| Metric | SPY | QMOM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 204.97% | 144.06% |
| CAGR﹪ | 16.25% | 12.81% |
| Sharpe | 0.72 | 0.46 |
| Prob. Sharpe Ratio | 97.45% | 89.5% |
| Smart Sharpe | 0.63 | 0.44 |
| Sortino | 1.02 | 0.64 |
| Smart Sortino | 0.88 | 0.6 |
| Sortino/√2 | 0.72 | 0.45 |
| Smart Sortino/√2 | 0.62 | 0.42 |
| Omega | 1.18 | 1.1 |
| Max Drawdown | -33.72% | -39.13% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2020-07-02 |
| Longest DD Days | 708 | 1333 |
| Volatility (ann.) | 19.45% | 28.72% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.48 | 0.33 |
| Skew | -0.29 | -0.45 |
| Kurtosis | 13.94 | 5.8 |
| Ulcer Performance Index | 25.91 | 7.33 |
| Risk-Adjusted Return | 16.25% | 12.81% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.9% | 1.38% |
| Avg. Loss | -0.98% | -1.58% |
| Win/Loss Ratio | 0.92 | 0.87 |
| Profit Ratio | 0.78 | 0.74 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.25% | 1.0% |
| Expected Yearly | 14.96% | 11.8% |
| Kelly Criterion | 6.16% | 3.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.91% |
| Expected Shortfall (cVaR) | -3.2% | -4.29% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.15 | 0.68 |
| Payoff Ratio | 0.92 | 0.87 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.13 | 0.99 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 0.96 | 0.9 |
| Outlier Win Ratio | 3.69 | 3.67 |
| Outlier Loss Ratio | 4.12 | 3.7 |
| 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.) | 16.25% | 12.81% |
| All-time (ann.) | 16.25% | 12.81% |
| Best Day | 10.5% | 11.16% |
| Worst Day | -10.94% | -14.67% |
| Best Month | 12.7% | 18.44% |
| Worst Month | -12.49% | -19.16% |
| Best Year | 28.73% | 61.94% |
| Worst Year | -18.18% | -6.99% |
| Avg. Drawdown | -1.79% | -5.57% |
| Avg. Drawdown Days | 16 | 54 |
| Recovery Factor | 3.72 | 3.07 |
| Ulcer Index | 0.08 | 0.2 |
| Serenity Index | 1.03 | 0.3 |
| Avg. Up Month | 4.68% | 6.53% |
| Avg. Down Month | -4.03% | -5.29% |
| Win Days | 55.15% | 54.86% |
| Win Month | 65.56% | 52.22% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 1.12 |
| Alpha | - | -0.03 |
| Correlation | - | 75.69% |
| Treynor Ratio | - | 128.9% |
| Year | SPY | QMOM | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.63 | 0.53 | - |
| 2020 | 18.33 | 61.94 | 3.38 | + |
| 2021 | 28.73 | -4.06 | -0.14 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2020-07-02 | -39.13 | 134 |
| 2021-02-16 | 2024-10-10 | -38.88 | 1333 |
| 2024-11-27 | 2026-01-14 | -26.46 | 414 |
| 2026-06-03 | 2026-11-04 | -14.98 | 155 |
| 2019-07-29 | 2020-01-08 | -12.90 | 164 |
| 2026-03-03 | 2026-04-10 | -12.65 | 39 |
| 2020-10-14 | 2020-11-05 | -11.75 | 23 |
| 2020-09-02 | 2020-10-02 | -11.65 | 31 |
| 2020-11-09 | 2020-11-19 | -8.59 | 11 |
| 2020-12-23 | 2021-01-06 | -7.88 | 15 |