| Metric | SPY | QGMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 204.97% | 39.16% |
| CAGR﹪ | 16.25% | 4.56% |
| Sharpe | 0.72 | 0.22 |
| Prob. Sharpe Ratio | 97.45% | 72.47% |
| Smart Sharpe | 0.63 | 0.2 |
| Sortino | 1.02 | 0.3 |
| Smart Sortino | 0.88 | 0.28 |
| Sortino/√2 | 0.72 | 0.22 |
| Smart Sortino/√2 | 0.62 | 0.2 |
| Omega | 1.18 | 1.1 |
| Max Drawdown | -33.72% | -13.48% |
| Max DD Date | 2020-03-23 | 2024-08-05 |
| Max DD Period Start | 2020-02-20 | 2024-04-11 |
| Max DD Period End | 2020-08-07 | 2026-09-09 |
| Longest DD Days | 708 | 882 |
| Volatility (ann.) | 19.45% | 9.12% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.34 |
| Skew | -0.29 | -0.3 |
| Kurtosis | 13.94 | 5.53 |
| Ulcer Performance Index | 25.91 | 7.29 |
| Risk-Adjusted Return | 16.25% | 4.96% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.76% | 0.4% |
| Avg. Loss | -0.85% | -0.51% |
| Win/Loss Ratio | 0.9 | 0.79 |
| Profit Ratio | 0.78 | 0.6 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.37% |
| Expected Yearly | 14.96% | 4.22% |
| Kelly Criterion | 5.11% | -6.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.93% |
| Expected Shortfall (cVaR) | -3.2% | -1.4% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.15 | 0.57 |
| Payoff Ratio | 0.9 | 0.79 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.13 | 1.1 |
| CPC Index | 0.58 | 0.46 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.84 |
| Outlier Loss Ratio | 4.12 | 3.3 |
| MTD | 1.47% | -1.15% |
| 3M | 1.46% | 5.64% |
| 6M | 6.94% | 3.41% |
| YTD | 13.33% | 5.32% |
| 1Y | 13.43% | 3.05% |
| 3Y (ann.) | 20.78% | 3.83% |
| 5Y (ann.) | 12.86% | 7.38% |
| 10Y (ann.) | 16.25% | 4.56% |
| All-time (ann.) | 16.25% | 4.56% |
| Best Day | 10.5% | 4.45% |
| Worst Day | -10.94% | -3.49% |
| Best Month | 12.7% | 6.68% |
| Worst Month | -12.49% | -7.12% |
| Best Year | 28.73% | 29.28% |
| Worst Year | -18.18% | -4.54% |
| Avg. Drawdown | -1.79% | -2.01% |
| Avg. Drawdown Days | 16 | 54 |
| Recovery Factor | 3.72 | 2.68 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.36 |
| Avg. Up Month | 4.53% | 1.36% |
| Avg. Down Month | -2.91% | -1.68% |
| Win Days | 55.15% | 53.32% |
| Win Month | 65.56% | 58.89% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 62.5% |
| Beta | - | -0.04 |
| Alpha | - | 0.05 |
| Correlation | - | -7.8% |
| Treynor Ratio | - | -1070.47% |
| Year | SPY | QGMIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.31 | 0.14 | - |
| 2020 | 18.33 | 1.61 | 0.09 | - |
| 2021 | 28.73 | -4.54 | -0.16 | - |
| 2022 | -18.18 | 29.28 | -1.61 | + |
| 2023 | 26.18 | -0.02 | -0.00 | - |
| 2024 | 24.89 | -0.95 | -0.04 | - |
| 2025 | 17.72 | 4.00 | 0.23 | - |
| 2026 | 13.33 | 5.32 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-11 | 2026-09-09 | -13.48 | 882 |
| 2021-02-24 | 2022-03-10 | -12.00 | 380 |
| 2023-03-08 | 2024-03-27 | -10.15 | 386 |
| 2022-11-07 | 2023-02-17 | -7.20 | 103 |
| 2020-01-22 | 2021-01-06 | -6.80 | 351 |
| 2022-06-14 | 2022-08-19 | -4.16 | 67 |
| 2022-04-22 | 2022-06-09 | -3.56 | 49 |
| 2022-10-21 | 2022-11-02 | -3.42 | 13 |
| 2019-07-29 | 2019-10-18 | -3.19 | 82 |
| 2022-03-15 | 2022-03-24 | -2.96 | 10 |