| Metric | SPY | NTSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | 4.52% |
| CAGR﹪ | 13.27% | 9.17% |
| Sharpe | 0.78 | 0.43 |
| Prob. Sharpe Ratio | 70.87% | 61.96% |
| Smart Sharpe | 0.75 | 0.31 |
| Sortino | 1.14 | 0.66 |
| Smart Sortino | 1.09 | 0.47 |
| Sortino/√2 | 0.8 | 0.46 |
| Smart Sortino/√2 | 0.77 | 0.33 |
| Omega | 1.19 | 1.12 |
| Max Drawdown | -4.49% | -6.75% |
| Max DD Date | 2026-06-10 | 2026-10-08 |
| Max DD Period Start | 2026-06-03 | 2026-08-14 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 83 |
| Volatility (ann.) | 12.4% | 14.67% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.95 | 1.36 |
| Skew | -0.15 | 0.42 |
| Kurtosis | 0.59 | 1.33 |
| Ulcer Performance Index | 3.89 | 1.48 |
| Risk-Adjusted Return | 13.27% | 9.17% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.72% | 0.86% |
| Avg. Loss | -0.65% | -0.72% |
| Win/Loss Ratio | 1.12 | 1.19 |
| Profit Ratio | 1.15 | 1.15 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.63% |
| Expected Yearly | 6.48% | 4.52% |
| Kelly Criterion | 6.02% | 7.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.48% |
| Expected Shortfall (cVaR) | -1.63% | -1.9% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 3.26 | 1.06 |
| Payoff Ratio | 1.12 | 1.19 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.47 | 1.12 |
| CPC Index | 0.67 | 0.66 |
| Tail Ratio | 1.23 | 1.0 |
| Outlier Win Ratio | 2.66 | 3.61 |
| Outlier Loss Ratio | 3.07 | 2.83 |
| MTD | 1.47% | 2.34% |
| 3M | 1.46% | -0.46% |
| 6M | 6.48% | 4.52% |
| YTD | 6.48% | 4.52% |
| 1Y | 6.48% | 4.52% |
| 3Y (ann.) | 13.27% | 9.17% |
| 5Y (ann.) | 13.27% | 9.17% |
| 10Y (ann.) | 13.27% | 9.17% |
| All-time (ann.) | 13.27% | 9.17% |
| Best Day | 1.8% | 3.02% |
| Worst Day | -2.58% | -2.76% |
| Best Month | 4.52% | 2.75% |
| Worst Month | -1.03% | -4.66% |
| Best Year | 6.48% | 4.52% |
| Worst Year | 6.48% | 4.52% |
| Avg. Drawdown | -1.57% | -2.07% |
| Avg. Drawdown Days | 17 | 16 |
| Recovery Factor | 1.48 | 0.73 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 0.24 |
| Avg. Up Month | 2.18% | 2.1% |
| Avg. Down Month | -0.68% | -2.37% |
| Win Days | 50.39% | 49.61% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.87 |
| Alpha | - | -0.02 |
| Correlation | - | 73.82% |
| Treynor Ratio | - | 5.17% |
| Year | SPY | NTSI | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.52 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-11-04 | -6.75 | 83 |
| 2026-06-05 | 2026-06-12 | -3.38 | 8 |
| 2026-05-07 | 2026-05-28 | -3.13 | 22 |
| 2026-07-07 | 2026-07-29 | -2.59 | 23 |
| 2026-06-17 | 2026-07-02 | -2.02 | 16 |
| 2026-07-31 | 2026-08-03 | -0.89 | 4 |
| 2026-06-03 | 2026-06-03 | -0.63 | 1 |
| 2026-08-10 | 2026-08-12 | -0.62 | 3 |
| 2026-06-01 | 2026-06-01 | -0.52 | 1 |
| 2026-08-06 | 2026-08-06 | -0.20 | 1 |