| Metric | SPY | RDMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 74.99% | 18.34% |
| CAGR﹪ | 11.91% | 3.45% |
| Sharpe | 0.52 | 0.01 |
| Prob. Sharpe Ratio | 87.6% | 51.05% |
| Smart Sharpe | 0.5 | 0.01 |
| Sortino | 0.74 | 0.02 |
| Smart Sortino | 0.72 | 0.02 |
| Sortino/√2 | 0.53 | 0.01 |
| Smart Sortino/√2 | 0.51 | 0.01 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -24.5% | -20.13% |
| Max DD Date | 2022-10-12 | 2023-03-24 |
| Max DD Period Start | 2022-01-04 | 2022-05-17 |
| Max DD Period End | 2023-12-12 | 2025-10-17 |
| Longest DD Days | 708 | 1250 |
| Volatility (ann.) | 17.19% | 10.96% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.17 |
| Skew | 0.33 | -0.62 |
| Kurtosis | 8.98 | 5.43 |
| Ulcer Performance Index | 8.86 | 1.92 |
| Risk-Adjusted Return | 11.91% | 3.55% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.79% | 0.56% |
| Avg. Loss | -0.84% | -0.6% |
| Win/Loss Ratio | 0.95 | 0.94 |
| Profit Ratio | 0.86 | 0.82 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.28% |
| Expected Yearly | 9.77% | 2.85% |
| Kelly Criterion | 4.38% | 0.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.12% |
| Expected Shortfall (cVaR) | -2.58% | -1.77% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | 0.79 | 0.34 |
| Payoff Ratio | 0.95 | 0.94 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.15 | 1.14 |
| CPC Index | 0.58 | 0.52 |
| Tail Ratio | 1.0 | 1.07 |
| Outlier Win Ratio | 3.4 | 3.67 |
| Outlier Loss Ratio | 3.8 | 3.52 |
| MTD | 1.47% | 0.64% |
| 3M | 1.46% | 0.6% |
| 6M | 6.94% | 0.51% |
| YTD | 13.33% | 12.51% |
| 1Y | 13.43% | 10.67% |
| 3Y (ann.) | 20.78% | 8.24% |
| 5Y (ann.) | 12.86% | 4.46% |
| 10Y (ann.) | 11.91% | 3.45% |
| All-time (ann.) | 11.91% | 3.45% |
| Best Day | 10.5% | 3.49% |
| Worst Day | -5.85% | -4.76% |
| Best Month | 10.51% | 7.86% |
| Worst Month | -9.24% | -5.68% |
| Best Year | 26.18% | 12.51% |
| Worst Year | -18.18% | -4.64% |
| Avg. Drawdown | -1.94% | -3.41% |
| Avg. Drawdown Days | 21 | 92 |
| Recovery Factor | 2.58 | 0.99 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.43 | 0.08 |
| Avg. Up Month | 3.88% | 2.25% |
| Avg. Down Month | -3.24% | -2.61% |
| Win Days | 53.48% | 51.69% |
| Win Month | 62.3% | 54.1% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.02 |
| Correlation | - | 30.21% |
| Treynor Ratio | - | 95.19% |
| Year | SPY | RDMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -4.64 | -2.69 | - |
| 2022 | -18.18 | -3.30 | 0.18 | + |
| 2023 | 26.18 | -0.71 | -0.03 | - |
| 2024 | 24.89 | 9.65 | 0.39 | - |
| 2025 | 17.72 | 4.78 | 0.27 | - |
| 2026 | 13.33 | 12.51 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-17 | 2025-10-17 | -20.13 | 1250 |
| 2021-11-16 | 2022-03-07 | -7.41 | 112 |
| 2025-11-13 | 2026-03-02 | -6.14 | 110 |
| 2026-03-13 | 2026-04-06 | -4.61 | 25 |
| 2026-09-11 | 2026-11-04 | -4.16 | 55 |
| 2022-05-05 | 2022-05-13 | -3.35 | 9 |
| 2022-03-09 | 2022-03-18 | -2.79 | 10 |
| 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 |