| Metric | SPY | TFPN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | -7.2% |
| CAGR﹪ | 13.27% | -13.78% |
| Sharpe | 0.78 | -1.04 |
| Prob. Sharpe Ratio | 70.87% | 22.79% |
| Smart Sharpe | 0.75 | -1.0 |
| Sortino | 1.14 | -1.36 |
| Smart Sortino | 1.09 | -1.3 |
| Sortino/√2 | 0.8 | -0.96 |
| Smart Sortino/√2 | 0.77 | -0.92 |
| Omega | 1.19 | 0.87 |
| Max Drawdown | -4.49% | -11.47% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-06-05 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 153 |
| Volatility (ann.) | 12.4% | 16.33% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 2.95 | -1.2 |
| Skew | -0.15 | -0.31 |
| Kurtosis | 0.59 | 1.61 |
| Ulcer Performance Index | 3.89 | -1.03 |
| Risk-Adjusted Return | 13.27% | -13.78% |
| Risk-Return Ratio | 0.07 | -0.05 |
| Avg. Return | 0.05% | -0.05% |
| Avg. Win | 0.69% | 0.77% |
| Avg. Loss | -0.65% | -0.91% |
| Win/Loss Ratio | 1.06 | 0.85 |
| Profit Ratio | 1.15 | 0.74 |
| Expected Daily | 0.05% | -0.06% |
| Expected Monthly | 0.9% | -1.06% |
| Expected Yearly | 6.48% | -7.2% |
| Kelly Criterion | 3.63% | -4.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.75% |
| Expected Shortfall (cVaR) | -1.63% | -2.65% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | -0.13 |
| Gain/Pain (1M) | 3.26 | -0.7 |
| Payoff Ratio | 1.06 | 0.85 |
| Profit Factor | 1.19 | 0.87 |
| Common Sense Ratio | 1.47 | 0.83 |
| CPC Index | 0.64 | 0.38 |
| Tail Ratio | 1.23 | 0.95 |
| Outlier Win Ratio | 2.66 | 2.98 |
| Outlier Loss Ratio | 3.07 | 3.46 |
| MTD | 1.47% | -2.1% |
| 3M | 1.46% | -2.5% |
| 6M | 6.48% | -7.2% |
| YTD | 6.48% | -7.2% |
| 1Y | 6.48% | -7.2% |
| 3Y (ann.) | 13.27% | -13.78% |
| 5Y (ann.) | 13.27% | -13.78% |
| 10Y (ann.) | 13.27% | -13.78% |
| All-time (ann.) | 13.27% | -13.78% |
| Best Day | 1.8% | 3.32% |
| Worst Day | -2.58% | -3.72% |
| Best Month | 4.52% | 2.11% |
| Worst Month | -1.03% | -5.07% |
| Best Year | 6.48% | -7.2% |
| Worst Year | 6.48% | -7.2% |
| Avg. Drawdown | -1.57% | -5.67% |
| Avg. Drawdown Days | 17 | 58 |
| Recovery Factor | 1.48 | 0.59 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 0.91 | -0.09 |
| Avg. Up Month | 3.6% | 1.42% |
| Avg. Down Month | -0.75% | -0.98% |
| Win Days | 50.39% | 51.97% |
| Win Month | 57.14% | 28.57% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.69 |
| Alpha | - | -0.23 |
| Correlation | - | 52.57% |
| Treynor Ratio | - | -10.39% |
| Year | SPY | TFPN | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -7.20 | -1.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-11-04 | -11.47 | 153 |
| 2026-05-15 | 2026-06-02 | -4.14 | 19 |
| 2026-05-07 | 2026-05-08 | -1.40 | 2 |