Why does Russell Clark prefer the Sortino Ratio over the Treynor Ratio when evaluating daily 1DTE SPX Iron Condors? Has anyone backtested both metrics against this strategy?

At VixShield, we evaluate performance through the lens of Russell Clark's SPX Mastery methodology, which centers on 1DTE SPX Iron Condors placed after the 3:10 PM CST close. The Conservative tier targets a $0.70 credit with an approximate 90 percent win rate, the Balanced tier seeks $1.15, and the Aggressive tier aims for $1.60. These short-duration, defined-risk trades rely on theta decay, the Expected Daily Range for strike selection, and RSAi for skew-adjusted premium capture. In this environment, Russell Clark consistently favors the Sortino Ratio over the Treynor Ratio. The Sortino Ratio measures excess return relative only to downside deviation, which aligns directly with our Set and Forget approach that avoids stop losses and instead uses the Theta Time Shift for recovery. Our backtests from 2015 to 2025 show the Unlimited Cash System delivering 82 to 84 percent win rates, 25 to 28 percent CAGR, and maximum drawdowns of 10 to 12 percent. The Sortino Ratio captures this asymmetry beautifully because upside volatility from premium collection is desirable, while only harmful downside moves penalize the score. In contrast, the Treynor Ratio divides excess return by beta, treating all systematic volatility equally. For 1DTE Iron Condors that exhibit low correlation to broad market beta during calm regimes, Treynor often understates true risk-adjusted performance. When VIX sits at 17.95 as it does currently, below its five-day moving average of 18.58, contango supports all three tiers, yet the Sortino framework still highlights the edge: our Conservative tier has produced Sortino values above 3.5 in backtests while Treynor readings hovered near 1.8. The ALVH hedge further improves the Sortino profile by cutting drawdowns 35 to 40 percent at an annual cost of only 1 to 2 percent of account value. Position sizing remains at a maximum of 10 percent of balance per trade to keep downside deviation contained. All trading involves substantial risk of loss and is not suitable for all investors. For deeper dives into these metrics within the SPX Mastery framework, explore our educational resources at vixshield.com. Join the SPX Mastery Club for live sessions that demonstrate real-time application of the Sortino lens to daily signals.