| Metric | SPY | QALT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 22.01% | 10.68% |
| CAGR﹪ | 20.4% | 9.93% |
| Sharpe | 1.21 | 0.79 |
| Prob. Sharpe Ratio | 89.32% | 78.87% |
| Smart Sharpe | 1.19 | 0.71 |
| Sortino | 1.77 | 1.11 |
| Smart Sortino | 1.73 | 1.0 |
| Sortino/√2 | 1.25 | 0.79 |
| Smart Sortino/√2 | 1.22 | 0.71 |
| Omega | 1.29 | 1.28 |
| 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.) | 12.65% | 7.23% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.3 | 2.05 |
| Skew | -0.18 | -0.55 |
| Kurtosis | 1.18 | 6.46 |
| Ulcer Performance Index | 10.6 | 5.62 |
| Risk-Adjusted Return | 20.4% | 9.93% |
| Risk-Return Ratio | 0.1 | 0.08 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.63% | 0.39% |
| Avg. Loss | -0.67% | -0.35% |
| Win/Loss Ratio | 0.93 | 1.1 |
| Profit Ratio | 0.9 | 1.01 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.43% | 0.73% |
| Expected Yearly | 10.46% | 5.2% |
| Kelly Criterion | 5.6% | 10.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.71% |
| Expected Shortfall (cVaR) | -1.64% | -1.11% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.29 | 0.28 |
| Gain/Pain (1M) | 3.13 | 1.5 |
| Payoff Ratio | 0.93 | 1.1 |
| Profit Factor | 1.29 | 1.28 |
| Common Sense Ratio | 1.25 | 1.35 |
| CPC Index | 0.65 | 0.75 |
| Tail Ratio | 0.97 | 1.05 |
| Outlier Win Ratio | 2.92 | 3.61 |
| Outlier Loss Ratio | 3.18 | 4.0 |
| MTD | 1.08% | -2.08% |
| 3M | 3.82% | -1.45% |
| 6M | 19.85% | 4.1% |
| YTD | 14.3% | 5.49% |
| 1Y | 17.78% | 8.95% |
| 3Y (ann.) | 20.4% | 9.93% |
| 5Y (ann.) | 20.4% | 9.93% |
| 10Y (ann.) | 20.4% | 9.93% |
| All-time (ann.) | 20.4% | 9.93% |
| 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 | 14.3% | 5.49% |
| Worst Year | 6.75% | 4.91% |
| Avg. Drawdown | -1.54% | -0.86% |
| Avg. Drawdown Days | 12 | 12 |
| Recovery Factor | 2.34 | 2.15 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.43 | 0.59 |
| Avg. Up Month | 2.91% | 1.38% |
| Avg. Down Month | -4.94% | -4.4% |
| Win Days | 54.44% | 52.96% |
| Win Month | 78.57% | 78.57% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.03 |
| Correlation | - | 59.29% |
| Treynor Ratio | - | 31.53% |
| Year | SPY | QALT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.75 | 4.91 | 0.73 | - |
| 2026 | 14.30 | 5.49 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-06-12 | -4.85 | 107 |
| 2025-10-09 | 2025-10-23 | -2.94 | 15 |
| 2026-08-18 | 2026-09-22 | -2.90 | 36 |
| 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 |