| Metric | SPY | QDSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 17.89% | 14.84% |
| CAGR﹪ | 18.12% | 15.03% |
| Sharpe | 1.04 | 1.96 |
| Prob. Sharpe Ratio | 84.76% | 97.23% |
| Smart Sharpe | 1.01 | 1.86 |
| Sortino | 1.51 | 2.92 |
| Smart Sortino | 1.47 | 2.77 |
| Sortino/√2 | 1.07 | 2.06 |
| Smart Sortino/√2 | 1.04 | 1.96 |
| Omega | 1.25 | 1.55 |
| 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.) | 13.02% | 5.19% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.04 | 4.88 |
| Skew | -0.15 | -0.27 |
| Kurtosis | 1.03 | 0.19 |
| Ulcer Performance Index | 8.29 | 15.79 |
| Risk-Adjusted Return | 18.12% | 16.52% |
| Risk-Return Ratio | 0.08 | 0.17 |
| Avg. Return | 0.1% | 0.06% |
| Avg. Win | 0.68% | 0.3% |
| Avg. Loss | -0.76% | -0.33% |
| Win/Loss Ratio | 0.89 | 0.92 |
| Profit Ratio | 0.92 | 0.45 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.07% |
| Expected Yearly | 8.58% | 7.16% |
| Kelly Criterion | 2.2% | 19.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.48% |
| Expected Shortfall (cVaR) | -1.72% | -0.65% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.55 |
| Gain/Pain (1M) | 2.61 | 6.09 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 1.25 | 1.55 |
| Common Sense Ratio | 1.24 | 1.61 |
| CPC Index | 0.6 | 0.87 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.03 |
| Outlier Loss Ratio | 3.17 | 2.58 |
| MTD | 1.09% | 2.64% |
| 3M | 3.84% | 5.84% |
| 6M | 19.87% | 8.12% |
| YTD | 14.32% | 11.21% |
| 1Y | 17.89% | 14.84% |
| 3Y (ann.) | 18.12% | 15.03% |
| 5Y (ann.) | 18.12% | 15.03% |
| 10Y (ann.) | 18.12% | 15.03% |
| All-time (ann.) | 18.12% | 15.03% |
| Best Day | 2.91% | 1.02% |
| Worst Day | -2.7% | -0.89% |
| Best Month | 10.51% | 2.64% |
| Worst Month | -4.94% | -1.36% |
| Best Year | 14.32% | 11.21% |
| Worst Year | 3.13% | 3.27% |
| Avg. Drawdown | -1.71% | -0.66% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.95 | 4.53 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 2.12 |
| Avg. Up Month | 2.42% | 1.41% |
| Avg. Down Month | -2.98% | -1.16% |
| Win Days | 53.82% | 61.33% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.11 |
| Correlation | - | 45.34% |
| Treynor Ratio | - | 82.08% |
| Year | SPY | QDSIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.27 | 1.05 | + |
| 2026 | 14.32 | 11.21 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-08-07 | -3.08 | 65 |
| 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 |
| 2025-10-02 | 2025-10-15 | -1.15 | 14 |
| 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 |
| 2025-10-17 | 2025-10-17 | -0.57 | 1 |