| Metric | SPY | QDSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 74.99% | 83.08% |
| CAGR﹪ | 11.91% | 12.93% |
| Sharpe | 0.52 | 1.33 |
| Prob. Sharpe Ratio | 87.6% | 99.76% |
| Smart Sharpe | 0.5 | 1.12 |
| Sortino | 0.74 | 1.81 |
| Smart Sortino | 0.72 | 1.52 |
| Sortino/√2 | 0.53 | 1.28 |
| Smart Sortino/√2 | 0.51 | 1.08 |
| Omega | 1.14 | 1.39 |
| Max Drawdown | -24.5% | -7.06% |
| Max DD Date | 2022-10-12 | 2022-08-04 |
| Max DD Period Start | 2022-01-04 | 2022-06-08 |
| Max DD Period End | 2023-12-12 | 2022-11-01 |
| Longest DD Days | 708 | 224 |
| Volatility (ann.) | 17.19% | 6.41% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.49 | 1.83 |
| Skew | 0.33 | -1.11 |
| Kurtosis | 8.98 | 5.29 |
| Ulcer Performance Index | 8.86 | 39.87 |
| Risk-Adjusted Return | 11.91% | 14.21% |
| Risk-Return Ratio | 0.05 | 0.12 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.76% | 0.32% |
| Avg. Loss | -0.82% | -0.38% |
| Win/Loss Ratio | 0.93 | 0.84 |
| Profit Ratio | 0.86 | 0.4 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.92% | 1.0% |
| Expected Yearly | 9.77% | 10.6% |
| Kelly Criterion | 3.36% | 14.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.61% |
| Expected Shortfall (cVaR) | -2.58% | -0.94% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.39 |
| Gain/Pain (1M) | 0.79 | 2.79 |
| Payoff Ratio | 0.93 | 0.84 |
| Profit Factor | 1.14 | 1.39 |
| Common Sense Ratio | 1.15 | 1.37 |
| CPC Index | 0.57 | 0.71 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 3.36 |
| Outlier Loss Ratio | 3.8 | 2.82 |
| MTD | 1.47% | -1.1% |
| 3M | 1.46% | 2.84% |
| 6M | 6.94% | 3.96% |
| YTD | 13.33% | 8.71% |
| 1Y | 13.43% | 9.5% |
| 3Y (ann.) | 20.78% | 13.12% |
| 5Y (ann.) | 12.86% | 13.14% |
| 10Y (ann.) | 11.91% | 12.93% |
| All-time (ann.) | 11.91% | 12.93% |
| Best Day | 10.5% | 1.26% |
| Worst Day | -5.85% | -3.05% |
| Best Month | 10.51% | 5.05% |
| Worst Month | -9.24% | -3.69% |
| Best Year | 26.18% | 16.35% |
| Worst Year | -18.18% | 2.34% |
| Avg. Drawdown | -1.94% | -0.93% |
| Avg. Drawdown Days | 21 | 15 |
| Recovery Factor | 2.58 | 8.72 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 2.43 |
| Avg. Up Month | 3.9% | 1.86% |
| Avg. Down Month | -3.45% | -1.27% |
| Win Days | 53.48% | 61.08% |
| Win Month | 62.3% | 72.13% |
| Win Quarter | 71.43% | 80.95% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.12 |
| Correlation | - | 12.67% |
| Treynor Ratio | - | 1759.44% |
| Year | SPY | QDSIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.34 | 1.36 | + |
| 2022 | -18.18 | 14.68 | -0.81 | + |
| 2023 | 26.18 | 8.88 | 0.34 | - |
| 2024 | 24.89 | 13.26 | 0.53 | - |
| 2025 | 17.72 | 16.35 | 0.92 | - |
| 2026 | 13.33 | 8.71 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-08 | 2022-11-01 | -7.06 | 147 |
| 2024-05-29 | 2025-01-07 | -6.90 | 224 |
| 2023-03-09 | 2023-08-08 | -5.74 | 153 |
| 2025-04-02 | 2025-05-30 | -5.53 | 59 |
| 2022-03-15 | 2022-04-19 | -3.54 | 36 |
| 2026-06-04 | 2026-08-07 | -3.08 | 65 |
| 2022-11-08 | 2023-02-08 | -3.02 | 93 |
| 2023-09-29 | 2024-01-10 | -3.00 | 104 |
| 2026-10-13 | 2026-11-04 | -2.56 | 23 |
| 2025-11-13 | 2025-12-24 | -1.96 | 42 |