| Metric | SPY | NTSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 10.4% |
| CAGR﹪ | 14.51% | 10.49% |
| Sharpe | 0.83 | 0.54 |
| Prob. Sharpe Ratio | 79.61% | 70.22% |
| Smart Sharpe | 0.82 | 0.52 |
| Sortino | 1.22 | 0.76 |
| Smart Sortino | 1.2 | 0.74 |
| Sortino/√2 | 0.86 | 0.54 |
| Smart Sortino/√2 | 0.85 | 0.52 |
| Omega | 1.2 | 1.14 |
| Max Drawdown | -8.88% | -9.16% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-01-13 |
| Max DD Period End | 2026-04-13 | 2026-04-14 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.86% | 13.47% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 1.14 |
| Skew | -0.02 | -0.24 |
| Kurtosis | 0.78 | 0.75 |
| Ulcer Performance Index | 6.68 | 4.28 |
| Risk-Adjusted Return | 14.51% | 10.49% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.72% | 0.74% |
| Avg. Loss | -0.65% | -0.71% |
| Win/Loss Ratio | 1.11 | 1.04 |
| Profit Ratio | 1.02 | 0.94 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.76% |
| Expected Yearly | 6.95% | 5.07% |
| Kelly Criterion | 8.7% | 6.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.35% |
| Expected Shortfall (cVaR) | -1.66% | -1.82% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.14 |
| Gain/Pain (1M) | 1.83 | 1.06 |
| Payoff Ratio | 1.11 | 1.04 |
| Profit Factor | 1.2 | 1.14 |
| Common Sense Ratio | 1.19 | 1.08 |
| CPC Index | 0.69 | 0.62 |
| Tail Ratio | 0.99 | 0.95 |
| Outlier Win Ratio | 2.84 | 2.88 |
| Outlier Loss Ratio | 3.01 | 3.42 |
| MTD | 1.47% | 1.26% |
| 3M | 1.46% | 0.55% |
| 6M | 6.94% | 4.7% |
| YTD | 13.33% | 9.59% |
| 1Y | 14.39% | 10.4% |
| 3Y (ann.) | 14.51% | 10.49% |
| 5Y (ann.) | 14.51% | 10.49% |
| 10Y (ann.) | 14.51% | 10.49% |
| All-time (ann.) | 14.51% | 10.49% |
| Best Day | 2.91% | 2.78% |
| Worst Day | -2.58% | -2.87% |
| Best Month | 10.51% | 9.34% |
| Worst Month | -4.94% | -5.47% |
| Best Year | 13.33% | 9.59% |
| Worst Year | 0.94% | 0.74% |
| Avg. Drawdown | -1.74% | -2.12% |
| Avg. Drawdown Days | 14 | 20 |
| Recovery Factor | 1.61 | 1.18 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.61 |
| Avg. Up Month | 3.71% | 3.39% |
| Avg. Down Month | -2.1% | -2.94% |
| Win Days | 52.0% | 52.02% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.99 |
| Alpha | - | -0.03 |
| Correlation | - | 94.06% |
| Treynor Ratio | - | 10.56% |
| Year | SPY | NTSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.74 | 0.79 | - |
| 2026 | 13.33 | 9.59 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-13 | 2026-04-14 | -9.16 | 92 |
| 2026-06-03 | 2026-08-03 | -4.77 | 62 |
| 2025-11-12 | 2025-12-09 | -4.73 | 28 |
| 2026-08-14 | 2026-11-04 | -3.76 | 83 |
| 2026-05-15 | 2026-05-26 | -2.37 | 12 |
| 2025-12-11 | 2025-12-22 | -2.25 | 12 |
| 2025-12-26 | 2026-01-08 | -1.51 | 14 |
| 2026-04-27 | 2026-04-29 | -0.91 | 3 |
| 2026-04-21 | 2026-04-21 | -0.80 | 1 |
| 2025-11-06 | 2025-11-07 | -0.70 | 2 |