| Metric | SPY | NTRL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 17.87% | 5.64% |
| CAGR﹪ | 18.02% | 5.68% |
| Sharpe | 1.04 | 0.25 |
| Prob. Sharpe Ratio | 84.73% | 59.79% |
| Smart Sharpe | 1.01 | 0.18 |
| Sortino | 1.51 | 0.38 |
| Smart Sortino | 1.47 | 0.27 |
| Sortino/√2 | 1.07 | 0.27 |
| Smart Sortino/√2 | 1.04 | 0.19 |
| Omega | 1.25 | 1.19 |
| Max Drawdown | -8.88% | -2.76% |
| Max DD Date | 2026-03-30 | 2026-08-14 |
| Max DD Period Start | 2026-01-28 | 2026-08-06 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 65 |
| Volatility (ann.) | 12.99% | 7.37% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.03 | 2.06 |
| Skew | -0.15 | 0.49 |
| Kurtosis | 1.05 | 4.73 |
| Ulcer Performance Index | 8.3 | 7.7 |
| Risk-Adjusted Return | 18.02% | 6.18% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.66% | 0.23% |
| Avg. Loss | -0.55% | -0.23% |
| Win/Loss Ratio | 1.2 | 0.99 |
| Profit Ratio | 0.94 | 0.71 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.42% |
| Expected Yearly | 8.57% | 2.78% |
| Kelly Criterion | 14.96% | 4.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.74% |
| Expected Shortfall (cVaR) | -1.72% | -1.09% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.19 |
| Gain/Pain (1M) | 2.6 | 1.99 |
| Payoff Ratio | 1.2 | 0.99 |
| Profit Factor | 1.25 | 1.19 |
| Common Sense Ratio | 1.24 | 1.44 |
| CPC Index | 0.8 | 0.62 |
| Tail Ratio | 0.99 | 1.21 |
| Outlier Win Ratio | 2.88 | 6.22 |
| Outlier Loss Ratio | 3.19 | 4.25 |
| MTD | 1.08% | -1.35% |
| 3M | 3.82% | 2.04% |
| 6M | 19.85% | 3.1% |
| YTD | 14.3% | 3.22% |
| 1Y | 17.87% | 5.64% |
| 3Y (ann.) | 18.02% | 5.68% |
| 5Y (ann.) | 18.02% | 5.68% |
| 10Y (ann.) | 18.02% | 5.68% |
| All-time (ann.) | 18.02% | 5.68% |
| Best Day | 2.91% | 1.8% |
| Worst Day | -2.7% | -1.77% |
| Best Month | 10.51% | 5.02% |
| Worst Month | -4.94% | -1.35% |
| Best Year | 14.3% | 3.22% |
| Worst Year | 3.13% | 2.34% |
| Avg. Drawdown | -1.71% | -0.56% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 2.09 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.88 |
| Avg. Up Month | 2.55% | 1.08% |
| Avg. Down Month | -0.95% | -0.64% |
| Win Days | 53.6% | 52.61% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.08 |
| Alpha | - | 0.07 |
| Correlation | - | -13.74% |
| Treynor Ratio | - | -72.27% |
| Year | SPY | NTRL | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.34 | 0.75 | - |
| 2026 | 14.30 | 3.22 | 0.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-06 | 2026-09-22 | -2.76 | 48 |
| 2026-07-21 | 2026-07-27 | -1.81 | 7 |
| 2026-06-24 | 2026-07-16 | -1.74 | 23 |
| 2026-07-30 | 2026-08-04 | -1.73 | 6 |
| 2025-10-31 | 2025-11-06 | -1.23 | 7 |
| 2026-04-07 | 2026-04-08 | -1.01 | 2 |
| 2026-01-26 | 2026-03-31 | -0.82 | 65 |
| 2025-11-10 | 2025-11-10 | -0.79 | 1 |
| 2026-06-15 | 2026-06-22 | -0.60 | 8 |
| 2025-10-03 | 2025-10-27 | -0.49 | 25 |