| Metric | SPY | TNMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 204.97% | 38.8% |
| CAGR﹪ | 16.25% | 4.53% |
| Sharpe | 0.72 | 0.23 |
| Prob. Sharpe Ratio | 97.45% | 73.6% |
| Smart Sharpe | 0.63 | 0.23 |
| Sortino | 1.02 | 0.31 |
| Smart Sortino | 0.88 | 0.3 |
| Sortino/√2 | 0.72 | 0.22 |
| Smart Sortino/√2 | 0.62 | 0.22 |
| Omega | 1.18 | 1.11 |
| Max Drawdown | -33.72% | -17.29% |
| Max DD Date | 2020-03-23 | 2020-03-19 |
| Max DD Period Start | 2020-02-20 | 2020-01-21 |
| Max DD Period End | 2020-08-07 | 2020-11-19 |
| Longest DD Days | 708 | 1335 |
| Volatility (ann.) | 19.45% | 8.03% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.26 |
| Skew | -0.29 | -1.07 |
| Kurtosis | 13.94 | 11.12 |
| Ulcer Performance Index | 25.91 | 5.43 |
| Risk-Adjusted Return | 16.25% | 5.09% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.91% | 0.4% |
| Avg. Loss | -1.02% | -0.48% |
| Win/Loss Ratio | 0.89 | 0.84 |
| Profit Ratio | 0.78 | 0.45 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.36% |
| Expected Yearly | 14.96% | 4.18% |
| Kelly Criterion | 4.92% | 3.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.81% |
| Expected Shortfall (cVaR) | -3.2% | -1.29% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.61 |
| Payoff Ratio | 0.89 | 0.84 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.01 |
| CPC Index | 0.58 | 0.52 |
| Tail Ratio | 0.96 | 0.9 |
| Outlier Win Ratio | 3.69 | 3.73 |
| Outlier Loss Ratio | 4.12 | 3.21 |
| 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.) | 16.25% | 4.53% |
| All-time (ann.) | 16.25% | 4.53% |
| Best Day | 10.5% | 3.31% |
| Worst Day | -10.94% | -4.38% |
| Best Month | 12.7% | 4.94% |
| Worst Month | -12.49% | -8.71% |
| Best Year | 28.73% | 13.22% |
| Worst Year | -18.18% | -11.31% |
| Avg. Drawdown | -1.79% | -1.29% |
| Avg. Drawdown Days | 16 | 39 |
| Recovery Factor | 3.72 | 2.03 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.17 |
| Avg. Up Month | 4.26% | 1.74% |
| Avg. Down Month | -4.08% | -2.07% |
| Win Days | 55.15% | 55.96% |
| Win Month | 65.56% | 62.22% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.32 |
| Alpha | - | -0.01 |
| Correlation | - | 78.31% |
| Treynor Ratio | - | 119.94% |
| Year | SPY | TNMAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.38 | 0.27 | - |
| 2020 | 18.33 | 4.28 | 0.23 | - |
| 2021 | 28.73 | 2.96 | 0.10 | - |
| 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 |
|---|---|---|---|
| 2020-01-21 | 2020-11-19 | -17.29 | 304 |
| 2021-06-11 | 2025-02-04 | -16.49 | 1335 |
| 2025-02-19 | 2025-06-03 | -7.27 | 105 |
| 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 |
| 2021-02-25 | 2021-04-22 | -2.52 | 57 |
| 2025-10-09 | 2025-10-14 | -1.71 | 6 |
| 2021-05-10 | 2021-05-26 | -1.69 | 17 |