| Metric | SPY | QMOM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 4.98% |
| CAGR﹪ | 14.51% | 5.02% |
| Sharpe | 0.83 | 0.18 |
| Prob. Sharpe Ratio | 79.61% | 57.03% |
| Smart Sharpe | 0.82 | 0.16 |
| Sortino | 1.22 | 0.25 |
| Smart Sortino | 1.2 | 0.23 |
| Sortino/√2 | 0.86 | 0.18 |
| Smart Sortino/√2 | 0.85 | 0.16 |
| Omega | 1.2 | 1.05 |
| Max Drawdown | -8.88% | -14.98% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.86% | 26.29% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 0.34 |
| Skew | -0.02 | 0.02 |
| Kurtosis | 0.78 | 1.07 |
| Ulcer Performance Index | 6.68 | 0.75 |
| Risk-Adjusted Return | 14.51% | 5.02% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.71% | 1.32% |
| Avg. Loss | -0.68% | -1.55% |
| Win/Loss Ratio | 1.05 | 0.85 |
| Profit Ratio | 1.02 | 0.67 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.37% |
| Expected Yearly | 6.95% | 2.46% |
| Kelly Criterion | 6.21% | 3.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.69% |
| Expected Shortfall (cVaR) | -1.66% | -3.52% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.05 |
| Gain/Pain (1M) | 1.83 | 0.39 |
| Payoff Ratio | 1.05 | 0.85 |
| Profit Factor | 1.2 | 1.05 |
| Common Sense Ratio | 1.19 | 0.88 |
| CPC Index | 0.65 | 0.5 |
| Tail Ratio | 0.99 | 0.83 |
| Outlier Win Ratio | 2.84 | 4.07 |
| Outlier Loss Ratio | 3.01 | 2.73 |
| MTD | 1.47% | -2.18% |
| 3M | 1.46% | -6.49% |
| 6M | 6.94% | -9.24% |
| YTD | 13.33% | 6.37% |
| 1Y | 14.39% | 4.98% |
| 3Y (ann.) | 14.51% | 5.02% |
| 5Y (ann.) | 14.51% | 5.02% |
| 10Y (ann.) | 14.51% | 5.02% |
| All-time (ann.) | 14.51% | 5.02% |
| Best Day | 2.91% | 5.91% |
| Worst Day | -2.58% | -5.31% |
| Best Month | 10.51% | 12.33% |
| Worst Month | -4.94% | -6.64% |
| Best Year | 13.33% | 6.37% |
| Worst Year | 0.94% | -1.3% |
| Avg. Drawdown | -1.74% | -4.14% |
| Avg. Drawdown Days | 14 | 20 |
| Recovery Factor | 1.61 | 0.55 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 0.94 | 0.15 |
| Avg. Up Month | 4.33% | 5.35% |
| Avg. Down Month | -1.8% | -2.9% |
| Win Days | 52.0% | 55.6% |
| Win Month | 61.54% | 38.46% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 1.52 |
| Alpha | - | -0.14 |
| Correlation | - | 74.47% |
| Treynor Ratio | - | 3.27% |
| Year | SPY | QMOM | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.30 | -1.39 | - |
| 2026 | 13.33 | 6.37 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-11-04 | -14.98 | 155 |
| 2026-03-03 | 2026-04-10 | -12.65 | 39 |
| 2025-11-06 | 2025-12-10 | -7.94 | 35 |
| 2026-01-28 | 2026-02-18 | -7.28 | 22 |
| 2026-05-07 | 2026-05-28 | -6.50 | 22 |
| 2025-12-12 | 2026-01-02 | -5.35 | 22 |
| 2026-04-27 | 2026-04-29 | -3.71 | 3 |
| 2026-01-07 | 2026-01-09 | -2.16 | 3 |
| 2026-04-21 | 2026-04-22 | -1.26 | 2 |
| 2026-02-23 | 2026-02-23 | -1.26 | 1 |