| Metric | SPY | TNMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 207.58% | 42.13% |
| CAGR﹪ | 16.68% | 4.95% |
| Sharpe | 0.74 | 0.28 |
| Prob. Sharpe Ratio | 97.6% | 77.48% |
| Smart Sharpe | 0.64 | 0.28 |
| Sortino | 1.04 | 0.38 |
| Smart Sortino | 0.9 | 0.37 |
| Sortino/√2 | 0.74 | 0.27 |
| Smart Sortino/√2 | 0.64 | 0.26 |
| Omega | 1.19 | 1.12 |
| 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.) | 19.56% | 8.06% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.29 |
| Skew | -0.29 | -1.07 |
| Kurtosis | 13.84 | 11.15 |
| Ulcer Performance Index | 26.03 | 5.85 |
| Risk-Adjusted Return | 16.68% | 5.56% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.92% | 0.41% |
| Avg. Loss | -1.03% | -0.48% |
| Win/Loss Ratio | 0.89 | 0.85 |
| Profit Ratio | 0.77 | 0.45 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.4% |
| Expected Yearly | 15.08% | 4.49% |
| Kelly Criterion | 5.2% | 3.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.81% |
| Expected Shortfall (cVaR) | -3.2% | -1.3% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 1.17 | 0.67 |
| Payoff Ratio | 0.89 | 0.85 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.14 | 1.02 |
| CPC Index | 0.59 | 0.53 |
| Tail Ratio | 0.96 | 0.91 |
| Outlier Win Ratio | 3.69 | 3.72 |
| Outlier Loss Ratio | 4.1 | 3.21 |
| 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.) | 16.68% | 4.95% |
| All-time (ann.) | 16.68% | 4.95% |
| 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 | -1.78% | -1.29% |
| Avg. Drawdown Days | 16 | 38 |
| Recovery Factor | 3.75 | 2.17 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.18 |
| Avg. Up Month | 4.2% | 1.71% |
| Avg. Down Month | -4.36% | -2.17% |
| Win Days | 55.26% | 56.0% |
| Win Month | 67.05% | 64.77% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.32 |
| Alpha | - | -0.0 |
| Correlation | - | 78.32% |
| Treynor Ratio | - | 130.5% |
| 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 | 14.30 | 10.34 | 0.72 | - |
| 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 | 2026-09-22 | -3.36 | 132 |
| 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 |