| Metric | SPY | PCF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 204.97% | 42.72% |
| CAGR﹪ | 16.25% | 4.92% |
| Sharpe | 0.72 | 0.2 |
| Prob. Sharpe Ratio | 97.45% | 70.32% |
| Smart Sharpe | 0.63 | 0.18 |
| Sortino | 1.02 | 0.27 |
| Smart Sortino | 0.88 | 0.24 |
| Sortino/√2 | 0.72 | 0.19 |
| Smart Sortino/√2 | 0.62 | 0.17 |
| Omega | 1.18 | 1.08 |
| Max Drawdown | -33.72% | -45.15% |
| Max DD Date | 2020-03-23 | 2020-03-19 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-12-07 |
| Longest DD Days | 708 | 1165 |
| Volatility (ann.) | 19.45% | 19.81% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.11 |
| Skew | -0.29 | -1.18 |
| Kurtosis | 13.94 | 29.62 |
| Ulcer Performance Index | 25.91 | 3.29 |
| Risk-Adjusted Return | 16.25% | 5.29% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.9% | 0.8% |
| Avg. Loss | -1.03% | -0.99% |
| Win/Loss Ratio | 0.87 | 0.81 |
| Profit Ratio | 0.78 | 0.61 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.4% |
| Expected Yearly | 14.96% | 4.55% |
| Kelly Criterion | 3.72% | -3.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.03% |
| Expected Shortfall (cVaR) | -3.2% | -3.78% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.08 |
| Gain/Pain (1M) | 1.15 | 0.33 |
| Payoff Ratio | 0.87 | 0.81 |
| Profit Factor | 1.18 | 1.08 |
| Common Sense Ratio | 1.13 | 1.13 |
| CPC Index | 0.57 | 0.47 |
| Tail Ratio | 0.96 | 1.05 |
| Outlier Win Ratio | 3.69 | 4.66 |
| Outlier Loss Ratio | 4.12 | 4.66 |
| MTD | 1.47% | 1.6% |
| 3M | 1.46% | -0.56% |
| 6M | 6.94% | -5.45% |
| YTD | 13.33% | -8.33% |
| 1Y | 13.43% | -8.04% |
| 3Y (ann.) | 20.78% | 4.69% |
| 5Y (ann.) | 12.86% | 1.79% |
| 10Y (ann.) | 16.25% | 4.92% |
| All-time (ann.) | 16.25% | 4.92% |
| Best Day | 10.5% | 10.46% |
| Worst Day | -10.94% | -17.06% |
| Best Month | 12.7% | 15.95% |
| Worst Month | -12.49% | -24.51% |
| Best Year | 28.73% | 16.73% |
| Worst Year | -18.18% | -15.56% |
| Avg. Drawdown | -1.79% | -3.35% |
| Avg. Drawdown Days | 16 | 55 |
| Recovery Factor | 3.72 | 1.11 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.38% | 4.14% |
| Avg. Down Month | -4.06% | -5.02% |
| Win Days | 55.15% | 53.69% |
| Win Month | 65.56% | 55.56% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.49 |
| Alpha | - | -0.02 |
| Correlation | - | 48.51% |
| Treynor Ratio | - | 86.44% |
| Year | SPY | PCF | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 12.70 | 0.77 | - |
| 2020 | 18.33 | 8.14 | 0.44 | - |
| 2021 | 28.73 | 11.44 | 0.40 | - |
| 2022 | -18.18 | -15.56 | 0.86 | + |
| 2023 | 26.18 | 10.45 | 0.40 | - |
| 2024 | 24.89 | 16.73 | 0.67 | - |
| 2025 | 17.72 | 5.31 | 0.30 | - |
| 2026 | 13.33 | -8.33 | -0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-12-07 | -45.15 | 291 |
| 2021-09-20 | 2024-11-27 | -29.06 | 1165 |
| 2025-02-26 | 2025-09-15 | -13.33 | 202 |
| 2025-09-23 | 2026-11-04 | -12.65 | 408 |
| 2021-02-08 | 2021-04-06 | -7.45 | 58 |
| 2024-12-11 | 2025-01-30 | -6.43 | 51 |
| 2020-12-21 | 2021-02-04 | -6.12 | 46 |
| 2021-05-11 | 2021-05-13 | -3.60 | 3 |
| 2021-07-07 | 2021-08-12 | -3.50 | 37 |
| 2019-08-05 | 2019-09-18 | -3.09 | 45 |