| Metric | SPY | QDSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 14.39% | 9.88% |
| CAGR﹪ | 14.51% | 9.97% |
| Sharpe | 0.83 | 1.17 |
| Prob. Sharpe Ratio | 79.61% | 87.7% |
| Smart Sharpe | 0.82 | 1.03 |
| Sortino | 1.22 | 1.71 |
| Smart Sortino | 1.2 | 1.51 |
| Sortino/√2 | 0.86 | 1.21 |
| Smart Sortino/√2 | 0.85 | 1.07 |
| Omega | 1.2 | 1.35 |
| Max Drawdown | -8.88% | -3.08% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-08-07 |
| Longest DD Days | 76 | 65 |
| Volatility (ann.) | 12.86% | 5.09% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 3.23 |
| Skew | -0.02 | -0.16 |
| Kurtosis | 0.78 | 0.16 |
| Ulcer Performance Index | 6.68 | 10.12 |
| Risk-Adjusted Return | 14.51% | 10.95% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.69% | 0.3% |
| Avg. Loss | -0.72% | -0.33% |
| Win/Loss Ratio | 0.96 | 0.91 |
| Profit Ratio | 1.02 | 0.51 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.73% |
| Expected Yearly | 6.95% | 4.83% |
| Kelly Criterion | 1.84% | 12.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.49% |
| Expected Shortfall (cVaR) | -1.66% | -0.64% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.35 |
| Gain/Pain (1M) | 1.83 | 2.36 |
| Payoff Ratio | 0.96 | 0.91 |
| Profit Factor | 1.2 | 1.35 |
| Common Sense Ratio | 1.19 | 1.38 |
| CPC Index | 0.6 | 0.72 |
| Tail Ratio | 0.99 | 1.02 |
| Outlier Win Ratio | 2.84 | 3.13 |
| Outlier Loss Ratio | 3.01 | 2.43 |
| MTD | 1.47% | -1.1% |
| 3M | 1.46% | 2.84% |
| 6M | 6.94% | 3.96% |
| YTD | 13.33% | 8.71% |
| 1Y | 14.39% | 9.88% |
| 3Y (ann.) | 14.51% | 9.97% |
| 5Y (ann.) | 14.51% | 9.97% |
| 10Y (ann.) | 14.51% | 9.97% |
| All-time (ann.) | 14.51% | 9.97% |
| Best Day | 2.91% | 1.02% |
| Worst Day | -2.58% | -0.89% |
| Best Month | 10.51% | 2.5% |
| Worst Month | -4.94% | -1.36% |
| Best Year | 13.33% | 8.71% |
| Worst Year | 0.94% | 1.08% |
| Avg. Drawdown | -1.74% | -0.78% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 3.1 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.34 |
| Avg. Up Month | 3.34% | 1.55% |
| Avg. Down Month | -2.29% | -0.99% |
| Win Days | 52.0% | 58.15% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.17 |
| Alpha | - | 0.07 |
| Correlation | - | 42.01% |
| Treynor Ratio | - | 59.5% |
| Year | SPY | QDSIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.08 | 1.15 | + |
| 2026 | 13.33 | 8.71 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-08-07 | -3.08 | 65 |
| 2026-10-13 | 2026-11-04 | -2.56 | 23 |
| 2025-11-13 | 2025-12-24 | -1.96 | 42 |
| 2026-03-02 | 2026-04-07 | -1.85 | 37 |
| 2026-04-09 | 2026-04-28 | -1.37 | 20 |
| 2026-01-15 | 2026-01-23 | -1.34 | 9 |
| 2026-01-30 | 2026-02-10 | -0.83 | 12 |
| 2026-05-19 | 2026-05-29 | -0.74 | 11 |
| 2026-02-12 | 2026-02-17 | -0.69 | 6 |
| 2026-09-22 | 2026-10-08 | -0.58 | 17 |