| Metric | SPY | QALT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 20.98% | 9.96% |
| CAGR﹪ | 17.28% | 8.27% |
| Sharpe | 1.03 | 0.6 |
| Prob. Sharpe Ratio | 86.69% | 74.3% |
| Smart Sharpe | 1.02 | 0.55 |
| Sortino | 1.48 | 0.85 |
| Smart Sortino | 1.47 | 0.77 |
| Sortino/√2 | 1.05 | 0.6 |
| Smart Sortino/√2 | 1.04 | 0.54 |
| Omega | 1.25 | 1.23 |
| Max Drawdown | -8.88% | -4.85% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-06-12 |
| Longest DD Days | 76 | 107 |
| Volatility (ann.) | 12.52% | 7.14% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.95 | 1.7 |
| Skew | -0.18 | -0.47 |
| Kurtosis | 1.13 | 6.06 |
| Ulcer Performance Index | 10.34 | 5.22 |
| Risk-Adjusted Return | 17.28% | 8.27% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.62% | 0.38% |
| Avg. Loss | -0.67% | -0.35% |
| Win/Loss Ratio | 0.92 | 1.06 |
| Profit Ratio | 0.92 | 0.98 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.2% | 0.6% |
| Expected Yearly | 9.99% | 4.86% |
| Kelly Criterion | 3.66% | 8.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.71% |
| Expected Shortfall (cVaR) | -1.65% | -1.11% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.23 |
| Gain/Pain (1M) | 2.57 | 1.3 |
| Payoff Ratio | 0.92 | 1.06 |
| Profit Factor | 1.25 | 1.23 |
| Common Sense Ratio | 1.16 | 1.32 |
| CPC Index | 0.62 | 0.69 |
| Tail Ratio | 0.93 | 1.07 |
| Outlier Win Ratio | 2.89 | 3.55 |
| Outlier Loss Ratio | 3.06 | 3.69 |
| MTD | 1.47% | -0.64% |
| 3M | 1.46% | -2.04% |
| 6M | 6.94% | 2.23% |
| YTD | 13.33% | 4.81% |
| 1Y | 13.43% | 5.67% |
| 3Y (ann.) | 17.28% | 8.27% |
| 5Y (ann.) | 17.28% | 8.27% |
| 10Y (ann.) | 17.28% | 8.27% |
| All-time (ann.) | 17.28% | 8.27% |
| Best Day | 2.91% | 2.04% |
| Worst Day | -2.7% | -2.41% |
| Best Month | 10.51% | 3.68% |
| Worst Month | -4.94% | -4.4% |
| Best Year | 13.33% | 4.91% |
| Worst Year | 6.75% | 4.81% |
| Avg. Drawdown | -1.61% | -0.88% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 2.25 | 2.02 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.39 | 0.54 |
| Avg. Up Month | 2.91% | 1.38% |
| Avg. Down Month | -2.06% | -2.16% |
| Win Days | 53.82% | 52.82% |
| Win Month | 68.75% | 68.75% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.32 |
| Alpha | - | 0.03 |
| Correlation | - | 56.85% |
| Treynor Ratio | - | 30.72% |
| Year | SPY | QALT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.75 | 4.91 | 0.73 | - |
| 2026 | 13.33 | 4.81 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-06-12 | -4.85 | 107 |
| 2026-08-18 | 2026-11-04 | -3.38 | 79 |
| 2025-10-09 | 2025-10-23 | -2.94 | 15 |
| 2025-11-13 | 2025-12-10 | -1.60 | 28 |
| 2026-06-23 | 2026-07-20 | -1.47 | 28 |
| 2025-10-28 | 2025-11-11 | -1.29 | 15 |
| 2026-01-28 | 2026-02-05 | -1.12 | 9 |
| 2025-12-12 | 2025-12-18 | -1.11 | 7 |
| 2026-01-16 | 2026-01-20 | -0.81 | 5 |
| 2026-07-23 | 2026-08-11 | -0.81 | 20 |