| Metric | SPY | QMOM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 12.28% |
| CAGR﹪ | 18.02% | 12.39% |
| Sharpe | 1.04 | 0.42 |
| Prob. Sharpe Ratio | 84.73% | 66.29% |
| Smart Sharpe | 1.01 | 0.38 |
| Sortino | 1.51 | 0.6 |
| Smart Sortino | 1.47 | 0.54 |
| Sortino/√2 | 1.07 | 0.43 |
| Smart Sortino/√2 | 1.04 | 0.38 |
| Omega | 1.25 | 1.1 |
| Max Drawdown | -8.88% | -12.76% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 112 |
| Volatility (ann.) | 12.99% | 26.55% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 0.97 |
| Skew | -0.15 | 0.0 |
| Kurtosis | 1.05 | 0.95 |
| Ulcer Performance Index | 8.3 | 2.26 |
| Risk-Adjusted Return | 18.02% | 12.39% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.71% | 1.34% |
| Avg. Loss | -0.68% | -1.55% |
| Win/Loss Ratio | 1.05 | 0.86 |
| Profit Ratio | 0.94 | 0.7 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.9% |
| Expected Yearly | 8.57% | 5.96% |
| Kelly Criterion | 9.29% | 4.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.69% |
| Expected Shortfall (cVaR) | -1.72% | -3.49% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.1 |
| Gain/Pain (1M) | 2.6 | 0.8 |
| Payoff Ratio | 1.05 | 0.86 |
| Profit Factor | 1.25 | 1.1 |
| Common Sense Ratio | 1.24 | 0.99 |
| CPC Index | 0.7 | 0.53 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.88 | 3.92 |
| Outlier Loss Ratio | 3.19 | 2.73 |
| MTD | 1.08% | 0.03% |
| 3M | 3.82% | -7.28% |
| 6M | 19.85% | 10.4% |
| YTD | 14.3% | 11.93% |
| 1Y | 17.87% | 12.28% |
| 3Y (ann.) | 18.02% | 12.39% |
| 5Y (ann.) | 18.02% | 12.39% |
| 10Y (ann.) | 18.02% | 12.39% |
| All-time (ann.) | 18.02% | 12.39% |
| Best Day | 2.91% | 5.91% |
| Worst Day | -2.7% | -5.31% |
| Best Month | 10.51% | 12.33% |
| Worst Month | -4.94% | -6.64% |
| Best Year | 14.3% | 11.93% |
| Worst Year | 3.13% | 0.32% |
| Avg. Drawdown | -1.71% | -3.63% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.94 | 1.18 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.16 | 0.42 |
| Avg. Up Month | 3.46% | 4.32% |
| Avg. Down Month | -2.98% | -4.38% |
| Win Days | 53.6% | 55.6% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.55 |
| Alpha | - | -0.12 |
| Correlation | - | 75.96% |
| Treynor Ratio | - | 7.91% |
| Year | SPY | QMOM | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.32 | 0.10 | - |
| 2026 | 14.30 | 11.93 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-22 | -12.76 | 112 |
| 2026-03-03 | 2026-04-10 | -12.65 | 39 |
| 2025-11-04 | 2026-01-05 | -9.75 | 63 |
| 2026-01-28 | 2026-02-18 | -7.28 | 22 |
| 2026-05-07 | 2026-05-28 | -6.50 | 22 |
| 2025-09-24 | 2025-10-23 | -3.84 | 30 |
| 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 |