| Metric | SPY | RDMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 86.58% | 27.24% |
| CAGR﹪ | 13.36% | 4.96% |
| Sharpe | 0.59 | 0.15 |
| Prob. Sharpe Ratio | 90.85% | 63.09% |
| Smart Sharpe | 0.58 | 0.14 |
| Sortino | 0.86 | 0.21 |
| Smart Sortino | 0.83 | 0.19 |
| Sortino/√2 | 0.61 | 0.15 |
| Smart Sortino/√2 | 0.59 | 0.14 |
| Omega | 1.16 | 1.09 |
| 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.) | 17.2% | 11.02% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.25 |
| Skew | 0.32 | -0.63 |
| Kurtosis | 8.95 | 5.32 |
| Ulcer Performance Index | 10.24 | 2.85 |
| Risk-Adjusted Return | 13.36% | 5.12% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.79% | 0.57% |
| Avg. Loss | -0.84% | -0.6% |
| Win/Loss Ratio | 0.94 | 0.94 |
| Profit Ratio | 0.83 | 0.8 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.4% |
| Expected Yearly | 10.95% | 4.1% |
| Kelly Criterion | 5.11% | 1.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.12% |
| Expected Shortfall (cVaR) | -2.58% | -1.76% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.47 |
| Payoff Ratio | 0.94 | 0.94 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.15 |
| CPC Index | 0.59 | 0.53 |
| Tail Ratio | 1.01 | 1.06 |
| Outlier Win Ratio | 3.41 | 3.65 |
| Outlier Loss Ratio | 3.77 | 3.49 |
| MTD | 1.08% | 0.77% |
| 3M | 3.82% | 0.25% |
| 6M | 19.85% | 9.11% |
| YTD | 14.3% | 13.08% |
| 1Y | 17.78% | 14.77% |
| 3Y (ann.) | 24.86% | 8.12% |
| 5Y (ann.) | 13.06% | 4.09% |
| 10Y (ann.) | 13.36% | 4.96% |
| All-time (ann.) | 13.36% | 4.96% |
| Best Day | 10.5% | 3.49% |
| Worst Day | -5.85% | -4.76% |
| Best Month | 10.51% | 7.86% |
| Worst Month | -9.24% | -5.11% |
| Best Year | 26.18% | 13.08% |
| Worst Year | -18.18% | -3.3% |
| Avg. Drawdown | -1.89% | -2.5% |
| Avg. Drawdown Days | 20 | 64 |
| Recovery Factor | 2.85 | 1.35 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.47 | 0.11 |
| Avg. Up Month | 3.98% | 2.39% |
| Avg. Down Month | -3.47% | -2.7% |
| Win Days | 54.04% | 52.27% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.19 |
| Alpha | - | 0.03 |
| Correlation | - | 30.17% |
| Treynor Ratio | - | 140.98% |
| Year | SPY | RDMAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 2.00 | 0.27 | - |
| 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 | 14.30 | 13.08 | 0.91 | - |
| 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 |
| 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 |
| 2022-03-28 | 2022-04-12 | -2.15 | 16 |