| Metric | SPY | TFPN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 14.45% |
| CAGR﹪ | 14.51% | 14.57% |
| Sharpe | 0.83 | 0.69 |
| Prob. Sharpe Ratio | 79.61% | 75.18% |
| Smart Sharpe | 0.82 | 0.63 |
| Sortino | 1.22 | 0.97 |
| Smart Sortino | 1.2 | 0.89 |
| Sortino/√2 | 0.86 | 0.69 |
| Smart Sortino/√2 | 0.85 | 0.63 |
| Omega | 1.2 | 1.16 |
| Max Drawdown | -8.88% | -11.47% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-06-05 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 153 |
| Volatility (ann.) | 12.86% | 16.38% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.63 | 1.27 |
| Skew | -0.02 | -0.31 |
| Kurtosis | 0.78 | 1.04 |
| Ulcer Performance Index | 6.68 | 2.7 |
| Risk-Adjusted Return | 14.51% | 14.57% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.7% | 0.84% |
| Avg. Loss | -0.72% | -0.9% |
| Win/Loss Ratio | 0.97 | 0.94 |
| Profit Ratio | 1.02 | 0.72 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 1.04% |
| Expected Yearly | 6.95% | 6.98% |
| Kelly Criterion | 2.5% | 9.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.64% |
| Expected Shortfall (cVaR) | -1.66% | -2.26% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.16 |
| Gain/Pain (1M) | 1.83 | 0.95 |
| Payoff Ratio | 0.97 | 0.94 |
| Profit Factor | 1.2 | 1.16 |
| Common Sense Ratio | 1.19 | 1.24 |
| CPC Index | 0.61 | 0.61 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 2.84 | 3.1 |
| Outlier Loss Ratio | 3.01 | 3.54 |
| MTD | 1.47% | -2.1% |
| 3M | 1.46% | -2.5% |
| 6M | 6.94% | -5.99% |
| YTD | 13.33% | 12.53% |
| 1Y | 14.39% | 14.45% |
| 3Y (ann.) | 14.51% | 14.57% |
| 5Y (ann.) | 14.51% | 14.57% |
| 10Y (ann.) | 14.51% | 14.57% |
| All-time (ann.) | 14.51% | 14.57% |
| Best Day | 2.91% | 3.32% |
| Worst Day | -2.58% | -3.72% |
| Best Month | 10.51% | 10.49% |
| Worst Month | -4.94% | -5.66% |
| Best Year | 13.33% | 12.53% |
| Worst Year | 0.94% | 1.7% |
| Avg. Drawdown | -1.74% | -2.85% |
| Avg. Drawdown Days | 14 | 19 |
| Recovery Factor | 1.61 | 1.29 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.27 |
| Avg. Up Month | 4.0% | 5.4% |
| Avg. Down Month | -1.8% | -2.15% |
| Win Days | 52.0% | 56.0% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.7 |
| Alpha | - | 0.05 |
| Correlation | - | 55.08% |
| Treynor Ratio | - | 20.6% |
| Year | SPY | TFPN | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.70 | 1.81 | + |
| 2026 | 13.33 | 12.53 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-11-04 | -11.47 | 153 |
| 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 |
| 2025-12-29 | 2026-01-02 | -1.82 | 5 |
| 2026-01-06 | 2026-01-06 | -1.58 | 1 |
| 2026-05-07 | 2026-05-08 | -1.40 | 2 |
| 2026-04-27 | 2026-04-29 | -1.31 | 3 |