| Metric | SPY | NTRL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | 7.02% |
| CAGR﹪ | 14.51% | 7.07% |
| Sharpe | 0.83 | 0.45 |
| Prob. Sharpe Ratio | 79.61% | 67.39% |
| Smart Sharpe | 0.82 | 0.34 |
| Sortino | 1.22 | 0.68 |
| Smart Sortino | 1.2 | 0.52 |
| Sortino/√2 | 0.86 | 0.48 |
| Smart Sortino/√2 | 0.85 | 0.37 |
| Omega | 1.2 | 1.21 |
| Max Drawdown | -8.88% | -3.1% |
| Max DD Date | 2026-03-30 | 2026-09-24 |
| Max DD Period Start | 2026-01-28 | 2026-08-06 |
| Max DD Period End | 2026-04-13 | 2026-10-07 |
| Longest DD Days | 76 | 65 |
| Volatility (ann.) | 12.86% | 7.66% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 2.28 |
| Skew | -0.02 | 0.24 |
| Kurtosis | 0.78 | 3.48 |
| Ulcer Performance Index | 6.68 | 8.03 |
| Risk-Adjusted Return | 14.51% | 7.52% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.63% | 0.26% |
| Avg. Loss | -0.56% | -0.25% |
| Win/Loss Ratio | 1.11 | 1.06 |
| Profit Ratio | 1.02 | 0.7 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.52% |
| Expected Yearly | 6.95% | 3.45% |
| Kelly Criterion | 8.7% | 9.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.77% |
| Expected Shortfall (cVaR) | -1.66% | -1.08% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.21 |
| Gain/Pain (1M) | 1.83 | 2.18 |
| Payoff Ratio | 1.11 | 1.06 |
| Profit Factor | 1.2 | 1.21 |
| Common Sense Ratio | 1.19 | 1.44 |
| CPC Index | 0.69 | 0.69 |
| Tail Ratio | 0.99 | 1.19 |
| Outlier Win Ratio | 2.84 | 5.61 |
| Outlier Loss Ratio | 3.01 | 4.26 |
| MTD | 1.47% | -1.47% |
| 3M | 1.46% | 1.29% |
| 6M | 6.94% | 4.56% |
| YTD | 13.33% | 5.68% |
| 1Y | 14.39% | 7.02% |
| 3Y (ann.) | 14.51% | 7.07% |
| 5Y (ann.) | 14.51% | 7.07% |
| 10Y (ann.) | 14.51% | 7.07% |
| All-time (ann.) | 14.51% | 7.07% |
| Best Day | 2.91% | 1.75% |
| Worst Day | -2.58% | -1.77% |
| Best Month | 10.51% | 5.02% |
| Worst Month | -4.94% | -1.47% |
| Best Year | 13.33% | 5.68% |
| Worst Year | 0.94% | 1.27% |
| Avg. Drawdown | -1.74% | -0.64% |
| Avg. Drawdown Days | 14 | 10 |
| Recovery Factor | 1.61 | 2.28 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.77 |
| Avg. Up Month | 3.04% | 1.26% |
| Avg. Down Month | -1.79% | -0.38% |
| Win Days | 52.0% | 53.65% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.07 |
| Alpha | - | 0.08 |
| Correlation | - | -11.69% |
| Treynor Ratio | - | -100.81% |
| Year | SPY | NTRL | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.27 | 1.35 | + |
| 2026 | 13.33 | 5.68 | 0.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-06 | 2026-10-07 | -3.10 | 63 |
| 2026-10-27 | 2026-11-04 | -2.81 | 9 |
| 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 |
| 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 |
| 2026-10-09 | 2026-10-12 | -0.57 | 4 |