| Metric | SPY | QMOM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 45.37% |
| CAGR﹪ | 13.36% | 7.81% |
| Sharpe | 0.59 | 0.28 |
| Prob. Sharpe Ratio | 90.85% | 72.97% |
| Smart Sharpe | 0.58 | 0.26 |
| Sortino | 0.86 | 0.38 |
| Smart Sortino | 0.83 | 0.36 |
| Sortino/√2 | 0.61 | 0.27 |
| Smart Sortino/√2 | 0.59 | 0.26 |
| Omega | 1.16 | 1.07 |
| Max Drawdown | -24.5% | -26.82% |
| Max DD Date | 2022-10-12 | 2023-10-26 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2024-02-08 |
| Longest DD Days | 708 | 814 |
| Volatility (ann.) | 17.2% | 24.39% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.55 | 0.29 |
| Skew | 0.32 | -0.21 |
| Kurtosis | 8.95 | 1.83 |
| Ulcer Performance Index | 10.24 | 3.61 |
| Risk-Adjusted Return | 13.36% | 7.81% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.87% | 1.24% |
| Avg. Loss | -0.91% | -1.41% |
| Win/Loss Ratio | 0.96 | 0.88 |
| Profit Ratio | 0.83 | 0.77 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.62% |
| Expected Yearly | 10.95% | 6.43% |
| Kelly Criterion | 6.03% | 1.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.49% |
| Expected Shortfall (cVaR) | -2.58% | -3.41% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.07 |
| Gain/Pain (1M) | 0.87 | 0.44 |
| Payoff Ratio | 0.96 | 0.88 |
| Profit Factor | 1.16 | 1.07 |
| Common Sense Ratio | 1.17 | 0.92 |
| CPC Index | 0.6 | 0.51 |
| Tail Ratio | 1.01 | 0.86 |
| Outlier Win Ratio | 3.41 | 3.27 |
| Outlier Loss Ratio | 3.77 | 3.14 |
| MTD | 1.08% | 0.03% |
| 3M | 3.82% | -7.28% |
| 6M | 19.85% | 10.4% |
| YTD | 14.3% | 11.93% |
| 1Y | 17.78% | 12.42% |
| 3Y (ann.) | 24.86% | 23.53% |
| 5Y (ann.) | 13.06% | 8.1% |
| 10Y (ann.) | 13.36% | 7.81% |
| All-time (ann.) | 13.36% | 7.81% |
| Best Day | 10.5% | 8.87% |
| Worst Day | -5.85% | -7.03% |
| Best Month | 10.51% | 15.72% |
| Worst Month | -9.24% | -11.97% |
| Best Year | 26.18% | 30.43% |
| Worst Year | -18.18% | -6.99% |
| Avg. Drawdown | -1.89% | -4.9% |
| Avg. Drawdown Days | 20 | 49 |
| Recovery Factor | 2.85 | 1.95 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 0.47 | 0.27 |
| Avg. Up Month | 4.4% | 5.74% |
| Avg. Down Month | -3.86% | -5.38% |
| Win Days | 54.04% | 54.08% |
| Win Month | 63.93% | 50.82% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 1.09 |
| Alpha | - | -0.05 |
| Correlation | - | 76.59% |
| Treynor Ratio | - | 41.78% |
| Year | SPY | QMOM | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -4.47 | -0.59 | - |
| 2022 | -18.18 | -6.99 | 0.38 | + |
| 2023 | 26.18 | 9.50 | 0.36 | - |
| 2024 | 24.89 | 30.43 | 1.22 | + |
| 2025 | 17.72 | 2.36 | 0.13 | - |
| 2026 | 14.30 | 11.93 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-02-08 | -26.82 | 814 |
| 2024-11-27 | 2026-01-14 | -26.46 | 414 |
| 2026-06-03 | 2026-09-22 | -12.76 | 112 |
| 2026-03-03 | 2026-04-10 | -12.65 | 39 |
| 2024-07-17 | 2024-08-22 | -9.66 | 37 |
| 2024-03-22 | 2024-05-14 | -8.74 | 54 |
| 2026-01-28 | 2026-02-18 | -7.28 | 22 |
| 2021-09-24 | 2021-10-22 | -7.01 | 29 |
| 2026-05-07 | 2026-05-28 | -6.50 | 22 |
| 2024-09-03 | 2024-09-18 | -5.98 | 16 |