| Metric | SPY | NTSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 207.58% | 153.15% |
| CAGR﹪ | 16.68% | 13.6% |
| Sharpe | 0.74 | 0.62 |
| Prob. Sharpe Ratio | 97.6% | 95.15% |
| Smart Sharpe | 0.64 | 0.54 |
| Sortino | 1.04 | 0.87 |
| Smart Sortino | 0.9 | 0.76 |
| Sortino/√2 | 0.74 | 0.61 |
| Smart Sortino/√2 | 0.64 | 0.54 |
| Omega | 1.19 | 1.16 |
| Max Drawdown | -33.72% | -31.34% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-02-20 | 2021-12-28 |
| Max DD Period End | 2020-08-07 | 2024-06-11 |
| Longest DD Days | 708 | 897 |
| Volatility (ann.) | 19.56% | 18.65% |
| R^2 | 0.91 | 0.91 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.43 |
| Skew | -0.29 | -0.59 |
| Kurtosis | 13.84 | 12.94 |
| Ulcer Performance Index | 26.03 | 14.04 |
| Risk-Adjusted Return | 16.68% | 13.74% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.88% | 0.84% |
| Avg. Loss | -0.93% | -0.91% |
| Win/Loss Ratio | 0.94 | 0.92 |
| Profit Ratio | 0.77 | 0.73 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.28% | 1.06% |
| Expected Yearly | 15.08% | 12.31% |
| Kelly Criterion | 7.8% | 6.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.87% |
| Expected Shortfall (cVaR) | -3.2% | -2.95% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.19 | 0.16 |
| Gain/Pain (1M) | 1.17 | 0.92 |
| Payoff Ratio | 0.94 | 0.92 |
| Profit Factor | 1.19 | 1.16 |
| Common Sense Ratio | 1.14 | 1.05 |
| CPC Index | 0.62 | 0.59 |
| Tail Ratio | 0.96 | 0.91 |
| Outlier Win Ratio | 3.69 | 3.69 |
| Outlier Loss Ratio | 4.1 | 3.7 |
| 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.) | 16.68% | 13.6% |
| All-time (ann.) | 16.68% | 13.6% |
| Best Day | 10.5% | 8.54% |
| Worst Day | -10.94% | -11.99% |
| Best Month | 12.7% | 11.76% |
| Worst Month | -12.49% | -11.25% |
| Best Year | 28.73% | 24.87% |
| Worst Year | -18.18% | -25.84% |
| Avg. Drawdown | -1.78% | -1.98% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.75 | 3.37 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 1.03 | 0.47 |
| Avg. Up Month | 4.25% | 3.97% |
| Avg. Down Month | -4.35% | -4.64% |
| Win Days | 55.26% | 54.98% |
| Win Month | 67.05% | 67.05% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.91 |
| Alpha | - | -0.01 |
| Correlation | - | 95.2% |
| Treynor Ratio | - | 168.74% |
| Year | SPY | NTSX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 15.57 | 0.95 | - |
| 2020 | 18.33 | 24.87 | 1.36 | + |
| 2021 | 28.73 | 22.21 | 0.77 | - |
| 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 |
| 2020-02-20 | 2020-07-09 | -28.32 | 141 |
| 2024-12-09 | 2025-06-23 | -16.82 | 197 |
| 2026-01-13 | 2026-04-14 | -9.16 | 92 |
| 2020-09-03 | 2020-11-13 | -8.84 | 72 |
| 2024-07-17 | 2024-08-16 | -6.58 | 31 |
| 2021-09-03 | 2021-10-28 | -5.65 | 56 |
| 2021-02-16 | 2021-04-01 | -5.62 | 45 |
| 2025-10-29 | 2025-12-23 | -5.34 | 56 |
| 2026-06-03 | 2026-08-03 | -4.77 | 62 |