| Metric | SPY | NTSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 86.58% | 50.56% |
| CAGR﹪ | 13.36% | 8.58% |
| Sharpe | 0.59 | 0.34 |
| Prob. Sharpe Ratio | 90.85% | 77.78% |
| Smart Sharpe | 0.58 | 0.34 |
| Sortino | 0.86 | 0.48 |
| Smart Sortino | 0.83 | 0.47 |
| Sortino/√2 | 0.61 | 0.34 |
| Smart Sortino/√2 | 0.59 | 0.33 |
| Omega | 1.16 | 1.1 |
| Max Drawdown | -24.5% | -31.34% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-12-28 |
| Max DD Period End | 2023-12-12 | 2024-06-11 |
| Longest DD Days | 708 | 897 |
| Volatility (ann.) | 17.2% | 17.24% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.27 |
| Skew | 0.32 | -0.08 |
| Kurtosis | 8.95 | 6.06 |
| Ulcer Performance Index | 10.24 | 3.98 |
| Risk-Adjusted Return | 13.36% | 8.66% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.85% | 0.84% |
| Avg. Loss | -0.87% | -0.9% |
| Win/Loss Ratio | 0.98 | 0.93 |
| Profit Ratio | 0.83 | 0.81 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.67% |
| Expected Yearly | 10.95% | 7.06% |
| Kelly Criterion | 7.09% | 3.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.75% |
| Expected Shortfall (cVaR) | -2.58% | -2.47% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.16 | 0.1 |
| Gain/Pain (1M) | 0.87 | 0.52 |
| Payoff Ratio | 0.98 | 0.93 |
| Profit Factor | 1.16 | 1.1 |
| Common Sense Ratio | 1.17 | 1.01 |
| CPC Index | 0.61 | 0.55 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.41 | 3.4 |
| Outlier Loss Ratio | 3.77 | 3.55 |
| MTD | 1.08% | 0.27% |
| 3M | 3.82% | 1.98% |
| 6M | 19.85% | 17.77% |
| YTD | 14.3% | 10.44% |
| 1Y | 17.78% | 13.06% |
| 3Y (ann.) | 24.86% | 23.14% |
| 5Y (ann.) | 13.06% | 8.52% |
| 10Y (ann.) | 13.36% | 8.58% |
| All-time (ann.) | 13.36% | 8.58% |
| Best Day | 10.5% | 8.54% |
| Worst Day | -5.85% | -7.42% |
| Best Month | 10.51% | 10.68% |
| Worst Month | -9.24% | -11.25% |
| Best Year | 26.18% | 22.7% |
| Worst Year | -18.18% | -25.84% |
| Avg. Drawdown | -1.89% | -2.48% |
| Avg. Drawdown Days | 20 | 33 |
| Recovery Factor | 2.85 | 1.54 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 0.47 | 0.16 |
| Avg. Up Month | 4.26% | 4.04% |
| Avg. Down Month | -3.98% | -4.57% |
| Win Days | 54.04% | 53.27% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.94 |
| Alpha | - | -0.03 |
| Correlation | - | 94.02% |
| Treynor Ratio | - | 53.66% |
| Year | SPY | NTSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 4.89 | 0.65 | - |
| 2022 | -18.18 | -25.84 | 1.42 | - |
| 2023 | 26.18 | 22.70 | 0.87 | - |
| 2024 | 24.89 | 20.20 | 0.81 | - |
| 2025 | 17.72 | 18.82 | 1.06 | + |
| 2026 | 14.30 | 10.44 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2024-06-11 | -31.34 | 897 |
| 2024-12-09 | 2025-06-23 | -16.82 | 197 |
| 2026-01-13 | 2026-04-14 | -9.16 | 92 |
| 2024-07-17 | 2024-08-16 | -6.58 | 31 |
| 2025-10-29 | 2025-12-23 | -5.34 | 56 |
| 2026-06-03 | 2026-08-03 | -4.77 | 62 |
| 2021-11-09 | 2021-12-22 | -3.89 | 44 |
| 2021-09-24 | 2021-10-18 | -3.82 | 25 |
| 2026-08-14 | 2026-09-22 | -3.66 | 40 |
| 2024-08-22 | 2024-09-12 | -3.56 | 22 |