| Metric | SPY | TFPN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 80.43% | 23.52% |
| CAGR﹪ | 20.37% | 6.86% |
| Sharpe | 0.99 | 0.21 |
| Prob. Sharpe Ratio | 96.43% | 64.72% |
| Smart Sharpe | 0.93 | 0.21 |
| Sortino | 1.46 | 0.29 |
| Smart Sortino | 1.37 | 0.28 |
| Sortino/√2 | 1.04 | 0.2 |
| Smart Sortino/√2 | 0.97 | 0.2 |
| Omega | 1.27 | 1.1 |
| Max Drawdown | -18.76% | -16.72% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2024-06-04 |
| Max DD Period End | 2025-06-25 | 2025-12-19 |
| Longest DD Days | 126 | 564 |
| Volatility (ann.) | 15.09% | 13.19% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.09 | 0.41 |
| Skew | 0.9 | -0.44 |
| Kurtosis | 21.02 | 2.06 |
| Ulcer Performance Index | 23.4 | 3.57 |
| Risk-Adjusted Return | 20.37% | 6.86% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.71% | 0.65% |
| Avg. Loss | -0.79% | -0.8% |
| Win/Loss Ratio | 0.89 | 0.82 |
| Profit Ratio | 0.76 | 0.7 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.52% | 0.54% |
| Expected Yearly | 15.9% | 5.42% |
| Kelly Criterion | 7.43% | 0.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -1.34% |
| Expected Shortfall (cVaR) | -2.18% | -2.0% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.27 | 0.1 |
| Gain/Pain (1M) | 2.15 | 0.55 |
| Payoff Ratio | 0.89 | 0.82 |
| Profit Factor | 1.27 | 1.1 |
| Common Sense Ratio | 1.24 | 1.11 |
| CPC Index | 0.64 | 0.5 |
| Tail Ratio | 0.97 | 1.01 |
| Outlier Win Ratio | 3.23 | 3.43 |
| Outlier Loss Ratio | 3.63 | 4.02 |
| MTD | 1.08% | 0.61% |
| 3M | 3.82% | -6.51% |
| 6M | 19.85% | 10.48% |
| YTD | 14.3% | 18.0% |
| 1Y | 17.78% | 22.81% |
| 3Y (ann.) | 24.86% | 7.48% |
| 5Y (ann.) | 20.37% | 6.86% |
| 10Y (ann.) | 20.37% | 6.86% |
| All-time (ann.) | 20.37% | 6.86% |
| Best Day | 10.5% | 3.32% |
| Worst Day | -5.85% | -3.72% |
| Best Month | 10.51% | 10.49% |
| Worst Month | -5.57% | -6.49% |
| Best Year | 24.89% | 18.0% |
| Worst Year | 7.38% | -1.6% |
| Avg. Drawdown | -1.67% | -3.63% |
| Avg. Drawdown Days | 13 | 63 |
| Recovery Factor | 3.34 | 1.43 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | 1.82 | 0.21 |
| Avg. Up Month | 3.72% | 3.15% |
| Avg. Down Month | -2.74% | -2.85% |
| Win Days | 56.43% | 55.4% |
| Win Month | 69.23% | 56.41% |
| Win Quarter | 76.92% | 61.54% |
| Win Year | 100.0% | 75.0% |
| Beta | - | 0.43 |
| Alpha | - | -0.01 |
| Correlation | - | 48.63% |
| Treynor Ratio | - | 55.29% |
| Year | SPY | TFPN | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.38 | -1.60 | -0.22 | - |
| 2024 | 24.89 | 2.67 | 0.11 | - |
| 2025 | 17.72 | 3.61 | 0.20 | - |
| 2026 | 14.30 | 18.00 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-04 | 2025-12-19 | -16.72 | 564 |
| 2026-06-05 | 2026-09-22 | -10.94 | 110 |
| 2026-02-26 | 2026-04-10 | -7.47 | 44 |
| 2023-07-19 | 2024-03-01 | -5.18 | 227 |
| 2026-01-29 | 2026-02-19 | -4.67 | 22 |
| 2026-05-15 | 2026-06-02 | -4.14 | 19 |
| 2024-04-02 | 2024-05-31 | -3.40 | 60 |
| 2025-12-29 | 2026-01-02 | -1.82 | 5 |
| 2026-01-06 | 2026-01-06 | -1.58 | 1 |
| 2024-03-08 | 2024-03-20 | -1.56 | 13 |