| Metric | SPY | PCF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.6% | 3.62% |
| CAGR﹪ | 40.67% | 7.37% |
| Sharpe | 2.32 | 0.31 |
| Prob. Sharpe Ratio | 95.04% | 58.71% |
| Smart Sharpe | 2.3 | 0.3 |
| Sortino | 3.78 | 0.45 |
| Smart Sortino | 3.75 | 0.43 |
| Sortino/√2 | 2.67 | 0.32 |
| Smart Sortino/√2 | 2.65 | 0.31 |
| Omega | 1.54 | 1.1 |
| Max Drawdown | -4.49% | -5.21% |
| Max DD Date | 2026-06-10 | 2026-09-15 |
| Max DD Period Start | 2026-06-03 | 2026-09-04 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 120 |
| Volatility (ann.) | 13.55% | 14.62% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 9.05 | 1.42 |
| Skew | 0.1 | -0.04 |
| Kurtosis | 1.12 | 0.92 |
| Ulcer Performance Index | 11.86 | 1.44 |
| Risk-Adjusted Return | 40.67% | 7.76% |
| Risk-Return Ratio | 0.16 | 0.04 |
| Avg. Return | 0.1% | 0.03% |
| Avg. Win | 0.82% | 0.77% |
| Avg. Loss | -0.7% | -0.82% |
| Win/Loss Ratio | 1.16 | 0.93 |
| Profit Ratio | 1.12 | 0.75 |
| Expected Daily | 0.14% | 0.03% |
| Expected Monthly | 2.47% | 0.51% |
| Expected Yearly | 18.6% | 3.62% |
| Kelly Criterion | 14.32% | 0.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.48% |
| Expected Shortfall (cVaR) | -1.77% | -2.28% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.1 |
| Gain/Pain (1M) | 10.92 | 0.64 |
| Payoff Ratio | 1.16 | 0.93 |
| Profit Factor | 1.54 | 1.1 |
| Common Sense Ratio | 2.01 | 1.27 |
| CPC Index | 0.96 | 0.53 |
| Tail Ratio | 1.3 | 1.16 |
| Outlier Win Ratio | 3.21 | 3.5 |
| Outlier Loss Ratio | 3.16 | 3.36 |
| MTD | 1.08% | -1.48% |
| 3M | 3.82% | 0.64% |
| 6M | 18.6% | 3.62% |
| YTD | 18.6% | 3.62% |
| 1Y | 18.6% | 3.62% |
| 3Y (ann.) | 40.67% | 7.37% |
| 5Y (ann.) | 40.67% | 7.37% |
| 10Y (ann.) | 40.67% | 7.37% |
| All-time (ann.) | 40.67% | 7.37% |
| Best Day | 2.91% | 2.9% |
| Worst Day | -2.58% | -2.67% |
| Best Month | 10.51% | 5.47% |
| Worst Month | -1.03% | -2.44% |
| Best Year | 18.6% | 3.62% |
| Worst Year | 18.6% | 3.62% |
| Avg. Drawdown | -1.13% | -2.27% |
| Avg. Drawdown Days | 9 | 18 |
| Recovery Factor | 3.9 | 0.79 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.3 |
| Avg. Up Month | 6.59% | 5.26% |
| Avg. Down Month | -1.03% | -1.48% |
| Win Days | 53.97% | 52.1% |
| Win Month | 71.43% | 33.33% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.48 |
| Alpha | - | -0.09 |
| Correlation | - | 44.32% |
| Treynor Ratio | - | 7.57% |
| Year | SPY | PCF | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 3.62 | 0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-04 | 2026-09-22 | -5.21 | 19 |
| 2026-05-01 | 2026-08-28 | -5.08 | 120 |
| 2026-04-02 | 2026-04-14 | -3.70 | 13 |
| 2026-04-27 | 2026-04-29 | -2.44 | 3 |
| 2026-09-01 | 2026-09-01 | -1.27 | 1 |
| 2026-04-21 | 2026-04-21 | -1.13 | 1 |
| 2026-03-24 | 2026-03-30 | -1.09 | 7 |
| 2026-04-16 | 2026-04-16 | -0.35 | 1 |
| 2026-04-23 | 2026-04-23 | -0.18 | 1 |