| Metric | SPY | RSSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 33.39% | 45.5% |
| CAGR﹪ | 24.69% | 33.28% |
| Sharpe | 1.53 | 0.91 |
| Prob. Sharpe Ratio | 95.78% | 84.82% |
| Smart Sharpe | 1.45 | 0.87 |
| Sortino | 2.26 | 1.29 |
| Smart Sortino | 2.14 | 1.23 |
| Sortino/√2 | 1.6 | 0.91 |
| Smart Sortino/√2 | 1.52 | 0.87 |
| Omega | 1.36 | 1.19 |
| 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 | 2026-09-22 |
| Longest DD Days | 76 | 237 |
| Volatility (ann.) | 12.18% | 32.9% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.78 | 1.22 |
| Skew | -0.19 | -0.33 |
| Kurtosis | 1.24 | 1.41 |
| Ulcer Performance Index | 17.59 | 3.78 |
| Risk-Adjusted Return | 24.69% | 33.28% |
| Risk-Return Ratio | 0.12 | 0.07 |
| Avg. Return | 0.09% | 0.14% |
| Avg. Win | 0.68% | 1.67% |
| Avg. Loss | -0.64% | -1.84% |
| Win/Loss Ratio | 1.06 | 0.91 |
| Profit Ratio | 0.96 | 0.67 |
| Expected Daily | 0.09% | 0.11% |
| Expected Monthly | 1.82% | 2.37% |
| Expected Yearly | 15.5% | 20.63% |
| Kelly Criterion | 11.54% | 9.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.17% | -3.27% |
| Expected Shortfall (cVaR) | -1.6% | -4.47% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.36 | 0.19 |
| Gain/Pain (1M) | 4.49 | 1.4 |
| Payoff Ratio | 1.06 | 0.91 |
| Profit Factor | 1.36 | 1.19 |
| Common Sense Ratio | 1.33 | 1.11 |
| CPC Index | 0.79 | 0.61 |
| Tail Ratio | 0.97 | 0.93 |
| Outlier Win Ratio | 2.87 | 3.25 |
| Outlier Loss Ratio | 3.23 | 3.17 |
| MTD | 1.08% | 2.39% |
| 3M | 3.82% | 17.19% |
| 6M | 19.85% | 23.43% |
| YTD | 14.3% | 12.08% |
| 1Y | 17.78% | 18.14% |
| 3Y (ann.) | 24.69% | 33.28% |
| 5Y (ann.) | 24.69% | 33.28% |
| 10Y (ann.) | 24.69% | 33.28% |
| All-time (ann.) | 24.69% | 33.28% |
| Best Day | 2.91% | 7.46% |
| Worst Day | -2.7% | -8.01% |
| Best Month | 10.51% | 18.15% |
| Worst Month | -4.94% | -15.64% |
| Best Year | 16.71% | 29.82% |
| Worst Year | 14.3% | 12.08% |
| Avg. Drawdown | -1.3% | -4.02% |
| Avg. Drawdown Days | 10 | 22 |
| Recovery Factor | 3.35 | 1.63 |
| Ulcer Index | 0.02 | 0.12 |
| Serenity Index | 2.26 | 0.32 |
| Avg. Up Month | 3.32% | 6.96% |
| Avg. Down Month | -2.28% | -10.36% |
| Win Days | 54.41% | 56.75% |
| Win Month | 81.25% | 68.75% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.91 |
| Alpha | - | -0.09 |
| Correlation | - | 70.65% |
| Treynor Ratio | - | 23.86% |
| Year | SPY | RSSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 16.71 | 29.82 | 1.78 | + |
| 2026 | 14.30 | 12.08 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-09-22 | -27.37 | 237 |
| 2025-10-21 | 2026-01-09 | -14.20 | 81 |
| 2025-10-09 | 2025-10-17 | -5.08 | 9 |
| 2025-07-23 | 2025-08-12 | -4.57 | 21 |
| 2025-08-14 | 2025-08-29 | -4.12 | 16 |
| 2025-06-17 | 2025-06-25 | -2.79 | 9 |
| 2026-01-15 | 2026-01-21 | -2.60 | 7 |
| 2025-09-23 | 2025-09-26 | -2.23 | 4 |
| 2025-06-05 | 2025-06-06 | -1.96 | 2 |
| 2025-07-07 | 2025-07-09 | -1.82 | 3 |