| Metric | SPY | RSSX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 32.26% | 32.76% |
| CAGR﹪ | 21.62% | 21.94% |
| Sharpe | 1.34 | 0.64 |
| Prob. Sharpe Ratio | 94.37% | 77.74% |
| Smart Sharpe | 1.29 | 0.61 |
| Sortino | 1.96 | 0.9 |
| Smart Sortino | 1.89 | 0.86 |
| Sortino/√2 | 1.39 | 0.64 |
| Smart Sortino/√2 | 1.33 | 0.61 |
| Omega | 1.32 | 1.14 |
| 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.) | 12.11% | 32.89% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.43 | 0.8 |
| Skew | -0.19 | -0.34 |
| Kurtosis | 1.17 | 1.38 |
| Ulcer Performance Index | 17.24 | 2.71 |
| Risk-Adjusted Return | 21.62% | 21.94% |
| Risk-Return Ratio | 0.11 | 0.05 |
| Avg. Return | 0.08% | 0.1% |
| Avg. Win | 0.67% | 1.62% |
| Avg. Loss | -0.64% | -1.86% |
| Win/Loss Ratio | 1.04 | 0.87 |
| Profit Ratio | 0.97 | 0.64 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.57% | 1.59% |
| Expected Yearly | 15.0% | 15.22% |
| Kelly Criterion | 9.71% | 7.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.17% | -3.31% |
| Expected Shortfall (cVaR) | -1.59% | -4.47% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.32 | 0.14 |
| Gain/Pain (1M) | 3.73 | 0.83 |
| Payoff Ratio | 1.04 | 0.87 |
| Profit Factor | 1.32 | 1.14 |
| Common Sense Ratio | 1.28 | 1.05 |
| CPC Index | 0.74 | 0.56 |
| Tail Ratio | 0.97 | 0.92 |
| Outlier Win Ratio | 2.88 | 3.38 |
| Outlier Loss Ratio | 3.24 | 3.25 |
| MTD | 1.47% | 5.95% |
| 3M | 1.46% | 8.13% |
| 6M | 6.94% | -3.1% |
| YTD | 13.33% | 2.27% |
| 1Y | 13.43% | 1.15% |
| 3Y (ann.) | 21.62% | 21.94% |
| 5Y (ann.) | 21.62% | 21.94% |
| 10Y (ann.) | 21.62% | 21.94% |
| All-time (ann.) | 21.62% | 21.94% |
| 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 | 13.33% | 2.27% |
| Avg. Drawdown | -1.36% | -4.02% |
| Avg. Drawdown Days | 11 | 25 |
| Recovery Factor | 3.27 | 1.32 |
| Ulcer Index | 0.02 | 0.12 |
| Serenity Index | 2.25 | 0.26 |
| Avg. Up Month | 3.35% | 7.28% |
| Avg. Down Month | -1.61% | -8.64% |
| Win Days | 53.89% | 56.86% |
| Win Month | 72.22% | 61.11% |
| Win Quarter | 85.71% | 57.14% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.96 |
| Alpha | - | -0.15 |
| Correlation | - | 72.19% |
| Treynor Ratio | - | 16.71% |
| Year | SPY | RSSX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 16.71 | 29.82 | 1.78 | + |
| 2026 | 13.33 | 2.27 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-11-04 | -27.37 | 280 |
| 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 |