| Metric | QQQ | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 11.54% | 3.73% |
| CAGR﹪ | 11.64% | 3.76% |
| Sharpe | 0.46 | 0.25 |
| Prob. Sharpe Ratio | 67.71% | 59.89% |
| Smart Sharpe | 0.46 | 0.25 |
| Sortino | 0.66 | 0.34 |
| Smart Sortino | 0.65 | 0.34 |
| Sortino/√2 | 0.47 | 0.24 |
| Smart Sortino/√2 | 0.46 | 0.24 |
| Omega | 1.11 | 1.05 |
| Max Drawdown | -11.72% | -35.56% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-29 | 2026-06-23 |
| Max DD Period End | 2026-04-14 | 2026-11-04 |
| Longest DD Days | 111 | 135 |
| Volatility (ann.) | 20.28% | 50.26% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.99 | 0.11 |
| Skew | -0.12 | -0.28 |
| Kurtosis | 0.77 | 0.25 |
| Ulcer Performance Index | 2.8 | 0.3 |
| Risk-Adjusted Return | 11.64% | 3.76% |
| Risk-Return Ratio | 0.04 | 0.02 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 1.02% | 2.41% |
| Avg. Loss | -1.13% | -3.06% |
| Win/Loss Ratio | 0.9 | 0.79 |
| Profit Ratio | 0.89 | 0.57 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.84% | 0.28% |
| Expected Yearly | 5.61% | 1.85% |
| Kelly Criterion | 0.44% | 3.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.05% | -5.14% |
| Expected Shortfall (cVaR) | -2.98% | -6.31% |
| Max Consecutive Wins | 13 | 6 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.11 | 0.05 |
| Gain/Pain (1M) | 0.61 | 0.26 |
| Payoff Ratio | 0.9 | 0.79 |
| Profit Factor | 1.11 | 1.05 |
| Common Sense Ratio | 1.19 | 0.79 |
| CPC Index | 0.53 | 0.48 |
| Tail Ratio | 1.07 | 0.75 |
| Outlier Win Ratio | 3.42 | 3.17 |
| Outlier Loss Ratio | 3.13 | 2.63 |
| MTD | 0.21% | -7.67% |
| 3M | -1.06% | -19.33% |
| 6M | 2.86% | -18.53% |
| YTD | 13.02% | 9.19% |
| 1Y | 11.54% | 3.73% |
| 3Y (ann.) | 11.64% | 3.76% |
| 5Y (ann.) | 11.64% | 3.76% |
| 10Y (ann.) | 11.64% | 3.76% |
| All-time (ann.) | 11.64% | 3.76% |
| Best Day | 3.4% | 10.54% |
| Worst Day | -4.8% | -8.4% |
| Best Month | 15.69% | 32.56% |
| Worst Month | -6.66% | -22.67% |
| Best Year | 13.02% | 9.19% |
| Worst Year | -1.31% | -5.0% |
| Avg. Drawdown | -3.21% | -7.14% |
| Avg. Drawdown Days | 19 | 21 |
| Recovery Factor | 1.11 | 0.46 |
| Ulcer Index | 0.04 | 0.12 |
| Serenity Index | 0.44 | 0.15 |
| Avg. Up Month | 7.0% | 14.34% |
| Avg. Down Month | -4.68% | -13.62% |
| Win Days | 52.8% | 57.43% |
| Win Month | 46.15% | 61.54% |
| Win Quarter | 40.0% | 20.0% |
| Win Year | 50.0% | 50.0% |
| Beta | - | 2.13 |
| Alpha | - | -0.11 |
| Correlation | - | 85.88% |
| Treynor Ratio | - | 1.75% |
| Year | QQQ | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -1.31 | -5.00 | 3.81 | - |
| 2026 | 13.02 | 9.19 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -35.56 | 135 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2025-11-11 | 2026-01-12 | -15.75 | 63 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2026-05-15 | 2026-05-22 | -7.10 | 8 |
| 2026-05-07 | 2026-05-08 | -4.09 | 2 |
| 2025-11-06 | 2025-11-07 | -3.97 | 2 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |
| 2026-01-20 | 2026-01-26 | -1.96 | 7 |