| Metric | SPY | PXTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 206.09% | 196.17% |
| CAGR﹪ | 16.33% | 15.81% |
| Sharpe | 0.73 | 0.66 |
| Prob. Sharpe Ratio | 97.49% | 96.19% |
| Smart Sharpe | 0.63 | 0.6 |
| Sortino | 1.02 | 0.92 |
| Smart Sortino | 0.88 | 0.83 |
| Sortino/√2 | 0.72 | 0.65 |
| Smart Sortino/√2 | 0.63 | 0.59 |
| Omega | 1.18 | 1.17 |
| 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.) | 19.46% | 21.21% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.48 | 0.36 |
| Skew | -0.29 | -0.71 |
| Kurtosis | 13.92 | 16.65 |
| Ulcer Performance Index | 26.04 | 22.03 |
| Risk-Adjusted Return | 16.33% | 16.47% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.92% | 1.02% |
| Avg. Loss | -0.94% | -1.05% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.78 | 0.75 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.25% | 1.21% |
| Expected Yearly | 15.01% | 14.54% |
| Kelly Criterion | 9.26% | 4.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.13% |
| Expected Shortfall (cVaR) | -3.2% | -3.74% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.17 |
| Gain/Pain (1M) | 1.16 | 0.92 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.18 | 1.17 |
| Common Sense Ratio | 1.13 | 1.2 |
| CPC Index | 0.64 | 0.6 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 3.53 |
| Outlier Loss Ratio | 4.11 | 3.82 |
| MTD | 1.47% | 0.33% |
| 3M | 1.46% | 4.77% |
| 6M | 6.94% | 16.41% |
| YTD | 13.33% | 31.84% |
| 1Y | 13.84% | 35.79% |
| 3Y (ann.) | 21.0% | 25.02% |
| 5Y (ann.) | 12.96% | 15.91% |
| 10Y (ann.) | 16.33% | 15.81% |
| All-time (ann.) | 16.33% | 15.81% |
| 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% | 31.84% |
| Worst Year | -18.18% | -8.6% |
| Avg. Drawdown | -1.79% | -2.39% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.74 | 2.84 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.03 | 0.81 |
| Avg. Up Month | 4.19% | 4.58% |
| Avg. Down Month | -4.16% | -5.15% |
| Win Days | 55.21% | 53.34% |
| Win Month | 65.56% | 65.56% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.96 |
| Alpha | - | 0.01 |
| Correlation | - | 88.06% |
| Treynor Ratio | - | 204.37% |
| 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 | 13.33 | 31.84 | 2.39 | + |
| 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 |
| 2026-09-04 | 2026-10-21 | -6.30 | 48 |
| 2026-02-12 | 2026-04-10 | -6.29 | 58 |
| 2021-06-09 | 2021-08-10 | -6.05 | 63 |