| Metric | SPY | TNMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 86.58% | 24.39% |
| CAGR﹪ | 13.36% | 4.49% |
| Sharpe | 0.59 | 0.12 |
| Prob. Sharpe Ratio | 90.85% | 60.18% |
| Smart Sharpe | 0.58 | 0.11 |
| Sortino | 0.86 | 0.16 |
| Smart Sortino | 0.83 | 0.16 |
| Sortino/√2 | 0.61 | 0.11 |
| Smart Sortino/√2 | 0.59 | 0.11 |
| Omega | 1.16 | 1.11 |
| 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.) | 17.2% | 7.67% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.28 |
| Skew | 0.32 | -0.29 |
| Kurtosis | 8.95 | 4.24 |
| Ulcer Performance Index | 10.24 | 3.04 |
| Risk-Adjusted Return | 13.36% | 4.99% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.88% | 0.41% |
| Avg. Loss | -0.95% | -0.48% |
| Win/Loss Ratio | 0.92 | 0.87 |
| Profit Ratio | 0.83 | 0.48 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.36% |
| Expected Yearly | 10.95% | 3.7% |
| Kelly Criterion | 4.3% | 3.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.78% |
| Expected Shortfall (cVaR) | -2.58% | -1.13% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.11 |
| Gain/Pain (1M) | 0.87 | 0.59 |
| Payoff Ratio | 0.92 | 0.87 |
| Profit Factor | 1.16 | 1.11 |
| Common Sense Ratio | 1.17 | 1.02 |
| CPC Index | 0.58 | 0.53 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.41 | 3.63 |
| Outlier Loss Ratio | 3.77 | 3.1 |
| MTD | 1.08% | 0.35% |
| 3M | 3.82% | 1.14% |
| 6M | 19.85% | 5.59% |
| YTD | 14.3% | 10.34% |
| 1Y | 17.78% | 13.47% |
| 3Y (ann.) | 24.86% | 12.63% |
| 5Y (ann.) | 13.06% | 4.3% |
| 10Y (ann.) | 13.36% | 4.49% |
| All-time (ann.) | 13.36% | 4.49% |
| 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 | -1.89% | -1.24% |
| Avg. Drawdown Days | 20 | 41 |
| Recovery Factor | 2.85 | 1.43 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.47 | 0.09 |
| Avg. Up Month | 4.12% | 1.69% |
| Avg. Down Month | -4.03% | -1.92% |
| Win Days | 54.04% | 55.42% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.35 |
| Alpha | - | -0.0 |
| Correlation | - | 77.59% |
| Treynor Ratio | - | 70.46% |
| Year | SPY | TNMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.92 | -0.25 | - |
| 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 | 14.30 | 10.34 | 0.72 | - |
| 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 | 2026-09-22 | -3.36 | 132 |
| 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 |
| 2021-09-24 | 2021-10-12 | -1.25 | 19 |
| 2025-12-29 | 2026-01-05 | -1.14 | 8 |