| Metric | SPY | QMOM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 7.72% |
| CAGR﹪ | 40.67% | 16.04% |
| Sharpe | 2.32 | 0.54 |
| Prob. Sharpe Ratio | 95.04% | 64.83% |
| Smart Sharpe | 2.3 | 0.49 |
| Sortino | 3.78 | 0.8 |
| Smart Sortino | 3.75 | 0.72 |
| Sortino/√2 | 2.67 | 0.57 |
| Smart Sortino/√2 | 2.65 | 0.51 |
| Omega | 1.54 | 1.12 |
| Max Drawdown | -4.49% | -12.76% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 112 |
| Volatility (ann.) | 13.55% | 28.29% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 9.05 | 1.26 |
| Skew | 0.1 | 0.21 |
| Kurtosis | 1.12 | 1.2 |
| Ulcer Performance Index | 11.86 | 1.21 |
| Risk-Adjusted Return | 40.67% | 16.04% |
| Risk-Return Ratio | 0.16 | 0.04 |
| Avg. Return | 0.14% | 0.07% |
| Avg. Win | 0.85% | 1.48% |
| Avg. Loss | -0.63% | -1.59% |
| Win/Loss Ratio | 1.34 | 0.93 |
| Profit Ratio | 1.12 | 0.81 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.07% |
| Expected Yearly | 18.6% | 7.72% |
| Kelly Criterion | 19.59% | 4.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -2.86% |
| Expected Shortfall (cVaR) | -1.77% | -3.63% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.12 |
| Gain/Pain (1M) | 10.92 | 1.09 |
| Payoff Ratio | 1.34 | 0.93 |
| Profit Factor | 1.54 | 1.12 |
| Common Sense Ratio | 2.01 | 1.17 |
| CPC Index | 1.11 | 0.56 |
| Tail Ratio | 1.3 | 1.05 |
| Outlier Win Ratio | 3.21 | 3.63 |
| Outlier Loss Ratio | 3.16 | 2.81 |
| MTD | 1.08% | 0.03% |
| 3M | 3.82% | -7.28% |
| 6M | 18.6% | 7.72% |
| YTD | 18.6% | 7.72% |
| 1Y | 18.6% | 7.72% |
| 3Y (ann.) | 40.67% | 16.04% |
| 5Y (ann.) | 40.67% | 16.04% |
| 10Y (ann.) | 40.67% | 16.04% |
| All-time (ann.) | 40.67% | 16.04% |
| Best Day | 2.91% | 5.91% |
| Worst Day | -2.58% | -5.31% |
| Best Month | 10.51% | 12.33% |
| Worst Month | -1.03% | -6.34% |
| Best Year | 18.6% | 7.72% |
| Worst Year | 18.6% | 7.72% |
| Avg. Drawdown | -1.13% | -4.15% |
| Avg. Drawdown Days | 9 | 20 |
| Recovery Factor | 3.9 | 0.74 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 2.75 | 0.22 |
| Avg. Up Month | 5.61% | 5.73% |
| Avg. Down Month | -1.03% | -2.11% |
| Win Days | 53.97% | 53.97% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.55 |
| Alpha | - | -0.36 |
| Correlation | - | 74.24% |
| Treynor Ratio | - | 4.98% |
| Year | SPY | QMOM | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.72 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-22 | -12.76 | 112 |
| 2026-03-26 | 2026-04-06 | -7.65 | 12 |
| 2026-05-07 | 2026-05-28 | -6.50 | 22 |
| 2026-04-27 | 2026-04-29 | -3.71 | 3 |
| 2026-04-21 | 2026-04-22 | -1.26 | 2 |
| 2026-04-15 | 2026-04-16 | -0.81 | 2 |
| 2026-05-01 | 2026-05-04 | -0.28 | 4 |
| 2026-06-01 | 2026-06-01 | -0.21 | 1 |