| Metric | SPY | RSSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 2.96% |
| CAGR﹪ | 14.51% | 2.98% |
| Sharpe | 0.83 | 0.16 |
| Prob. Sharpe Ratio | 79.61% | 56.44% |
| Smart Sharpe | 0.82 | 0.16 |
| Sortino | 1.22 | 0.22 |
| Smart Sortino | 1.2 | 0.22 |
| Sortino/√2 | 0.86 | 0.16 |
| Smart Sortino/√2 | 0.85 | 0.16 |
| Omega | 1.2 | 1.04 |
| Max Drawdown | -8.88% | -27.37% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-29 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 280 |
| Volatility (ann.) | 12.86% | 36.59% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 0.11 |
| Skew | -0.02 | -0.27 |
| Kurtosis | 0.78 | 0.83 |
| Ulcer Performance Index | 6.68 | 0.21 |
| Risk-Adjusted Return | 14.51% | 2.98% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.71% | 1.81% |
| Avg. Loss | -0.7% | -2.15% |
| Win/Loss Ratio | 1.02 | 0.84 |
| Profit Ratio | 1.02 | 0.62 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.22% |
| Expected Yearly | 6.95% | 1.47% |
| Kelly Criterion | 4.97% | 3.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -3.75% |
| Expected Shortfall (cVaR) | -1.66% | -5.17% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.04 |
| Gain/Pain (1M) | 1.83 | 0.23 |
| Payoff Ratio | 1.02 | 0.84 |
| Profit Factor | 1.2 | 1.04 |
| Common Sense Ratio | 1.19 | 1.01 |
| CPC Index | 0.64 | 0.49 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.84 | 3.12 |
| Outlier Loss Ratio | 3.01 | 3.15 |
| MTD | 1.47% | 5.95% |
| 3M | 1.46% | 8.13% |
| 6M | 6.94% | -3.1% |
| YTD | 13.33% | 2.27% |
| 1Y | 14.39% | 2.96% |
| 3Y (ann.) | 14.51% | 2.98% |
| 5Y (ann.) | 14.51% | 2.98% |
| 10Y (ann.) | 14.51% | 2.98% |
| All-time (ann.) | 14.51% | 2.98% |
| Best Day | 2.91% | 7.46% |
| Worst Day | -2.58% | -8.01% |
| Best Month | 10.51% | 18.15% |
| Worst Month | -4.94% | -15.64% |
| Best Year | 13.33% | 2.27% |
| Worst Year | 0.94% | 0.68% |
| Avg. Drawdown | -1.74% | -7.05% |
| Avg. Drawdown Days | 14 | 49 |
| Recovery Factor | 1.61 | 0.35 |
| Ulcer Index | 0.02 | 0.14 |
| Serenity Index | 0.94 | 0.06 |
| Avg. Up Month | 3.18% | 7.4% |
| Avg. Down Month | -1.61% | -8.64% |
| Win Days | 52.0% | 56.05% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.13 |
| Alpha | - | -0.21 |
| Correlation | - | 75.0% |
| Treynor Ratio | - | 1.39% |
| Year | SPY | RSSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.68 | 0.72 | - |
| 2026 | 13.33 | 2.27 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-11-04 | -27.37 | 280 |
| 2025-11-13 | 2025-12-22 | -10.66 | 40 |
| 2025-12-29 | 2026-01-05 | -4.95 | 8 |
| 2026-01-15 | 2026-01-21 | -2.60 | 7 |
| 2025-11-06 | 2025-11-07 | -2.26 | 2 |
| 2026-01-07 | 2026-01-09 | -1.15 | 3 |
| 2025-11-11 | 2025-11-11 | -0.34 | 1 |