| Metric | QQQ | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 27.39% | 46.67% |
| CAGR﹪ | 62.29% | 115.12% |
| Sharpe | 2.1 | 1.61 |
| Prob. Sharpe Ratio | 92.99% | 86.93% |
| Smart Sharpe | 2.1 | 1.6 |
| Sortino | 3.33 | 2.35 |
| Smart Sortino | 3.32 | 2.34 |
| Sortino/√2 | 2.35 | 1.66 |
| Smart Sortino/√2 | 2.35 | 1.65 |
| Omega | 1.45 | 1.3 |
| Max Drawdown | -11.22% | -31.29% |
| Max DD Date | 2026-07-29 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-23 |
| Max DD Period End | 2026-09-21 | 2026-09-22 |
| Longest DD Days | 111 | 92 |
| Volatility (ann.) | 22.5% | 54.64% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 5.55 | 3.68 |
| Skew | -0.09 | -0.21 |
| Kurtosis | 0.71 | 0.08 |
| Ulcer Performance Index | 7.36 | 3.6 |
| Risk-Adjusted Return | 62.29% | 115.12% |
| Risk-Return Ratio | 0.14 | 0.11 |
| Avg. Return | 0.2% | 0.36% |
| Avg. Win | 1.21% | 2.79% |
| Avg. Loss | -1.16% | -3.24% |
| Win/Loss Ratio | 1.04 | 0.86 |
| Profit Ratio | 0.93 | 0.56 |
| Expected Daily | 0.19% | 0.3% |
| Expected Monthly | 3.52% | 5.62% |
| Expected Yearly | 27.39% | 46.67% |
| Kelly Criterion | 12.92% | 14.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.13% | -5.3% |
| Expected Shortfall (cVaR) | -3.49% | -6.54% |
| Max Consecutive Wins | 13 | 6 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.45 | 0.3 |
| Gain/Pain (1M) | 3.07 | 1.68 |
| Payoff Ratio | 1.04 | 0.86 |
| Profit Factor | 1.45 | 1.3 |
| Common Sense Ratio | 2.13 | 1.1 |
| CPC Index | 0.84 | 0.68 |
| Tail Ratio | 1.47 | 0.85 |
| Outlier Win Ratio | 2.88 | 2.93 |
| Outlier Loss Ratio | 3.03 | 2.39 |
| MTD | 4.39% | 13.54% |
| 3M | 1.14% | -9.07% |
| 6M | 27.39% | 46.67% |
| YTD | 27.39% | 46.67% |
| 1Y | 27.39% | 46.67% |
| 3Y (ann.) | 62.29% | 115.12% |
| 5Y (ann.) | 62.29% | 115.12% |
| 10Y (ann.) | 62.29% | 115.12% |
| All-time (ann.) | 62.29% | 115.12% |
| 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 | 27.39% | 46.67% |
| Worst Year | 27.39% | 46.67% |
| Avg. Drawdown | -2.23% | -6.97% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 2.27 | 1.46 |
| Ulcer Index | 0.04 | 0.13 |
| Serenity Index | 1.15 | 0.44 |
| Avg. Up Month | 8.71% | 17.69% |
| Avg. Down Month | -4.21% | -13.56% |
| Win Days | 55.56% | 60.32% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 2.11 |
| Alpha | - | -0.16 |
| Correlation | - | 86.99% |
| Treynor Ratio | - | 22.1% |
| Year | QQQ | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 27.39 | 46.67 | 1.70 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -31.29 | 92 |
| 2026-03-26 | 2026-04-07 | -13.07 | 13 |
| 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 |
| 2026-04-28 | 2026-04-29 | -3.95 | 2 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |
| 2026-04-23 | 2026-04-23 | -1.71 | 1 |
| 2026-04-21 | 2026-04-21 | -0.59 | 1 |
| 2026-04-15 | 2026-04-15 | -0.03 | 1 |