| Metric | SPY | NTSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 16.16% |
| CAGR﹪ | 40.67% | 34.94% |
| Sharpe | 2.32 | 1.92 |
| Prob. Sharpe Ratio | 95.04% | 91.0% |
| Smart Sharpe | 2.3 | 1.8 |
| Sortino | 3.78 | 2.96 |
| Smart Sortino | 3.75 | 2.77 |
| Sortino/√2 | 2.67 | 2.09 |
| Smart Sortino/√2 | 2.65 | 1.96 |
| Omega | 1.54 | 1.43 |
| Max Drawdown | -4.49% | -4.77% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-08-03 |
| Longest DD Days | 59 | 62 |
| Volatility (ann.) | 13.55% | 14.27% |
| R^2 | 0.9 | 0.9 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.05 | 7.33 |
| Skew | 0.1 | -0.15 |
| Kurtosis | 1.12 | 0.82 |
| Ulcer Performance Index | 11.86 | 9.31 |
| Risk-Adjusted Return | 40.67% | 34.94% |
| Risk-Return Ratio | 0.16 | 0.14 |
| Avg. Return | 0.14% | 0.12% |
| Avg. Win | 0.81% | 0.84% |
| Avg. Loss | -0.62% | -0.72% |
| Win/Loss Ratio | 1.31 | 1.17 |
| Profit Ratio | 1.12 | 0.97 |
| Expected Daily | 0.14% | 0.12% |
| Expected Monthly | 2.47% | 2.16% |
| Expected Yearly | 18.6% | 16.16% |
| Kelly Criterion | 18.92% | 15.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.36% |
| Expected Shortfall (cVaR) | -1.77% | -1.9% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.43 |
| Gain/Pain (1M) | 10.92 | 8.91 |
| Payoff Ratio | 1.31 | 1.17 |
| Profit Factor | 1.54 | 1.43 |
| Common Sense Ratio | 2.01 | 1.55 |
| CPC Index | 1.09 | 0.91 |
| Tail Ratio | 1.3 | 1.08 |
| Outlier Win Ratio | 3.21 | 2.86 |
| Outlier Loss Ratio | 3.16 | 3.04 |
| MTD | 1.08% | 0.27% |
| 3M | 3.82% | 1.98% |
| 6M | 18.6% | 16.16% |
| YTD | 18.6% | 16.16% |
| 1Y | 18.6% | 16.16% |
| 3Y (ann.) | 40.67% | 34.94% |
| 5Y (ann.) | 40.67% | 34.94% |
| 10Y (ann.) | 40.67% | 34.94% |
| All-time (ann.) | 40.67% | 34.94% |
| Best Day | 2.91% | 2.78% |
| Worst Day | -2.58% | -2.87% |
| Best Month | 10.51% | 9.34% |
| Worst Month | -1.03% | -0.97% |
| Best Year | 18.6% | 16.16% |
| Worst Year | 18.6% | 16.16% |
| Avg. Drawdown | -1.13% | -1.5% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 3.25 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 2.16 |
| Avg. Up Month | 4.88% | 4.28% |
| Avg. Down Month | -1.03% | -0.97% |
| Win Days | 53.97% | 54.76% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.0 |
| Alpha | - | -0.04 |
| Correlation | - | 94.97% |
| Treynor Ratio | - | 16.15% |
| Year | SPY | NTSX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 16.16 | 0.87 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-08-03 | -4.77 | 62 |
| 2026-03-26 | 2026-04-01 | -3.74 | 7 |
| 2026-08-14 | 2026-09-22 | -3.66 | 40 |
| 2026-05-15 | 2026-05-26 | -2.37 | 12 |
| 2026-04-27 | 2026-04-29 | -0.91 | 3 |
| 2026-04-21 | 2026-04-21 | -0.80 | 1 |
| 2026-08-06 | 2026-08-06 | -0.69 | 1 |
| 2026-08-10 | 2026-08-12 | -0.61 | 3 |
| 2026-05-07 | 2026-05-07 | -0.60 | 1 |
| 2026-05-04 | 2026-05-04 | -0.57 | 1 |