| Metric | SPY | QRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | 32.19% |
| CAGR﹪ | 14.51% | 32.49% |
| Sharpe | 0.83 | 2.71 |
| Prob. Sharpe Ratio | 79.61% | 99.66% |
| Smart Sharpe | 0.82 | 2.62 |
| Sortino | 1.22 | 4.42 |
| Smart Sortino | 1.2 | 4.27 |
| Sortino/√2 | 0.86 | 3.12 |
| Smart Sortino/√2 | 0.85 | 3.02 |
| Omega | 1.2 | 1.63 |
| Max Drawdown | -8.88% | -3.59% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-07-20 |
| Longest DD Days | 76 | 55 |
| Volatility (ann.) | 12.86% | 9.19% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.63 | 9.06 |
| Skew | -0.02 | 0.0 |
| Kurtosis | 0.78 | -0.47 |
| Ulcer Performance Index | 6.68 | 23.86 |
| Risk-Adjusted Return | 14.51% | 34.56% |
| Risk-Return Ratio | 0.07 | 0.2 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.67% | 0.56% |
| Avg. Loss | -0.67% | -0.49% |
| Win/Loss Ratio | 0.99 | 1.14 |
| Profit Ratio | 1.02 | 0.65 |
| Expected Daily | 0.05% | 0.11% |
| Expected Monthly | 1.04% | 2.17% |
| Expected Yearly | 6.95% | 14.98% |
| Kelly Criterion | 3.68% | 22.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.84% |
| Expected Shortfall (cVaR) | -1.66% | -0.97% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.63 |
| Gain/Pain (1M) | 1.83 | 15.55 |
| Payoff Ratio | 0.99 | 1.14 |
| Profit Factor | 1.2 | 1.63 |
| Common Sense Ratio | 1.19 | 1.89 |
| CPC Index | 0.62 | 1.09 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.84 | 2.72 |
| Outlier Loss Ratio | 3.01 | 2.31 |
| MTD | 1.47% | -0.99% |
| 3M | 1.46% | 7.58% |
| 6M | 6.94% | 15.06% |
| YTD | 13.33% | 31.22% |
| 1Y | 14.39% | 32.19% |
| 3Y (ann.) | 14.51% | 32.49% |
| 5Y (ann.) | 14.51% | 32.49% |
| 10Y (ann.) | 14.51% | 32.49% |
| All-time (ann.) | 14.51% | 32.49% |
| Best Day | 2.91% | 1.74% |
| Worst Day | -2.58% | -1.13% |
| Best Month | 10.51% | 4.92% |
| Worst Month | -4.94% | -0.99% |
| Best Year | 13.33% | 31.22% |
| Worst Year | 0.94% | 0.74% |
| Avg. Drawdown | -1.74% | -1.2% |
| Avg. Drawdown Days | 14 | 10 |
| Recovery Factor | 1.61 | 7.9 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 4.07 |
| Avg. Up Month | 2.98% | 2.99% |
| Avg. Down Month | -2.29% | -0.32% |
| Win Days | 52.0% | 58.55% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.27 |
| Correlation | - | 19.27% |
| Treynor Ratio | - | 233.71% |
| Year | SPY | QRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.74 | 0.79 | - |
| 2026 | 13.33 | 31.22 | 2.34 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -3.59 | 47 |
| 2025-11-12 | 2026-01-05 | -3.48 | 55 |
| 2026-10-22 | 2026-11-04 | -3.33 | 14 |
| 2026-03-02 | 2026-03-17 | -2.26 | 16 |
| 2026-01-08 | 2026-01-23 | -2.22 | 16 |
| 2026-04-07 | 2026-04-22 | -1.96 | 16 |
| 2026-01-30 | 2026-02-17 | -1.86 | 19 |
| 2026-03-19 | 2026-03-31 | -1.66 | 13 |
| 2026-05-27 | 2026-05-29 | -1.18 | 3 |
| 2026-09-29 | 2026-10-09 | -1.09 | 11 |