| Metric | SPY | PTSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 9.18% |
| CAGR﹪ | 13.27% | 19.03% |
| Sharpe | 0.78 | 1.35 |
| Prob. Sharpe Ratio | 70.87% | 83.03% |
| Smart Sharpe | 0.75 | 1.25 |
| Sortino | 1.14 | 2.04 |
| Smart Sortino | 1.09 | 1.89 |
| Sortino/√2 | 0.8 | 1.44 |
| Smart Sortino/√2 | 0.77 | 1.33 |
| Omega | 1.19 | 1.32 |
| Max Drawdown | -4.49% | -5.78% |
| Max DD Date | 2026-06-10 | 2026-10-01 |
| Max DD Period Start | 2026-06-03 | 2026-09-08 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 58 |
| Volatility (ann.) | 12.4% | 10.72% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.95 | 3.29 |
| Skew | -0.15 | 0.04 |
| Kurtosis | 0.59 | 1.24 |
| Ulcer Performance Index | 3.89 | 3.93 |
| Risk-Adjusted Return | 13.27% | 19.62% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.67% | 0.6% |
| Avg. Loss | -0.59% | -0.52% |
| Win/Loss Ratio | 1.15 | 1.17 |
| Profit Ratio | 1.15 | 0.77 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 0.9% | 1.26% |
| Expected Yearly | 6.48% | 9.18% |
| Kelly Criterion | 7.3% | 16.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.04% |
| Expected Shortfall (cVaR) | -1.63% | -1.4% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.32 |
| Gain/Pain (1M) | 3.26 | 1.5 |
| Payoff Ratio | 1.15 | 1.17 |
| Profit Factor | 1.19 | 1.32 |
| Common Sense Ratio | 1.47 | 1.43 |
| CPC Index | 0.69 | 0.85 |
| Tail Ratio | 1.23 | 1.08 |
| Outlier Win Ratio | 2.66 | 3.1 |
| Outlier Loss Ratio | 3.07 | 3.28 |
| MTD | 1.47% | 0.21% |
| 3M | 1.46% | 2.32% |
| 6M | 6.48% | 9.18% |
| YTD | 6.48% | 9.18% |
| 1Y | 6.48% | 9.18% |
| 3Y (ann.) | 13.27% | 19.03% |
| 5Y (ann.) | 13.27% | 19.03% |
| 10Y (ann.) | 13.27% | 19.03% |
| All-time (ann.) | 13.27% | 19.03% |
| Best Day | 1.8% | 2.49% |
| Worst Day | -2.58% | -1.95% |
| Best Month | 4.52% | 7.0% |
| Worst Month | -1.03% | -3.16% |
| Best Year | 6.48% | 9.18% |
| Worst Year | 6.48% | 9.18% |
| Avg. Drawdown | -1.57% | -1.18% |
| Avg. Drawdown Days | 17 | 10 |
| Recovery Factor | 1.48 | 1.57 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 0.51 |
| Avg. Up Month | 2.18% | 3.29% |
| Avg. Down Month | -0.68% | -3.04% |
| Win Days | 50.39% | 54.92% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.25 |
| Alpha | - | 0.15 |
| Correlation | - | 28.93% |
| Treynor Ratio | - | 36.68% |
| Year | SPY | PTSIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 9.18 | 1.42 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-08 | 2026-11-04 | -5.78 | 58 |
| 2026-06-05 | 2026-07-13 | -4.60 | 39 |
| 2026-05-15 | 2026-05-20 | -1.39 | 6 |
| 2026-07-17 | 2026-07-21 | -0.83 | 5 |
| 2026-08-26 | 2026-09-02 | -0.78 | 8 |
| 2026-07-23 | 2026-07-24 | -0.72 | 2 |
| 2026-05-07 | 2026-05-08 | -0.60 | 2 |
| 2026-07-31 | 2026-08-05 | -0.50 | 6 |
| 2026-05-12 | 2026-05-12 | -0.50 | 1 |
| 2026-08-17 | 2026-08-18 | -0.39 | 2 |