| Metric | QQQ | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1.73% | -22.47% |
| CAGR﹪ | 3.47% | -39.65% |
| Sharpe | 0.1 | -0.69 |
| Prob. Sharpe Ratio | 52.95% | 31.27% |
| Smart Sharpe | 0.1 | -0.68 |
| Sortino | 0.15 | -0.91 |
| Smart Sortino | 0.14 | -0.91 |
| Sortino/√2 | 0.1 | -0.64 |
| Smart Sortino/√2 | 0.1 | -0.64 |
| Omega | 1.04 | 0.91 |
| Max Drawdown | -11.22% | -35.56% |
| Max DD Date | 2026-07-29 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-06-23 |
| Max DD Period End | 2026-09-21 | 2026-11-04 |
| Longest DD Days | 111 | 135 |
| Volatility (ann.) | 22.39% | 55.87% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.31 | -1.12 |
| Skew | -0.16 | -0.15 |
| Kurtosis | 0.81 | -0.14 |
| Ulcer Performance Index | 0.39 | -1.36 |
| Risk-Adjusted Return | 3.47% | -39.65% |
| Risk-Return Ratio | 0.02 | -0.04 |
| Avg. Return | 0.02% | -0.14% |
| Avg. Win | 1.14% | 2.72% |
| Avg. Loss | -1.17% | -3.3% |
| Win/Loss Ratio | 0.97 | 0.83 |
| Profit Ratio | 1.01 | 0.68 |
| Expected Daily | 0.01% | -0.2% |
| Expected Monthly | 0.25% | -3.57% |
| Expected Yearly | 1.73% | -22.47% |
| Kelly Criterion | -0.6% | -3.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.3% | -5.93% |
| Expected Shortfall (cVaR) | -3.39% | -6.87% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.04 | -0.09 |
| Gain/Pain (1M) | 0.22 | -0.33 |
| Payoff Ratio | 0.97 | 0.83 |
| Profit Factor | 1.04 | 0.91 |
| Common Sense Ratio | 1.28 | 0.64 |
| CPC Index | 0.51 | 0.4 |
| Tail Ratio | 1.23 | 0.71 |
| Outlier Win Ratio | 3.08 | 2.82 |
| Outlier Loss Ratio | 3.23 | 2.42 |
| MTD | 0.21% | -7.67% |
| 3M | -1.06% | -19.33% |
| 6M | 1.73% | -22.47% |
| YTD | 1.73% | -22.47% |
| 1Y | 1.73% | -22.47% |
| 3Y (ann.) | 3.47% | -39.65% |
| 5Y (ann.) | 3.47% | -39.65% |
| 10Y (ann.) | 3.47% | -39.65% |
| All-time (ann.) | 3.47% | -39.65% |
| Best Day | 3.4% | 10.54% |
| Worst Day | -4.8% | -8.4% |
| Best Month | 8.32% | 12.69% |
| Worst Month | -6.66% | -22.67% |
| Best Year | 1.73% | -22.47% |
| Worst Year | 1.73% | -22.47% |
| Avg. Drawdown | -3.81% | -10.26% |
| Avg. Drawdown Days | 23 | 27 |
| Recovery Factor | 0.27 | 0.49 |
| Ulcer Index | 0.04 | 0.17 |
| Serenity Index | 0.1 | -0.12 |
| Avg. Up Month | 5.27% | 9.21% |
| Avg. Down Month | -6.62% | -21.62% |
| Win Days | 50.39% | 53.17% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 2.18 |
| Alpha | - | -0.48 |
| Correlation | - | 87.5% |
| Treynor Ratio | - | -10.29% |
| Year | QQQ | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 1.73 | -22.47 | -12.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -35.56 | 135 |
| 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 |
| 2026-05-12 | 2026-05-13 | -2.39 | 2 |
| 2026-05-27 | 2026-05-27 | -0.03 | 1 |