| Metric | SPY | RDMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 13.46% |
| CAGR﹪ | 18.02% | 13.58% |
| Sharpe | 1.04 | 0.86 |
| Prob. Sharpe Ratio | 84.73% | 80.22% |
| Smart Sharpe | 1.01 | 0.85 |
| Sortino | 1.51 | 1.24 |
| Smart Sortino | 1.47 | 1.23 |
| Sortino/√2 | 1.07 | 0.88 |
| Smart Sortino/√2 | 1.04 | 0.87 |
| Omega | 1.25 | 1.23 |
| Max Drawdown | -8.88% | -6.14% |
| Max DD Date | 2026-03-30 | 2026-01-20 |
| Max DD Period Start | 2026-01-28 | 2025-11-13 |
| Max DD Period End | 2026-04-13 | 2026-03-02 |
| Longest DD Days | 76 | 110 |
| Volatility (ann.) | 12.99% | 10.85% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 2.21 |
| Skew | -0.15 | -0.25 |
| Kurtosis | 1.05 | 1.62 |
| Ulcer Performance Index | 8.3 | 5.84 |
| Risk-Adjusted Return | 18.02% | 13.85% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.7% | 0.63% |
| Avg. Loss | -0.71% | -0.65% |
| Win/Loss Ratio | 0.99 | 0.97 |
| Profit Ratio | 0.94 | 0.78 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.98% |
| Expected Yearly | 8.57% | 6.52% |
| Kelly Criterion | 6.66% | 8.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.07% |
| Expected Shortfall (cVaR) | -1.72% | -1.47% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.23 |
| Gain/Pain (1M) | 2.6 | 3.44 |
| Payoff Ratio | 0.99 | 0.97 |
| Profit Factor | 1.25 | 1.23 |
| Common Sense Ratio | 1.24 | 1.3 |
| CPC Index | 0.66 | 0.65 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 2.88 | 3.35 |
| Outlier Loss Ratio | 3.19 | 3.16 |
| MTD | 1.08% | 0.77% |
| 3M | 3.82% | 0.25% |
| 6M | 19.85% | 9.11% |
| YTD | 14.3% | 13.08% |
| 1Y | 17.87% | 13.46% |
| 3Y (ann.) | 18.02% | 13.58% |
| 5Y (ann.) | 18.02% | 13.58% |
| 10Y (ann.) | 18.02% | 13.58% |
| All-time (ann.) | 18.02% | 13.58% |
| Best Day | 2.91% | 2.26% |
| Worst Day | -2.7% | -2.96% |
| Best Month | 10.51% | 7.86% |
| Worst Month | -4.94% | -2.27% |
| Best Year | 14.3% | 13.08% |
| Worst Year | 3.13% | 0.34% |
| Avg. Drawdown | -1.71% | -1.76% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.94 | 2.15 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.78 |
| Avg. Up Month | 3.22% | 1.7% |
| Avg. Down Month | -1.03% | -0.17% |
| Win Days | 53.6% | 54.69% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.47 |
| Alpha | - | 0.05 |
| Correlation | - | 56.1% |
| Treynor Ratio | - | 28.72% |
| Year | SPY | RDMAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.34 | 0.11 | - |
| 2026 | 14.30 | 13.08 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-13 | 2026-03-02 | -6.14 | 110 |
| 2026-03-13 | 2026-04-06 | -4.61 | 25 |
| 2025-10-09 | 2025-10-14 | -2.82 | 6 |
| 2026-06-04 | 2026-07-14 | -2.78 | 41 |
| 2026-04-28 | 2026-05-28 | -2.52 | 31 |
| 2025-10-21 | 2025-11-10 | -2.25 | 21 |
| 2026-08-14 | 2026-09-09 | -1.97 | 27 |
| 2026-07-16 | 2026-08-12 | -1.85 | 28 |
| 2026-09-11 | 2026-09-22 | -1.75 | 12 |
| 2025-10-01 | 2025-10-03 | -0.71 | 3 |