| Metric | SPY | TRUEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 185.94% | 817.52% |
| CAGR﹪ | 17.47% | 40.46% |
| Sharpe | 0.76 | 1.0 |
| Prob. Sharpe Ratio | 97.31% | 99.45% |
| Smart Sharpe | 0.65 | 0.97 |
| Sortino | 1.08 | 1.43 |
| Smart Sortino | 0.92 | 1.39 |
| Sortino/√2 | 0.76 | 1.01 |
| Smart Sortino/√2 | 0.65 | 0.99 |
| Omega | 1.19 | 1.2 |
| Max Drawdown | -24.61% | -50.65% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-03-09 | 2021-11-17 |
| Max DD Period End | 2020-05-19 | 2024-02-08 |
| Longest DD Days | 708 | 814 |
| Volatility (ann.) | 19.89% | 38.42% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.71 | 0.8 |
| Skew | -0.26 | -0.12 |
| Kurtosis | 14.11 | 2.14 |
| Ulcer Performance Index | 24.14 | 38.81 |
| Risk-Adjusted Return | 17.47% | 40.46% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.07% | 0.17% |
| Avg. Win | 0.92% | 2.0% |
| Avg. Loss | -1.01% | -2.2% |
| Win/Loss Ratio | 0.91 | 0.91 |
| Profit Ratio | 0.79 | 0.71 |
| Expected Daily | 0.06% | 0.13% |
| Expected Monthly | 1.34% | 2.85% |
| Expected Yearly | 16.19% | 37.25% |
| Kelly Criterion | 5.73% | 7.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -3.82% |
| Expected Shortfall (cVaR) | -3.25% | -5.27% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.19 | 0.2 |
| Gain/Pain (1M) | 1.19 | 1.45 |
| Payoff Ratio | 0.91 | 0.91 |
| Profit Factor | 1.19 | 1.2 |
| Common Sense Ratio | 1.18 | 1.07 |
| CPC Index | 0.6 | 0.61 |
| Tail Ratio | 0.99 | 0.89 |
| Outlier Win Ratio | 3.59 | 3.55 |
| Outlier Loss Ratio | 4.09 | 3.32 |
| MTD | 1.08% | 13.54% |
| 3M | 3.82% | -9.07% |
| 6M | 19.85% | 48.98% |
| YTD | 14.3% | 51.22% |
| 1Y | 17.78% | 45.9% |
| 3Y (ann.) | 24.86% | 66.42% |
| 5Y (ann.) | 13.06% | 28.6% |
| 10Y (ann.) | 17.47% | 40.46% |
| All-time (ann.) | 17.47% | 40.46% |
| Best Day | 10.5% | 15.77% |
| Worst Day | -10.94% | -9.44% |
| Best Month | 12.7% | 32.56% |
| Worst Month | -12.84% | -22.67% |
| Best Year | 28.73% | 104.95% |
| Worst Year | -18.18% | -42.06% |
| Avg. Drawdown | -1.86% | -5.2% |
| Avg. Drawdown Days | 16 | 23 |
| Recovery Factor | 4.8 | 5.33 |
| Ulcer Index | 0.08 | 0.21 |
| Serenity Index | 1.06 | 0.7 |
| Avg. Up Month | 4.65% | 9.74% |
| Avg. Down Month | -4.71% | -9.03% |
| Win Days | 54.99% | 56.05% |
| Win Month | 67.09% | 68.35% |
| Win Quarter | 74.07% | 70.37% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 1.43 |
| Alpha | - | 0.15 |
| Correlation | - | 74.25% |
| Treynor Ratio | - | 570.14% |
| Year | SPY | TRUEX | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 28.04 | 104.95 | 3.74 | + |
| 2021 | 28.73 | 31.83 | 1.11 | + |
| 2022 | -18.18 | -42.06 | 2.31 | - |
| 2023 | 26.18 | 72.41 | 2.77 | + |
| 2024 | 24.89 | 50.52 | 2.03 | + |
| 2025 | 17.72 | 49.36 | 2.79 | + |
| 2026 | 14.30 | 51.22 | 3.58 | + |
| 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 |