| Metric | SPY | PTSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.3% | 34.29% |
| CAGR﹪ | 18.62% | 34.93% |
| Sharpe | 1.07 | 2.26 |
| Prob. Sharpe Ratio | 85.46% | 98.65% |
| Smart Sharpe | 1.04 | 2.06 |
| Sortino | 1.56 | 3.56 |
| Smart Sortino | 1.52 | 3.25 |
| Sortino/√2 | 1.1 | 2.52 |
| Smart Sortino/√2 | 1.07 | 2.29 |
| Omega | 1.26 | 1.55 |
| Max Drawdown | -8.88% | -9.11% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-07-21 |
| Longest DD Days | 76 | 142 |
| Volatility (ann.) | 13.04% | 11.82% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.1 | 3.83 |
| Skew | -0.16 | -0.16 |
| Kurtosis | 1.03 | 1.92 |
| Ulcer Performance Index | 8.48 | 12.61 |
| Risk-Adjusted Return | 18.62% | 36.77% |
| Risk-Return Ratio | 0.09 | 0.16 |
| Avg. Return | 0.09% | 0.13% |
| Avg. Win | 0.66% | 0.64% |
| Avg. Loss | -0.67% | -0.58% |
| Win/Loss Ratio | 0.98 | 1.09 |
| Profit Ratio | 0.91 | 0.68 |
| Expected Daily | 0.07% | 0.12% |
| Expected Monthly | 1.3% | 2.29% |
| Expected Yearly | 8.77% | 15.88% |
| Kelly Criterion | 7.34% | 18.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.1% |
| Expected Shortfall (cVaR) | -1.72% | -1.62% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.26 | 0.55 |
| Gain/Pain (1M) | 2.66 | 3.02 |
| Payoff Ratio | 0.98 | 1.09 |
| Profit Factor | 1.26 | 1.55 |
| Common Sense Ratio | 1.25 | 2.21 |
| CPC Index | 0.67 | 0.98 |
| Tail Ratio | 0.99 | 1.43 |
| Outlier Win Ratio | 2.88 | 3.29 |
| Outlier Loss Ratio | 3.16 | 2.94 |
| MTD | 1.08% | -0.46% |
| 3M | 3.82% | 9.7% |
| 6M | 19.85% | 14.59% |
| YTD | 14.3% | 22.22% |
| 1Y | 18.3% | 34.29% |
| 3Y (ann.) | 18.62% | 34.93% |
| 5Y (ann.) | 18.62% | 34.93% |
| 10Y (ann.) | 18.62% | 34.93% |
| All-time (ann.) | 18.62% | 34.93% |
| Best Day | 2.91% | 2.49% |
| Worst Day | -2.7% | -3.3% |
| Best Month | 10.51% | 8.18% |
| Worst Month | -4.94% | -6.6% |
| Best Year | 14.3% | 22.22% |
| Worst Year | 3.5% | 9.88% |
| Avg. Drawdown | -1.69% | -1.18% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.99 | 3.31 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.19 | 1.26 |
| Avg. Up Month | 2.87% | 4.09% |
| Avg. Down Month | -2.98% | -4.76% |
| Win Days | 54.03% | 57.69% |
| Win Month | 76.92% | 75.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.33 |
| Alpha | - | 0.25 |
| Correlation | - | 36.46% |
| Treynor Ratio | - | 103.72% |
| Year | SPY | PTSIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 9.88 | 2.82 | + |
| 2026 | 14.30 | 22.22 | 1.55 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-07-21 | -9.11 | 142 |
| 2025-11-14 | 2025-11-26 | -3.33 | 13 |
| 2025-10-29 | 2025-11-10 | -2.81 | 13 |
| 2026-09-08 | 2026-09-22 | -2.30 | 15 |
| 2025-10-07 | 2025-10-22 | -2.14 | 16 |
| 2025-09-24 | 2025-09-29 | -1.33 | 6 |
| 2026-01-16 | 2026-01-21 | -0.86 | 6 |
| 2025-12-05 | 2025-12-10 | -0.79 | 6 |
| 2026-08-26 | 2026-09-02 | -0.78 | 8 |
| 2026-07-23 | 2026-07-24 | -0.72 | 2 |