| Metric | QQQ | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 78.86% | 123.96% |
| CAGR﹪ | 12.41% | 17.6% |
| Sharpe | 0.45 | 0.51 |
| Prob. Sharpe Ratio | 84.5% | 87.03% |
| Smart Sharpe | 0.44 | 0.5 |
| Sortino | 0.65 | 0.71 |
| Smart Sortino | 0.63 | 0.71 |
| Sortino/√2 | 0.46 | 0.5 |
| Smart Sortino/√2 | 0.45 | 0.5 |
| Omega | 1.11 | 1.11 |
| Max Drawdown | -35.12% | -50.65% |
| Max DD Date | 2022-11-03 | 2022-10-14 |
| Max DD Period Start | 2021-12-28 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2024-02-08 |
| Longest DD Days | 715 | 814 |
| Volatility (ann.) | 23.11% | 40.91% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.35 | 0.35 |
| Skew | 0.19 | -0.14 |
| Kurtosis | 4.75 | 1.92 |
| Ulcer Performance Index | 5.79 | 5.15 |
| Risk-Adjusted Return | 12.41% | 17.6% |
| Risk-Return Ratio | 0.04 | 0.04 |
| Avg. Return | 0.06% | 0.1% |
| Avg. Win | 1.15% | 2.06% |
| Avg. Loss | -1.26% | -2.31% |
| Win/Loss Ratio | 0.91 | 0.89 |
| Profit Ratio | 0.82 | 0.74 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 0.96% | 1.33% |
| Expected Yearly | 10.18% | 14.38% |
| Kelly Criterion | 3.33% | 3.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.34% | -4.14% |
| Expected Shortfall (cVaR) | -3.28% | -5.67% |
| Max Consecutive Wins | 13 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.11 | 0.11 |
| Gain/Pain (1M) | 0.65 | 0.58 |
| Payoff Ratio | 0.91 | 0.89 |
| Profit Factor | 1.11 | 1.11 |
| Common Sense Ratio | 1.09 | 0.94 |
| CPC Index | 0.55 | 0.54 |
| Tail Ratio | 0.98 | 0.85 |
| Outlier Win Ratio | 3.24 | 3.4 |
| Outlier Loss Ratio | 3.56 | 3.32 |
| MTD | 0.21% | -7.67% |
| 3M | -1.06% | -19.33% |
| 6M | 2.86% | -18.53% |
| YTD | 13.02% | 9.19% |
| 1Y | 9.99% | 0.61% |
| 3Y (ann.) | 22.51% | 39.89% |
| 5Y (ann.) | 13.52% | 20.78% |
| 10Y (ann.) | 12.41% | 17.6% |
| All-time (ann.) | 12.41% | 17.6% |
| Best Day | 12.0% | 15.77% |
| Worst Day | -6.21% | -9.44% |
| Best Month | 15.69% | 32.56% |
| Worst Month | -13.6% | -22.67% |
| Best Year | 54.86% | 72.41% |
| Worst Year | -32.58% | -42.06% |
| Avg. Drawdown | -3.42% | -7.24% |
| Avg. Drawdown Days | 32 | 36 |
| Recovery Factor | 2.03 | 2.42 |
| Ulcer Index | 0.14 | 0.24 |
| Serenity Index | 0.26 | 0.28 |
| Avg. Up Month | 5.74% | 10.29% |
| Avg. Down Month | -5.44% | -10.26% |
| Win Days | 53.87% | 54.71% |
| Win Month | 59.02% | 60.66% |
| Win Quarter | 57.14% | 52.38% |
| Win Year | 66.67% | 66.67% |
| Beta | - | 1.55 |
| Alpha | - | 0.02 |
| Correlation | - | 87.53% |
| Treynor Ratio | - | 80.01% |
| Year | QQQ | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.06 | -8.67 | 143.09 | - |
| 2022 | -32.58 | -42.06 | 1.29 | - |
| 2023 | 54.86 | 72.41 | 1.32 | + |
| 2024 | 25.58 | 50.52 | 1.97 | + |
| 2025 | 20.77 | 49.36 | 2.38 | + |
| 2026 | 13.02 | 9.19 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-02-08 | -50.65 | 814 |
| 2025-02-19 | 2025-06-23 | -37.93 | 125 |
| 2026-06-23 | 2026-11-04 | -35.56 | 135 |
| 2024-07-17 | 2024-10-11 | -20.72 | 87 |
| 2025-10-30 | 2026-01-27 | -17.63 | 90 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2024-03-26 | 2024-05-23 | -13.81 | 59 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2025-01-24 | 2025-02-13 | -10.36 | 21 |
| 2025-01-07 | 2025-01-16 | -8.36 | 10 |