RCUS USD[Strategy] vs [Benchmark] ^SP500TR USD

4 Oct, 2021 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	33.0%	99.0%
Cumulative Return	-25.76%	68.94%
CAGR﹪	-6.86%	13.33%
Sharpe	-0.73	0.41
Prob. Sharpe Ratio	0.14%	25.69%
Smart Sharpe	-0.63	0.35
Sortino	-0.97	0.58
Smart Sortino	-0.83	0.5
Sortino/√2	-0.69	0.41
Smart Sortino/√2	-0.59	0.35
Omega	0.8	0.8
Max Drawdown	-33.2%	-24.49%
Longest DD Days	1439	708
Volatility (ann.)	16.86%	17.56%
R^2	0.02	0.02
Information Ratio	-0.05	-0.05
Calmar	-0.21	0.54
Skew	-0.76	0.18
Kurtosis	14.36	7.12
Expected Daily	-0.03%	0.05%
Expected Monthly	-0.58%	1.03%
Expected Yearly	-5.78%	11.06%
Kelly Criterion	-3.14%	9.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.77%	-1.76%
Expected Shortfall (cVaR)	-1.77%	-1.76%
Max Consecutive Wins	5	9
Max Consecutive Losses	6	6
Gain/Pain Ratio	-0.1	0.15
Gain/Pain (1M)	-0.4	0.84
Payoff Ratio	0.97	1.03
Profit Factor	0.9	1.15
Common Sense Ratio	0.88	1.18
CPC Index	0.43	0.64
Tail Ratio	0.97	1.02
Outlier Win Ratio	12.62	4.07
Outlier Loss Ratio	2.53	4.39
MTD	0.0%	-0.26%
3M	0.0%	3.96%
6M	0.0%	14.08%
YTD	0.0%	17.51%
1Y	0.0%	13.67%
3Y (ann.)	-6.93%	22.17%
5Y (ann.)	-6.86%	13.33%
10Y (ann.)	-6.86%	13.33%
All-time (ann.)	-6.86%	13.33%
Best Day	6.9%	9.52%
Worst Day	-8.01%	-5.96%
Best Month	9.21%	9.22%
Worst Month	-16.71%	-9.21%
Best Year	11.14%	26.29%
Worst Year	-23.85%	-18.11%
Avg. Drawdown	-5.87%	-1.84%
Avg. Drawdown Days	213	21
Recovery Factor	-0.78	2.81
Ulcer Index	0.27	0.09
Serenity Index	-0.03	0.43
Avg. Up Month	3.21%	5.48%
Avg. Down Month	-5.84%	-4.92%
Win Days	49.28%	54.23%
Win Month	50.0%	62.75%
Win Quarter	37.5%	70.59%
Win Year	33.33%	80.0%
Beta	0.14	-
Alpha	-0.08	-
Correlation	15.01%	-
Treynor Ratio	-227.32%	-