| Metric | SPY | NTRL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 153.36% | 18.37% |
| CAGR﹪ | 14.81% | 2.54% |
| Sharpe | 0.64 | -0.04 |
| Prob. Sharpe Ratio | 95.15% | 46.3% |
| Smart Sharpe | 0.55 | -0.03 |
| Sortino | 0.91 | -0.05 |
| Smart Sortino | 0.78 | -0.04 |
| Sortino/√2 | 0.64 | -0.03 |
| Smart Sortino/√2 | 0.55 | -0.02 |
| Omega | 1.16 | 1.11 |
| Max Drawdown | -33.72% | -11.99% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2022-04-19 |
| Longest DD Days | 708 | 786 |
| Volatility (ann.) | 20.03% | 6.07% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.44 | 0.21 |
| Skew | -0.26 | -2.98 |
| Kurtosis | 13.47 | 59.06 |
| Ulcer Performance Index | 18.53 | 9.97 |
| Risk-Adjusted Return | 14.81% | 2.62% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.93% | 0.21% |
| Avg. Loss | -1.0% | -0.23% |
| Win/Loss Ratio | 0.93 | 0.91 |
| Profit Ratio | 0.8 | 0.77 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.14% | 0.21% |
| Expected Yearly | 14.2% | 2.44% |
| Kelly Criterion | 5.97% | 0.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.01% | -0.62% |
| Expected Shortfall (cVaR) | -3.32% | -1.17% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.16 | 0.11 |
| Gain/Pain (1M) | 0.96 | 0.78 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 1.16 | 1.11 |
| Common Sense Ratio | 1.13 | 1.22 |
| CPC Index | 0.59 | 0.53 |
| Tail Ratio | 0.97 | 1.1 |
| Outlier Win Ratio | 3.73 | 5.72 |
| Outlier Loss Ratio | 4.06 | 4.66 |
| 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.) | 14.81% | 2.54% |
| All-time (ann.) | 14.81% | 2.54% |
| Best Day | 10.5% | 2.39% |
| Worst Day | -10.94% | -6.45% |
| Best Month | 12.7% | 5.02% |
| Worst Month | -12.49% | -3.78% |
| Best Year | 28.73% | 7.02% |
| Worst Year | -18.18% | -2.35% |
| Avg. Drawdown | -1.91% | -0.79% |
| Avg. Drawdown Days | 17 | 29 |
| Recovery Factor | 3.16 | 1.51 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.83 | 0.8 |
| Avg. Up Month | 4.5% | 0.89% |
| Avg. Down Month | -4.44% | -0.68% |
| Win Days | 54.66% | 52.84% |
| Win Month | 64.63% | 59.76% |
| Win Quarter | 75.0% | 71.43% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 0.1 |
| Alpha | - | 0.01 |
| Correlation | - | 34.1% |
| Treynor Ratio | - | 177.72% |
| Year | SPY | NTRL | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.42 | -2.35 | -0.16 | - |
| 2021 | 28.73 | 0.26 | 0.01 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2022-04-19 | -11.99 | 786 |
| 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 |