| Metric | SPY | NTSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 98.7% | 36.53% |
| CAGR﹪ | 13.45% | 5.89% |
| Sharpe | 0.63 | 0.22 |
| Prob. Sharpe Ratio | 92.93% | 69.54% |
| Smart Sharpe | 0.61 | 0.22 |
| Sortino | 0.91 | 0.32 |
| Smart Sortino | 0.88 | 0.31 |
| Sortino/√2 | 0.64 | 0.22 |
| Smart Sortino/√2 | 0.62 | 0.22 |
| Omega | 1.16 | 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.) | 16.71% | 15.53% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.17 |
| Skew | 0.31 | 0.2 |
| Kurtosis | 9.3 | 3.16 |
| Ulcer Performance Index | 12.19 | 3.08 |
| Risk-Adjusted Return | 13.45% | 5.89% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.85% | 0.82% |
| Avg. Loss | -0.87% | -0.86% |
| Win/Loss Ratio | 0.98 | 0.95 |
| Profit Ratio | 0.83 | 0.89 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.47% |
| Expected Yearly | 12.12% | 5.33% |
| Kelly Criterion | 7.12% | 2.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -1.58% |
| Expected Shortfall (cVaR) | -2.48% | -2.14% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.08 |
| Gain/Pain (1M) | 0.92 | 0.35 |
| Payoff Ratio | 0.98 | 0.95 |
| Profit Factor | 1.16 | 1.08 |
| Common Sense Ratio | 1.17 | 1.05 |
| CPC Index | 0.61 | 0.54 |
| Tail Ratio | 1.0 | 0.97 |
| Outlier Win Ratio | 3.49 | 3.64 |
| Outlier Loss Ratio | 3.86 | 3.07 |
| 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.) | 13.45% | 5.89% |
| All-time (ann.) | 13.45% | 5.89% |
| 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 | -1.74% | -2.48% |
| Avg. Drawdown Days | 18 | 39 |
| Recovery Factor | 3.11 | 1.11 |
| Ulcer Index | 0.08 | 0.12 |
| Serenity Index | 0.54 | 0.12 |
| Avg. Up Month | 3.87% | 3.65% |
| Avg. Down Month | -3.92% | -5.02% |
| Win Days | 54.13% | 52.41% |
| Win Month | 64.18% | 61.19% |
| Win Quarter | 73.91% | 65.22% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.7 |
| Alpha | - | -0.03 |
| Correlation | - | 74.93% |
| Treynor Ratio | - | 52.45% |
| 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 | 13.33 | 9.25 | 0.69 | - |
| 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 |
| 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 |
| 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 |