| Metric | SPY | RSSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 23.63% |
| CAGR﹪ | 40.67% | 52.84% |
| Sharpe | 2.32 | 1.27 |
| Prob. Sharpe Ratio | 95.04% | 81.45% |
| Smart Sharpe | 2.3 | 1.22 |
| Sortino | 3.78 | 1.92 |
| Smart Sortino | 3.75 | 1.84 |
| Sortino/√2 | 2.67 | 1.36 |
| Smart Sortino/√2 | 2.65 | 1.3 |
| Omega | 1.54 | 1.25 |
| Max Drawdown | -4.49% | -20.63% |
| Max DD Date | 2026-06-10 | 2026-06-24 |
| Max DD Period Start | 2026-06-03 | 2026-05-12 |
| Max DD Period End | 2026-07-31 | 2026-08-21 |
| Longest DD Days | 59 | 102 |
| Volatility (ann.) | 13.55% | 35.44% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 9.05 | 2.56 |
| Skew | 0.1 | -0.07 |
| Kurtosis | 1.12 | 0.15 |
| Ulcer Performance Index | 11.86 | 2.3 |
| Risk-Adjusted Return | 40.67% | 52.84% |
| Risk-Return Ratio | 0.16 | 0.09 |
| Avg. Return | 0.14% | 0.19% |
| Avg. Win | 0.82% | 1.97% |
| Avg. Loss | -0.65% | -1.97% |
| Win/Loss Ratio | 1.27 | 1.0 |
| Profit Ratio | 1.12 | 0.8 |
| Expected Daily | 0.14% | 0.17% |
| Expected Monthly | 2.47% | 3.08% |
| Expected Yearly | 18.6% | 23.63% |
| Kelly Criterion | 17.82% | 10.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -3.48% |
| Expected Shortfall (cVaR) | -1.77% | -4.23% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.25 |
| Gain/Pain (1M) | 10.92 | 1.51 |
| Payoff Ratio | 1.27 | 1.0 |
| Profit Factor | 1.54 | 1.25 |
| Common Sense Ratio | 2.01 | 1.35 |
| CPC Index | 1.06 | 0.69 |
| Tail Ratio | 1.3 | 1.09 |
| Outlier Win Ratio | 3.21 | 2.83 |
| Outlier Loss Ratio | 3.16 | 2.79 |
| MTD | 1.08% | 2.39% |
| 3M | 3.82% | 17.19% |
| 6M | 18.6% | 23.63% |
| YTD | 18.6% | 23.63% |
| 1Y | 18.6% | 23.63% |
| 3Y (ann.) | 40.67% | 52.84% |
| 5Y (ann.) | 40.67% | 52.84% |
| 10Y (ann.) | 40.67% | 52.84% |
| All-time (ann.) | 40.67% | 52.84% |
| Best Day | 2.91% | 5.88% |
| Worst Day | -2.58% | -6.59% |
| Best Month | 10.51% | 18.15% |
| Worst Month | -1.03% | -15.64% |
| Best Year | 18.6% | 23.63% |
| Worst Year | 18.6% | 23.63% |
| Avg. Drawdown | -1.13% | -5.76% |
| Avg. Drawdown Days | 9 | 20 |
| Recovery Factor | 3.9 | 1.18 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 2.75 | 0.27 |
| Avg. Up Month | 3.91% | 7.82% |
| Avg. Down Month | -1.03% | -15.64% |
| Win Days | 53.97% | 55.2% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.05 |
| Alpha | - | -0.23 |
| Correlation | - | 78.34% |
| Treynor Ratio | - | 11.53% |
| Year | SPY | RSSX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 23.63 | 1.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-12 | 2026-08-21 | -20.63 | 102 |
| 2026-08-28 | 2026-09-22 | -8.84 | 26 |
| 2026-03-26 | 2026-03-31 | -5.96 | 6 |
| 2026-04-20 | 2026-05-05 | -5.21 | 16 |
| 2026-04-02 | 2026-04-07 | -2.09 | 6 |
| 2026-08-26 | 2026-08-26 | -1.25 | 1 |
| 2026-03-24 | 2026-03-24 | -1.23 | 1 |
| 2026-05-07 | 2026-05-07 | -0.87 | 1 |