| Metric | SPY | NTSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 100.41% | 36.49% |
| CAGR﹪ | 13.97% | 6.02% |
| Sharpe | 0.65 | 0.23 |
| Prob. Sharpe Ratio | 93.41% | 69.87% |
| Smart Sharpe | 0.63 | 0.22 |
| Sortino | 0.94 | 0.33 |
| Smart Sortino | 0.91 | 0.32 |
| Sortino/√2 | 0.66 | 0.23 |
| Smart Sortino/√2 | 0.64 | 0.23 |
| Omega | 1.17 | 1.08 |
| Max Drawdown | -24.5% | -34.01% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2021-09-07 |
| Max DD Period End | 2023-12-12 | 2024-08-22 |
| Longest DD Days | 708 | 1081 |
| Volatility (ann.) | 16.81% | 15.57% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.57 | 0.18 |
| Skew | 0.31 | 0.19 |
| Kurtosis | 9.26 | 3.18 |
| Ulcer Performance Index | 12.26 | 3.05 |
| Risk-Adjusted Return | 13.97% | 6.02% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.86% | 0.82% |
| Avg. Loss | -0.88% | -0.87% |
| Win/Loss Ratio | 0.97 | 0.94 |
| Profit Ratio | 0.82 | 0.87 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.08% | 0.48% |
| Expected Yearly | 12.28% | 5.32% |
| Kelly Criterion | 7.23% | 2.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -1.59% |
| Expected Shortfall (cVaR) | -2.51% | -2.14% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.17 | 0.08 |
| Gain/Pain (1M) | 0.94 | 0.36 |
| Payoff Ratio | 0.97 | 0.94 |
| Profit Factor | 1.17 | 1.08 |
| Common Sense Ratio | 1.16 | 1.05 |
| CPC Index | 0.62 | 0.54 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.49 | 3.68 |
| Outlier Loss Ratio | 3.84 | 3.07 |
| MTD | 1.08% | -1.53% |
| 3M | 3.82% | 0.72% |
| 6M | 19.85% | 13.49% |
| YTD | 14.3% | 9.22% |
| 1Y | 17.78% | 14.66% |
| 3Y (ann.) | 24.86% | 19.81% |
| 5Y (ann.) | 13.06% | 6.36% |
| 10Y (ann.) | 13.97% | 6.02% |
| All-time (ann.) | 13.97% | 6.02% |
| 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 | -1.72% | -2.43% |
| Avg. Drawdown Days | 18 | 38 |
| Recovery Factor | 3.14 | 1.1 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.54 | 0.12 |
| Avg. Up Month | 3.94% | 3.68% |
| Avg. Down Month | -4.12% | -5.04% |
| Win Days | 54.26% | 52.65% |
| Win Month | 66.15% | 60.0% |
| Win Quarter | 72.73% | 68.18% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.7 |
| Alpha | - | -0.03 |
| Correlation | - | 75.21% |
| Treynor Ratio | - | 52.38% |
| Year | SPY | NTSI | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.52 | 1.76 | 0.11 | - |
| 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 | 14.30 | 9.22 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2024-08-22 | -34.01 | 1081 |
| 2024-09-27 | 2025-05-01 | -13.22 | 217 |
| 2026-02-26 | 2026-07-29 | -12.33 | 154 |
| 2025-11-13 | 2025-12-10 | -5.00 | 28 |
| 2026-08-14 | 2026-09-22 | -4.24 | 40 |
| 2025-07-24 | 2025-08-11 | -3.98 | 19 |
| 2021-06-16 | 2021-08-02 | -3.75 | 48 |
| 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 |