| Metric | SPY | TFPN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 22.51% |
| CAGR﹪ | 18.02% | 22.71% |
| Sharpe | 1.04 | 1.09 |
| Prob. Sharpe Ratio | 84.73% | 85.81% |
| Smart Sharpe | 1.01 | 1.02 |
| Sortino | 1.51 | 1.55 |
| Smart Sortino | 1.47 | 1.45 |
| Sortino/√2 | 1.07 | 1.1 |
| Smart Sortino/√2 | 1.04 | 1.02 |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -8.88% | -10.94% |
| Max DD Date | 2026-03-30 | 2026-07-20 |
| Max DD Period Start | 2026-01-28 | 2026-06-05 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 110 |
| Volatility (ann.) | 12.99% | 16.35% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.03 | 2.08 |
| Skew | -0.15 | -0.36 |
| Kurtosis | 1.05 | 1.11 |
| Ulcer Performance Index | 8.3 | 5.03 |
| Risk-Adjusted Return | 18.02% | 22.71% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.7% | 0.85% |
| Avg. Loss | -0.75% | -0.94% |
| Win/Loss Ratio | 0.94 | 0.9 |
| Profit Ratio | 0.94 | 0.68 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.57% |
| Expected Yearly | 8.57% | 10.69% |
| Kelly Criterion | 4.42% | 10.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.61% |
| Expected Shortfall (cVaR) | -1.72% | -2.18% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.25 |
| Gain/Pain (1M) | 2.6 | 1.74 |
| Payoff Ratio | 0.94 | 0.9 |
| Profit Factor | 1.25 | 1.25 |
| Common Sense Ratio | 1.24 | 1.33 |
| CPC Index | 0.63 | 0.65 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 2.88 | 3.09 |
| Outlier Loss Ratio | 3.19 | 3.55 |
| MTD | 1.08% | 0.61% |
| 3M | 3.82% | -6.51% |
| 6M | 19.85% | 10.48% |
| YTD | 14.3% | 18.0% |
| 1Y | 17.87% | 22.51% |
| 3Y (ann.) | 18.02% | 22.71% |
| 5Y (ann.) | 18.02% | 22.71% |
| 10Y (ann.) | 18.02% | 22.71% |
| All-time (ann.) | 18.02% | 22.71% |
| Best Day | 2.91% | 3.32% |
| Worst Day | -2.7% | -3.72% |
| Best Month | 10.51% | 10.49% |
| Worst Month | -4.94% | -5.66% |
| Best Year | 14.3% | 18.0% |
| Worst Year | 3.13% | 3.82% |
| Avg. Drawdown | -1.71% | -2.41% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 1.98 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.55 |
| Avg. Up Month | 2.99% | 3.84% |
| Avg. Down Month | -2.98% | -3.3% |
| Win Days | 53.6% | 57.6% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.7 |
| Alpha | - | 0.1 |
| Correlation | - | 55.53% |
| Treynor Ratio | - | 32.22% |
| Year | SPY | TFPN | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.82 | 1.22 | + |
| 2026 | 14.30 | 18.00 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-09-22 | -10.94 | 110 |
| 2026-02-26 | 2026-04-10 | -7.47 | 44 |
| 2025-11-12 | 2025-12-03 | -5.21 | 22 |
| 2026-01-29 | 2026-02-19 | -4.67 | 22 |
| 2026-05-15 | 2026-06-02 | -4.14 | 19 |
| 2025-12-05 | 2025-12-19 | -2.44 | 15 |
| 2025-10-16 | 2025-10-24 | -2.06 | 9 |
| 2025-12-29 | 2026-01-02 | -1.82 | 5 |
| 2025-10-09 | 2025-10-14 | -1.64 | 6 |
| 2026-01-06 | 2026-01-06 | -1.58 | 1 |