| Metric | SPY | PXTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 208.72% | 184.24% |
| CAGR﹪ | 16.76% | 15.44% |
| Sharpe | 0.74 | 0.65 |
| Prob. Sharpe Ratio | 97.64% | 95.66% |
| Smart Sharpe | 0.64 | 0.58 |
| Sortino | 1.05 | 0.9 |
| Smart Sortino | 0.9 | 0.81 |
| Sortino/√2 | 0.74 | 0.63 |
| Smart Sortino/√2 | 0.64 | 0.57 |
| Omega | 1.19 | 1.16 |
| Max Drawdown | -33.72% | -44.14% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-13 |
| Max DD Period End | 2020-08-07 | 2020-12-03 |
| Longest DD Days | 708 | 694 |
| Volatility (ann.) | 19.57% | 21.32% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.5 | 0.35 |
| Skew | -0.29 | -0.71 |
| Kurtosis | 13.83 | 16.55 |
| Ulcer Performance Index | 26.16 | 20.54 |
| Risk-Adjusted Return | 16.76% | 16.09% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.92% | 1.02% |
| Avg. Loss | -0.95% | -1.06% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.77 | 0.75 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.29% | 1.19% |
| Expected Yearly | 15.13% | 13.95% |
| Kelly Criterion | 9.37% | 4.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -2.14% |
| Expected Shortfall (cVaR) | -3.2% | -3.74% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.16 |
| Gain/Pain (1M) | 1.18 | 0.9 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.19 | 1.16 |
| Common Sense Ratio | 1.14 | 1.19 |
| CPC Index | 0.64 | 0.6 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 3.51 |
| Outlier Loss Ratio | 4.1 | 3.81 |
| MTD | 1.08% | -2.26% |
| 3M | 3.82% | 7.55% |
| 6M | 19.85% | 22.83% |
| YTD | 14.3% | 26.54% |
| 1Y | 18.22% | 34.03% |
| 3Y (ann.) | 25.09% | 26.99% |
| 5Y (ann.) | 13.16% | 14.39% |
| 10Y (ann.) | 16.76% | 15.44% |
| All-time (ann.) | 16.76% | 15.44% |
| Best Day | 10.5% | 11.37% |
| Worst Day | -10.94% | -12.68% |
| Best Month | 12.7% | 14.77% |
| Worst Month | -12.49% | -21.5% |
| Best Year | 28.73% | 27.42% |
| Worst Year | -18.18% | -8.6% |
| Avg. Drawdown | -1.78% | -2.37% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.76 | 2.74 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.03 | 0.78 |
| Avg. Up Month | 4.24% | 4.66% |
| Avg. Down Month | -4.32% | -5.18% |
| Win Days | 55.32% | 53.34% |
| Win Month | 67.05% | 64.77% |
| Win Quarter | 76.67% | 70.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.96 |
| Alpha | - | -0.0 |
| Correlation | - | 88.5% |
| Treynor Ratio | - | 191.02% |
| Year | SPY | PXTIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 14.92 | 0.91 | - |
| 2020 | 18.33 | 4.57 | 0.25 | - |
| 2021 | 28.73 | 27.42 | 0.95 | - |
| 2022 | -18.18 | -8.60 | 0.47 | + |
| 2023 | 26.18 | 17.09 | 0.65 | - |
| 2024 | 24.89 | 14.69 | 0.59 | - |
| 2025 | 18.15 | 19.53 | 1.08 | + |
| 2026 | 14.30 | 26.54 | 1.86 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2020-12-03 | -44.14 | 295 |
| 2022-01-18 | 2023-12-12 | -22.88 | 694 |
| 2024-12-03 | 2025-08-12 | -21.64 | 253 |
| 2019-07-29 | 2019-10-24 | -8.61 | 88 |
| 2024-07-17 | 2024-09-25 | -8.03 | 71 |
| 2024-04-01 | 2024-07-10 | -7.99 | 101 |
| 2021-11-09 | 2021-12-23 | -7.36 | 45 |
| 2026-02-12 | 2026-04-10 | -6.29 | 58 |
| 2021-06-09 | 2021-08-10 | -6.05 | 63 |
| 2021-08-30 | 2021-11-02 | -5.28 | 65 |