| Metric | SPY | TNMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 74.99% | 20.08% |
| CAGR﹪ | 11.91% | 3.75% |
| Sharpe | 0.52 | 0.01 |
| Prob. Sharpe Ratio | 87.6% | 51.33% |
| Smart Sharpe | 0.5 | 0.01 |
| Sortino | 0.74 | 0.02 |
| Smart Sortino | 0.72 | 0.02 |
| Sortino/√2 | 0.53 | 0.01 |
| Smart Sortino/√2 | 0.51 | 0.01 |
| Omega | 1.14 | 1.09 |
| Max Drawdown | -24.5% | -16.27% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-16 |
| Max DD Period End | 2023-12-12 | 2025-01-23 |
| Longest DD Days | 708 | 1165 |
| Volatility (ann.) | 17.19% | 7.68% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.23 |
| Skew | 0.33 | -0.3 |
| Kurtosis | 8.98 | 4.25 |
| Ulcer Performance Index | 8.86 | 2.5 |
| Risk-Adjusted Return | 11.91% | 4.21% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.87% | 0.41% |
| Avg. Loss | -0.94% | -0.48% |
| Win/Loss Ratio | 0.92 | 0.85 |
| Profit Ratio | 0.86 | 0.47 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.3% |
| Expected Yearly | 9.77% | 3.1% |
| Kelly Criterion | 3.06% | 3.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.78% |
| Expected Shortfall (cVaR) | -2.58% | -1.12% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.48 |
| Payoff Ratio | 0.92 | 0.85 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 0.99 |
| CPC Index | 0.56 | 0.52 |
| Tail Ratio | 1.0 | 0.91 |
| Outlier Win Ratio | 3.4 | 3.69 |
| Outlier Loss Ratio | 3.8 | 3.07 |
| MTD | 1.47% | -0.18% |
| 3M | 1.46% | -0.71% |
| 6M | 6.94% | -1.66% |
| YTD | 13.33% | 7.76% |
| 1Y | 13.43% | 8.6% |
| 3Y (ann.) | 20.78% | 10.94% |
| 5Y (ann.) | 12.86% | 4.81% |
| 10Y (ann.) | 11.91% | 3.75% |
| All-time (ann.) | 11.91% | 3.75% |
| Best Day | 10.5% | 3.31% |
| Worst Day | -5.85% | -2.65% |
| Best Month | 10.51% | 4.12% |
| Worst Month | -9.24% | -4.83% |
| Best Year | 26.18% | 13.22% |
| Worst Year | -18.18% | -11.31% |
| Avg. Drawdown | -1.94% | -1.32% |
| Avg. Drawdown Days | 21 | 46 |
| Recovery Factor | 2.58 | 1.21 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.43 | 0.08 |
| Avg. Up Month | 4.12% | 1.72% |
| Avg. Down Month | -3.83% | -1.88% |
| Win Days | 53.48% | 55.53% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.35 |
| Alpha | - | -0.0 |
| Correlation | - | 77.82% |
| Treynor Ratio | - | 57.79% |
| Year | SPY | TNMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.05 | -1.76 | - |
| 2022 | -18.18 | -11.31 | 0.62 | + |
| 2023 | 26.18 | 5.05 | 0.19 | - |
| 2024 | 24.89 | 8.96 | 0.36 | - |
| 2025 | 17.72 | 13.22 | 0.75 | - |
| 2026 | 13.33 | 7.76 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2025-01-23 | -16.27 | 1165 |
| 2025-02-19 | 2025-06-05 | -7.27 | 107 |
| 2026-03-03 | 2026-04-13 | -3.64 | 42 |
| 2026-05-14 | 2026-11-04 | -3.45 | 175 |
| 2026-01-30 | 2026-02-19 | -2.97 | 21 |
| 2025-10-21 | 2025-12-10 | -2.63 | 51 |
| 2025-10-09 | 2025-10-14 | -1.71 | 6 |
| 2025-07-24 | 2025-08-12 | -1.49 | 20 |
| 2025-12-29 | 2026-01-05 | -1.14 | 8 |
| 2025-12-12 | 2025-12-19 | -0.93 | 8 |