| Metric | SPY | QMOM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 31.0% |
| CAGR﹪ | 11.91% | 5.58% |
| Sharpe | 0.52 | 0.19 |
| Prob. Sharpe Ratio | 87.6% | 66.09% |
| Smart Sharpe | 0.5 | 0.18 |
| Sortino | 0.74 | 0.26 |
| Smart Sortino | 0.72 | 0.24 |
| Sortino/√2 | 0.53 | 0.18 |
| Smart Sortino/√2 | 0.51 | 0.17 |
| Omega | 1.14 | 1.06 |
| 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.) | 17.19% | 24.31% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.21 |
| Skew | 0.33 | -0.2 |
| Kurtosis | 8.98 | 1.88 |
| Ulcer Performance Index | 8.86 | 2.45 |
| Risk-Adjusted Return | 11.91% | 5.58% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.87% | 1.24% |
| Avg. Loss | -0.9% | -1.4% |
| Win/Loss Ratio | 0.96 | 0.88 |
| Profit Ratio | 0.86 | 0.77 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.44% |
| Expected Yearly | 9.77% | 4.6% |
| Kelly Criterion | 5.14% | 1.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.49% |
| Expected Shortfall (cVaR) | -2.58% | -3.42% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | 0.79 | 0.34 |
| Payoff Ratio | 0.96 | 0.88 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.15 | 0.91 |
| CPC Index | 0.59 | 0.5 |
| Tail Ratio | 1.0 | 0.86 |
| Outlier Win Ratio | 3.4 | 3.3 |
| Outlier Loss Ratio | 3.8 | 3.15 |
| MTD | 1.47% | -2.18% |
| 3M | 1.46% | -6.49% |
| 6M | 6.94% | -9.24% |
| YTD | 13.33% | 6.37% |
| 1Y | 13.43% | 2.92% |
| 3Y (ann.) | 20.78% | 15.09% |
| 5Y (ann.) | 12.86% | 8.48% |
| 10Y (ann.) | 11.91% | 5.58% |
| All-time (ann.) | 11.91% | 5.58% |
| 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% | -9.42% |
| Avg. Drawdown | -1.94% | -5.11% |
| Avg. Drawdown Days | 21 | 54 |
| Recovery Factor | 2.58 | 1.56 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 0.43 | 0.21 |
| Avg. Up Month | 4.43% | 5.93% |
| Avg. Down Month | -3.67% | -5.2% |
| Win Days | 53.48% | 53.84% |
| Win Month | 62.3% | 47.54% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 1.08 |
| Alpha | - | -0.05 |
| Correlation | - | 76.48% |
| Treynor Ratio | - | 28.66% |
| Year | SPY | QMOM | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -9.42 | -5.44 | - |
| 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 | 13.33 | 6.37 | 0.48 | - |
| 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 | 2026-11-04 | -14.98 | 155 |
| 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 |
| 2026-05-07 | 2026-05-28 | -6.50 | 22 |
| 2024-09-03 | 2024-09-18 | -5.98 | 16 |
| 2024-05-28 | 2024-07-15 | -5.86 | 49 |