| Metric | QQQ | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 274.19% | 817.52% |
| CAGR﹪ | 22.42% | 40.46% |
| Sharpe | 0.82 | 1.0 |
| Prob. Sharpe Ratio | 98.17% | 99.45% |
| Smart Sharpe | 0.72 | 0.97 |
| Sortino | 1.18 | 1.43 |
| Smart Sortino | 1.03 | 1.39 |
| Sortino/√2 | 0.83 | 1.01 |
| Smart Sortino/√2 | 0.73 | 0.99 |
| Omega | 1.18 | 1.2 |
| 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.) | 24.75% | 38.42% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.64 | 0.8 |
| Skew | -0.14 | -0.12 |
| Kurtosis | 7.02 | 2.14 |
| Ulcer Performance Index | 22.67 | 38.81 |
| Risk-Adjusted Return | 22.42% | 40.46% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.09% | 0.17% |
| Avg. Win | 1.18% | 1.95% |
| Avg. Loss | -1.32% | -2.17% |
| Win/Loss Ratio | 0.89 | 0.9 |
| Profit Ratio | 0.74 | 0.71 |
| Expected Daily | 0.08% | 0.13% |
| Expected Monthly | 1.68% | 2.85% |
| Expected Yearly | 20.75% | 37.25% |
| Kelly Criterion | 6.26% | 7.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.47% | -3.82% |
| Expected Shortfall (cVaR) | -3.65% | -5.27% |
| Max Consecutive Wins | 13 | 13 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.24 | 1.45 |
| Payoff Ratio | 0.89 | 0.9 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.16 | 1.07 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 0.98 | 0.89 |
| Outlier Win Ratio | 3.39 | 3.55 |
| Outlier Loss Ratio | 3.66 | 3.32 |
| MTD | 4.39% | 13.54% |
| 3M | 1.14% | -9.07% |
| 6M | 28.85% | 48.98% |
| YTD | 22.09% | 51.22% |
| 1Y | 25.44% | 45.9% |
| 3Y (ann.) | 30.07% | 66.42% |
| 5Y (ann.) | 15.7% | 28.6% |
| 10Y (ann.) | 22.42% | 40.46% |
| All-time (ann.) | 22.42% | 40.46% |
| Best Day | 12.0% | 15.77% |
| Worst Day | -11.98% | -9.44% |
| Best Month | 15.69% | 32.56% |
| Worst Month | -13.6% | -22.67% |
| Best Year | 54.86% | 104.95% |
| Worst Year | -32.58% | -42.06% |
| Avg. Drawdown | -3.08% | -5.2% |
| Avg. Drawdown Days | 22 | 23 |
| Recovery Factor | 4.33 | 5.33 |
| Ulcer Index | 0.12 | 0.21 |
| Serenity Index | 0.69 | 0.7 |
| Avg. Up Month | 6.09% | 9.76% |
| Avg. Down Month | -5.25% | -9.18% |
| Win Days | 55.81% | 56.05% |
| Win Month | 63.29% | 68.35% |
| Win Quarter | 70.37% | 70.37% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 1.31 |
| Alpha | - | 0.11 |
| Correlation | - | 84.25% |
| Treynor Ratio | - | 625.13% |
| Year | QQQ | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 51.90 | 104.95 | 2.02 | + |
| 2021 | 27.42 | 31.83 | 1.16 | + |
| 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 | 22.09 | 51.22 | 2.32 | + |
| 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 | 2026-09-22 | -31.29 | 92 |
| 2021-02-16 | 2021-08-27 | -21.23 | 193 |
| 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 |
| 2020-10-14 | 2020-11-20 | -11.13 | 38 |