| Metric | SPY | NTRL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 74.99% | 20.9% |
| CAGR﹪ | 11.91% | 3.89% |
| Sharpe | 0.52 | 0.02 |
| Prob. Sharpe Ratio | 87.6% | 51.6% |
| Smart Sharpe | 0.5 | 0.01 |
| Sortino | 0.74 | 0.03 |
| Smart Sortino | 0.72 | 0.02 |
| Sortino/√2 | 0.53 | 0.02 |
| Smart Sortino/√2 | 0.51 | 0.01 |
| Omega | 1.14 | 1.16 |
| Max Drawdown | -24.5% | -3.67% |
| Max DD Date | 2022-10-12 | 2024-04-25 |
| Max DD Period Start | 2022-01-04 | 2023-12-22 |
| Max DD Period End | 2023-12-12 | 2024-12-23 |
| Longest DD Days | 708 | 368 |
| Volatility (ann.) | 17.19% | 5.24% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.06 |
| Skew | 0.33 | 0.21 |
| Kurtosis | 8.98 | 8.5 |
| Ulcer Performance Index | 8.86 | 17.35 |
| Risk-Adjusted Return | 11.91% | 4.05% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.85% | 0.22% |
| Avg. Loss | -0.88% | -0.22% |
| Win/Loss Ratio | 0.97 | 0.99 |
| Profit Ratio | 0.86 | 0.75 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.31% |
| Expected Yearly | 9.77% | 3.21% |
| Kelly Criterion | 5.66% | 6.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.53% |
| Expected Shortfall (cVaR) | -2.58% | -0.85% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.16 |
| Gain/Pain (1M) | 0.79 | 1.36 |
| Payoff Ratio | 0.97 | 0.99 |
| Profit Factor | 1.14 | 1.16 |
| Common Sense Ratio | 1.15 | 1.25 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 1.0 | 1.08 |
| Outlier Win Ratio | 3.4 | 5.03 |
| Outlier Loss Ratio | 3.8 | 4.54 |
| MTD | 1.47% | -1.47% |
| 3M | 1.46% | 1.29% |
| 6M | 6.94% | 4.56% |
| YTD | 13.33% | 5.68% |
| 1Y | 13.43% | 7.69% |
| 3Y (ann.) | 20.78% | 4.8% |
| 5Y (ann.) | 12.86% | 3.97% |
| 10Y (ann.) | 11.91% | 3.89% |
| All-time (ann.) | 11.91% | 3.89% |
| Best Day | 10.5% | 2.22% |
| Worst Day | -5.85% | -2.25% |
| Best Month | 10.51% | 5.02% |
| Worst Month | -9.24% | -2.23% |
| Best Year | 26.18% | 7.02% |
| Worst Year | -18.18% | -0.0% |
| Avg. Drawdown | -1.94% | -0.61% |
| Avg. Drawdown Days | 21 | 18 |
| Recovery Factor | 2.58 | 5.36 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 1.95 |
| Avg. Up Month | 4.08% | 0.87% |
| Avg. Down Month | -3.6% | -0.5% |
| Win Days | 53.48% | 53.34% |
| Win Month | 62.3% | 63.93% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.04 |
| Alpha | - | 0.03 |
| Correlation | - | 13.33% |
| Treynor Ratio | - | 514.26% |
| Year | SPY | NTRL | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.00 | -0.00 | - |
| 2022 | -18.18 | 3.89 | -0.21 | + |
| 2023 | 26.18 | 2.16 | 0.08 | - |
| 2024 | 24.89 | 0.73 | 0.03 | - |
| 2025 | 17.72 | 7.02 | 0.40 | - |
| 2026 | 13.33 | 5.68 | 0.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-12-22 | 2024-12-23 | -3.67 | 368 |
| 2023-02-24 | 2023-08-25 | -3.45 | 183 |
| 2022-04-21 | 2022-08-09 | -3.19 | 111 |
| 2026-08-06 | 2026-10-07 | -3.10 | 63 |
| 2026-10-27 | 2026-11-04 | -2.81 | 9 |
| 2025-07-15 | 2025-07-21 | -2.43 | 7 |
| 2026-07-21 | 2026-07-27 | -1.81 | 7 |
| 2025-03-03 | 2025-04-25 | -1.80 | 54 |
| 2026-06-24 | 2026-07-16 | -1.74 | 23 |
| 2026-07-30 | 2026-08-04 | -1.73 | 6 |