| Metric | SPY | QDSIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 162.82% | 108.8% |
| CAGR﹪ | 16.34% | 12.22% |
| Sharpe | 0.81 | 1.4 |
| Prob. Sharpe Ratio | 97.93% | 99.96% |
| Smart Sharpe | 0.77 | 1.2 |
| Sortino | 1.15 | 1.92 |
| Smart Sortino | 1.11 | 1.64 |
| Sortino/√2 | 0.82 | 1.36 |
| Smart Sortino/√2 | 0.78 | 1.16 |
| Omega | 1.19 | 1.38 |
| 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 | 225 |
| Volatility (ann.) | 16.77% | 6.22% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.67 | 1.73 |
| Skew | 0.08 | -1.05 |
| Kurtosis | 8.36 | 4.86 |
| Ulcer Performance Index | 21.56 | 55.15 |
| Risk-Adjusted Return | 16.34% | 13.58% |
| Risk-Return Ratio | 0.06 | 0.12 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.77% | 0.32% |
| Avg. Loss | -0.84% | -0.38% |
| Win/Loss Ratio | 0.92 | 0.84 |
| Profit Ratio | 0.81 | 0.4 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.25% | 0.95% |
| Expected Yearly | 14.8% | 11.09% |
| Kelly Criterion | 5.36% | 14.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -0.6% |
| Expected Shortfall (cVaR) | -2.51% | -0.92% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.19 | 0.38 |
| Gain/Pain (1M) | 1.15 | 2.88 |
| Payoff Ratio | 0.92 | 0.84 |
| Profit Factor | 1.19 | 1.38 |
| Common Sense Ratio | 1.18 | 1.39 |
| CPC Index | 0.6 | 0.7 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 3.37 | 3.45 |
| Outlier Loss Ratio | 3.82 | 2.95 |
| 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.) | 16.34% | 12.22% |
| All-time (ann.) | 16.34% | 12.22% |
| Best Day | 10.5% | 1.26% |
| Worst Day | -5.85% | -3.05% |
| Best Month | 10.88% | 5.05% |
| Worst Month | -9.24% | -3.69% |
| Best Year | 28.73% | 16.35% |
| Worst Year | -18.18% | 5.5% |
| Avg. Drawdown | -1.71% | -0.91% |
| Avg. Drawdown Days | 16 | 16 |
| Recovery Factor | 4.31 | 10.61 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.82 | 3.11 |
| Avg. Up Month | 4.1% | 1.81% |
| Avg. Down Month | -3.21% | -1.22% |
| Win Days | 54.76% | 60.92% |
| Win Month | 64.1% | 71.79% |
| Win Quarter | 74.07% | 84.62% |
| Win Year | 85.71% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.11 |
| Correlation | - | 18.13% |
| Treynor Ratio | - | 1617.15% |
| Year | SPY | QDSIX | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 18.69 | 5.50 | 0.29 | - |
| 2021 | 28.73 | 10.63 | 0.37 | - |
| 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 |
| 2021-05-18 | 2021-12-28 | -3.82 | 225 |
| 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 |