| Metric | SPY | RDMAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 204.97% | 50.88% |
| CAGR﹪ | 16.25% | 5.71% |
| Sharpe | 0.72 | 0.29 |
| Prob. Sharpe Ratio | 97.45% | 78.53% |
| Smart Sharpe | 0.63 | 0.28 |
| Sortino | 1.02 | 0.39 |
| Smart Sortino | 0.88 | 0.37 |
| Sortino/√2 | 0.72 | 0.28 |
| Smart Sortino/√2 | 0.62 | 0.26 |
| Omega | 1.18 | 1.1 |
| Max Drawdown | -33.72% | -22.0% |
| Max DD Date | 2020-03-23 | 2020-06-05 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2021-10-14 |
| Longest DD Days | 708 | 1250 |
| Volatility (ann.) | 19.45% | 11.38% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.26 |
| Skew | -0.29 | -0.82 |
| Kurtosis | 13.94 | 4.54 |
| Ulcer Performance Index | 25.91 | 5.01 |
| Risk-Adjusted Return | 16.25% | 5.83% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.85% | 0.57% |
| Avg. Loss | -0.94% | -0.65% |
| Win/Loss Ratio | 0.9 | 0.88 |
| Profit Ratio | 0.78 | 0.71 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.46% |
| Expected Yearly | 14.96% | 5.28% |
| Kelly Criterion | 5.39% | 1.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.15% |
| Expected Shortfall (cVaR) | -3.2% | -1.77% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.15 | 0.55 |
| Payoff Ratio | 0.9 | 0.88 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.13 | 1.06 |
| CPC Index | 0.59 | 0.52 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 3.34 |
| Outlier Loss Ratio | 4.12 | 3.46 |
| 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.) | 16.25% | 5.71% |
| All-time (ann.) | 16.25% | 5.71% |
| Best Day | 10.5% | 3.49% |
| Worst Day | -10.94% | -4.78% |
| Best Month | 12.7% | 7.86% |
| Worst Month | -12.49% | -6.69% |
| Best Year | 28.73% | 12.51% |
| Worst Year | -18.18% | -3.3% |
| Avg. Drawdown | -1.79% | -3.01% |
| Avg. Drawdown Days | 16 | 67 |
| Recovery Factor | 3.72 | 2.09 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.03 | 0.17 |
| Avg. Up Month | 4.3% | 2.41% |
| Avg. Down Month | -3.9% | -2.75% |
| Win Days | 55.15% | 54.11% |
| Win Month | 65.56% | 56.67% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.03 |
| Correlation | - | 35.09% |
| Treynor Ratio | - | 247.75% |
| Year | SPY | RDMAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 9.12 | 0.56 | - |
| 2020 | 18.33 | 0.38 | 0.02 | - |
| 2021 | 28.73 | 10.99 | 0.38 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2021-10-14 | -22.00 | 602 |
| 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 |
| 2019-11-29 | 2020-01-13 | -4.70 | 46 |
| 2026-03-13 | 2026-04-06 | -4.61 | 25 |
| 2026-09-11 | 2026-11-04 | -4.16 | 55 |
| 2019-10-01 | 2019-11-25 | -3.95 | 56 |
| 2019-07-05 | 2019-07-26 | -3.90 | 22 |
| 2022-05-05 | 2022-05-13 | -3.35 | 9 |