| Metric | SPY | NTRL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 86.58% | 17.61% |
| CAGR﹪ | 13.36% | 3.32% |
| Sharpe | 0.59 | -0.08 |
| Prob. Sharpe Ratio | 90.85% | 42.97% |
| Smart Sharpe | 0.58 | -0.06 |
| Sortino | 0.86 | -0.11 |
| Smart Sortino | 0.83 | -0.09 |
| Sortino/√2 | 0.61 | -0.08 |
| Smart Sortino/√2 | 0.59 | -0.06 |
| Omega | 1.16 | 1.14 |
| 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.) | 17.2% | 5.08% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.9 |
| Skew | 0.32 | 0.25 |
| Kurtosis | 8.95 | 9.3 |
| Ulcer Performance Index | 10.24 | 14.65 |
| Risk-Adjusted Return | 13.36% | 3.45% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.86% | 0.21% |
| Avg. Loss | -0.87% | -0.21% |
| Win/Loss Ratio | 0.98 | 0.97 |
| Profit Ratio | 0.83 | 0.74 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.27% |
| Expected Yearly | 10.95% | 2.74% |
| Kelly Criterion | 7.12% | 5.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.51% |
| Expected Shortfall (cVaR) | -2.58% | -0.84% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.14 |
| Gain/Pain (1M) | 0.87 | 1.16 |
| Payoff Ratio | 0.98 | 0.97 |
| Profit Factor | 1.16 | 1.14 |
| Common Sense Ratio | 1.17 | 1.2 |
| CPC Index | 0.61 | 0.59 |
| Tail Ratio | 1.01 | 1.06 |
| Outlier Win Ratio | 3.41 | 4.86 |
| Outlier Loss Ratio | 3.77 | 4.54 |
| MTD | 1.08% | -1.35% |
| 3M | 3.82% | 2.04% |
| 6M | 19.85% | 3.1% |
| YTD | 14.3% | 3.22% |
| 1Y | 17.78% | 6.04% |
| 3Y (ann.) | 24.86% | 4.12% |
| 5Y (ann.) | 13.06% | 3.4% |
| 10Y (ann.) | 13.36% | 3.32% |
| All-time (ann.) | 13.36% | 3.32% |
| 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% | -0.41% |
| Avg. Drawdown | -1.89% | -0.58% |
| Avg. Drawdown Days | 20 | 19 |
| Recovery Factor | 2.85 | 4.6 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.47 | 1.63 |
| Avg. Up Month | 4.08% | 0.87% |
| Avg. Down Month | -3.56% | -0.55% |
| Win Days | 54.04% | 53.22% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.04 |
| Alpha | - | 0.03 |
| Correlation | - | 14.29% |
| Treynor Ratio | - | 417.18% |
| Year | SPY | NTRL | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.41 | -0.05 | - |
| 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 | 14.30 | 3.22 | 0.23 | - |
| 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 | 2026-09-22 | -2.76 | 48 |
| 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 |
| 2022-11-02 | 2023-02-21 | -1.71 | 112 |