| Metric | SPY | PTSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 206.09% | 122.67% |
| CAGR﹪ | 16.33% | 11.43% |
| Sharpe | 0.73 | 0.55 |
| Prob. Sharpe Ratio | 97.49% | 92.86% |
| Smart Sharpe | 0.63 | 0.46 |
| Sortino | 1.02 | 0.76 |
| Smart Sortino | 0.88 | 0.63 |
| Sortino/√2 | 0.72 | 0.53 |
| Smart Sortino/√2 | 0.63 | 0.45 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -42.93% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-03 |
| Max DD Period End | 2020-08-07 | 2020-12-28 |
| Longest DD Days | 708 | 1023 |
| Volatility (ann.) | 19.46% | 17.2% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.27 |
| Skew | -0.29 | -0.97 |
| Kurtosis | 13.92 | 14.86 |
| Ulcer Performance Index | 26.04 | 11.01 |
| Risk-Adjusted Return | 16.33% | 12.16% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.86% | 0.84% |
| Avg. Loss | -0.95% | -0.91% |
| Win/Loss Ratio | 0.9 | 0.92 |
| Profit Ratio | 0.78 | 0.66 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.89% |
| Expected Yearly | 15.01% | 10.52% |
| Kelly Criterion | 5.33% | 3.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.73% |
| Expected Shortfall (cVaR) | -3.2% | -2.75% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 13 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.16 | 0.65 |
| Payoff Ratio | 0.9 | 0.92 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.59 | 0.56 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.69 | 3.91 |
| Outlier Loss Ratio | 4.11 | 3.79 |
| MTD | 1.47% | 0.21% |
| 3M | 1.46% | 2.32% |
| 6M | 6.94% | 8.85% |
| YTD | 13.33% | 21.71% |
| 1Y | 13.84% | 32.61% |
| 3Y (ann.) | 21.0% | 22.15% |
| 5Y (ann.) | 12.96% | 13.88% |
| 10Y (ann.) | 16.33% | 11.43% |
| All-time (ann.) | 16.33% | 11.43% |
| Best Day | 10.5% | 8.56% |
| Worst Day | -10.94% | -12.01% |
| Best Month | 12.7% | 18.52% |
| Worst Month | -12.49% | -22.49% |
| Best Year | 28.73% | 37.51% |
| Worst Year | -18.18% | -11.14% |
| Avg. Drawdown | -1.79% | -3.02% |
| Avg. Drawdown Days | 16 | 34 |
| Recovery Factor | 3.74 | 2.12 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 1.03 | 0.32 |
| Avg. Up Month | 4.18% | 4.37% |
| Avg. Down Month | -4.06% | -5.12% |
| Win Days | 55.21% | 53.65% |
| Win Month | 65.56% | 61.8% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.42 |
| Alpha | - | 0.05 |
| Correlation | - | 47.46% |
| Treynor Ratio | - | 292.31% |
| Year | SPY | PTSIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 11.33 | 0.69 | - |
| 2020 | 18.33 | 0.59 | 0.03 | - |
| 2021 | 28.73 | 10.27 | 0.36 | - |
| 2022 | -18.18 | -11.14 | 0.61 | + |
| 2023 | 26.18 | 18.33 | 0.70 | - |
| 2024 | 24.89 | 2.47 | 0.10 | - |
| 2025 | 18.15 | 37.51 | 2.07 | + |
| 2026 | 13.33 | 21.71 | 1.63 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-03 | 2020-12-28 | -42.93 | 361 |
| 2021-06-08 | 2024-03-26 | -30.66 | 1023 |
| 2025-03-10 | 2025-05-16 | -15.62 | 68 |
| 2024-09-30 | 2025-03-05 | -13.31 | 157 |
| 2019-07-05 | 2019-10-18 | -9.35 | 106 |
| 2026-03-02 | 2026-07-21 | -9.11 | 142 |
| 2024-08-01 | 2024-08-19 | -7.11 | 19 |
| 2026-09-08 | 2026-11-04 | -5.78 | 58 |
| 2024-06-14 | 2024-07-17 | -5.38 | 34 |
| 2024-04-05 | 2024-05-03 | -4.37 | 29 |