| Metric | SPY | TFPN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 78.9% | 17.79% |
| CAGR﹪ | 19.24% | 5.08% |
| Sharpe | 0.94 | 0.09 |
| Prob. Sharpe Ratio | 95.92% | 56.53% |
| Smart Sharpe | 0.89 | 0.09 |
| Sortino | 1.38 | 0.12 |
| Smart Sortino | 1.3 | 0.12 |
| Sortino/√2 | 0.98 | 0.09 |
| Smart Sortino/√2 | 0.92 | 0.08 |
| Omega | 1.26 | 1.08 |
| 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.) | 14.96% | 13.09% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.03 | 0.3 |
| Skew | 0.89 | -0.42 |
| Kurtosis | 20.95 | 2.05 |
| Ulcer Performance Index | 23.31 | 2.67 |
| Risk-Adjusted Return | 19.24% | 5.08% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.7% | 0.64% |
| Avg. Loss | -0.78% | -0.78% |
| Win/Loss Ratio | 0.89 | 0.82 |
| Profit Ratio | 0.77 | 0.71 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.43% | 0.4% |
| Expected Yearly | 15.65% | 4.18% |
| Kelly Criterion | 7.09% | 0.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.48% | -1.33% |
| Expected Shortfall (cVaR) | -2.17% | -1.99% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.26 | 0.08 |
| Gain/Pain (1M) | 2.04 | 0.41 |
| Payoff Ratio | 0.89 | 0.82 |
| Profit Factor | 1.26 | 1.08 |
| Common Sense Ratio | 1.19 | 1.09 |
| CPC Index | 0.63 | 0.49 |
| Tail Ratio | 0.94 | 1.01 |
| Outlier Win Ratio | 3.24 | 3.44 |
| Outlier Loss Ratio | 3.6 | 3.98 |
| MTD | 1.47% | -2.1% |
| 3M | 1.46% | -2.5% |
| 6M | 6.94% | -5.99% |
| YTD | 13.33% | 12.53% |
| 1Y | 13.43% | 13.44% |
| 3Y (ann.) | 20.78% | 6.61% |
| 5Y (ann.) | 19.24% | 5.08% |
| 10Y (ann.) | 19.24% | 5.08% |
| All-time (ann.) | 19.24% | 5.08% |
| 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% | 12.53% |
| Worst Year | 7.38% | -1.6% |
| Avg. Drawdown | -1.7% | -3.66% |
| Avg. Drawdown Days | 13 | 66 |
| Recovery Factor | 3.3 | 1.15 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | 1.83 | 0.17 |
| Avg. Up Month | 3.85% | 3.28% |
| Avg. Down Month | -2.38% | -2.54% |
| Win Days | 56.13% | 54.9% |
| Win Month | 65.85% | 51.22% |
| Win Quarter | 78.57% | 57.14% |
| Win Year | 100.0% | 75.0% |
| Beta | - | 0.43 |
| Alpha | - | -0.02 |
| Correlation | - | 48.81% |
| Treynor Ratio | - | 41.67% |
| 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 | 13.33 | 12.53 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-04 | 2025-12-19 | -16.72 | 564 |
| 2026-06-05 | 2026-11-04 | -11.47 | 153 |
| 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 |