| Metric | QQQ | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 25.54% | 48.07% |
| CAGR﹪ | 25.77% | 48.54% |
| Sharpe | 1.05 | 0.98 |
| Prob. Sharpe Ratio | 85.08% | 83.34% |
| Smart Sharpe | 1.01 | 0.94 |
| Sortino | 1.54 | 1.38 |
| Smart Sortino | 1.49 | 1.33 |
| Sortino/√2 | 1.09 | 0.98 |
| Smart Sortino/√2 | 1.05 | 0.94 |
| Omega | 1.23 | 1.19 |
| Max Drawdown | -11.96% | -31.29% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2025-10-30 | 2026-06-23 |
| Max DD Period End | 2026-04-14 | 2026-09-22 |
| Longest DD Days | 167 | 92 |
| Volatility (ann.) | 19.95% | 48.2% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.15 | 1.55 |
| Skew | -0.13 | -0.23 |
| Kurtosis | 0.87 | 0.39 |
| Ulcer Performance Index | 6.35 | 4.67 |
| Risk-Adjusted Return | 25.77% | 48.54% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.1% | 0.2% |
| Avg. Win | 1.01% | 2.34% |
| Avg. Loss | -1.1% | -2.92% |
| Win/Loss Ratio | 0.92 | 0.8 |
| Profit Ratio | 0.86 | 0.55 |
| Expected Daily | 0.09% | 0.16% |
| Expected Monthly | 1.76% | 3.07% |
| Expected Yearly | 12.04% | 21.69% |
| Kelly Criterion | 5.09% | 9.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -4.79% |
| Expected Shortfall (cVaR) | -2.6% | -6.05% |
| Max Consecutive Wins | 13 | 6 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.23 | 0.19 |
| Gain/Pain (1M) | 1.59 | 1.38 |
| Payoff Ratio | 0.92 | 0.8 |
| Profit Factor | 1.23 | 1.19 |
| Common Sense Ratio | 1.36 | 0.93 |
| CPC Index | 0.62 | 0.57 |
| Tail Ratio | 1.11 | 0.78 |
| Outlier Win Ratio | 3.41 | 3.22 |
| Outlier Loss Ratio | 2.99 | 2.51 |
| MTD | 4.39% | 13.54% |
| 3M | 1.14% | -9.07% |
| 6M | 28.85% | 48.98% |
| YTD | 22.09% | 51.22% |
| 1Y | 25.54% | 48.07% |
| 3Y (ann.) | 25.77% | 48.54% |
| 5Y (ann.) | 25.77% | 48.54% |
| 10Y (ann.) | 25.77% | 48.54% |
| All-time (ann.) | 25.77% | 48.54% |
| Best Day | 3.4% | 10.54% |
| Worst Day | -4.8% | -8.4% |
| Best Month | 15.69% | 32.56% |
| Worst Month | -6.57% | -22.67% |
| Best Year | 22.09% | 51.22% |
| Worst Year | 2.83% | -2.08% |
| Avg. Drawdown | -2.37% | -6.94% |
| Avg. Drawdown Days | 21 | 19 |
| Recovery Factor | 2.07 | 1.62 |
| Ulcer Index | 0.04 | 0.1 |
| Serenity Index | 0.88 | 0.68 |
| Avg. Up Month | 6.81% | 13.54% |
| Avg. Down Month | -4.32% | -12.21% |
| Win Days | 54.4% | 59.6% |
| Win Month | 53.85% | 69.23% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 2.08 |
| Alpha | - | -0.01 |
| Correlation | - | 85.94% |
| Treynor Ratio | - | 23.16% |
| Year | QQQ | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.83 | -2.08 | -0.74 | - |
| 2026 | 22.09 | 51.22 | 2.32 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -31.29 | 92 |
| 2025-10-30 | 2026-01-27 | -17.63 | 90 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2025-10-10 | 2025-10-24 | -8.10 | 15 |
| 2026-05-15 | 2026-05-22 | -7.10 | 8 |
| 2026-05-07 | 2026-05-08 | -4.09 | 2 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |
| 2025-09-24 | 2025-10-01 | -3.80 | 8 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |