| Metric | SPY | NTSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 43.18% |
| CAGR﹪ | 11.91% | 7.49% |
| Sharpe | 0.52 | 0.28 |
| Prob. Sharpe Ratio | 87.6% | 73.44% |
| Smart Sharpe | 0.5 | 0.27 |
| Sortino | 0.74 | 0.4 |
| Smart Sortino | 0.72 | 0.39 |
| Sortino/√2 | 0.53 | 0.28 |
| Smart Sortino/√2 | 0.51 | 0.27 |
| Omega | 1.14 | 1.09 |
| 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.) | 17.19% | 17.25% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.24 |
| Skew | 0.33 | -0.07 |
| Kurtosis | 8.98 | 6.04 |
| Ulcer Performance Index | 8.86 | 3.4 |
| Risk-Adjusted Return | 11.91% | 7.56% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.85% | 0.85% |
| Avg. Loss | -0.86% | -0.9% |
| Win/Loss Ratio | 0.99 | 0.94 |
| Profit Ratio | 0.86 | 0.82 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.59% |
| Expected Yearly | 9.77% | 6.16% |
| Kelly Criterion | 6.31% | 3.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.75% |
| Expected Shortfall (cVaR) | -2.58% | -2.48% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.46 |
| Payoff Ratio | 0.99 | 0.94 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 1.0 |
| CPC Index | 0.6 | 0.54 |
| Tail Ratio | 1.0 | 0.92 |
| Outlier Win Ratio | 3.4 | 3.39 |
| Outlier Loss Ratio | 3.8 | 3.55 |
| MTD | 1.47% | 1.26% |
| 3M | 1.46% | 0.55% |
| 6M | 6.94% | 4.7% |
| YTD | 13.33% | 9.59% |
| 1Y | 13.43% | 9.08% |
| 3Y (ann.) | 20.78% | 18.41% |
| 5Y (ann.) | 12.86% | 8.34% |
| 10Y (ann.) | 11.91% | 7.49% |
| All-time (ann.) | 11.91% | 7.49% |
| 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 | -1.94% | -2.55% |
| Avg. Drawdown Days | 21 | 35 |
| Recovery Factor | 2.58 | 1.38 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 0.43 | 0.14 |
| Avg. Up Month | 4.19% | 4.0% |
| Avg. Down Month | -3.93% | -4.61% |
| Win Days | 53.48% | 52.95% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.94 |
| Alpha | - | -0.03 |
| Correlation | - | 94.02% |
| Treynor Ratio | - | 45.77% |
| Year | SPY | NTSX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.52 | 0.30 | - |
| 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 | 13.33 | 9.59 | 0.72 | - |
| 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 |
| 2026-08-14 | 2026-11-04 | -3.76 | 83 |
| 2024-08-22 | 2024-09-12 | -3.56 | 22 |
| 2024-10-21 | 2024-11-05 | -2.96 | 16 |