| Metric | SPY | QRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | 38.17% |
| CAGR﹪ | 18.02% | 38.52% |
| Sharpe | 1.04 | 3.15 |
| Prob. Sharpe Ratio | 84.73% | 99.92% |
| Smart Sharpe | 1.01 | 3.04 |
| Sortino | 1.51 | 5.23 |
| Smart Sortino | 1.47 | 5.04 |
| Sortino/√2 | 1.07 | 3.7 |
| Smart Sortino/√2 | 1.04 | 3.56 |
| Omega | 1.25 | 1.75 |
| 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.) | 12.99% | 9.22% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 2.03 | 10.74 |
| Skew | -0.15 | -0.05 |
| Kurtosis | 1.05 | -0.46 |
| Ulcer Performance Index | 8.3 | 29.18 |
| Risk-Adjusted Return | 18.02% | 40.55% |
| Risk-Return Ratio | 0.08 | 0.23 |
| Avg. Return | 0.08% | 0.14% |
| Avg. Win | 0.66% | 0.57% |
| Avg. Loss | -0.69% | -0.49% |
| Win/Loss Ratio | 0.96 | 1.15 |
| Profit Ratio | 0.94 | 0.73 |
| Expected Daily | 0.07% | 0.13% |
| Expected Monthly | 1.27% | 2.52% |
| Expected Yearly | 8.57% | 17.54% |
| Kelly Criterion | 5.04% | 22.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.82% |
| Expected Shortfall (cVaR) | -1.72% | -0.97% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.75 |
| Gain/Pain (1M) | 2.6 | 88.98 |
| Payoff Ratio | 0.96 | 1.15 |
| Profit Factor | 1.25 | 1.75 |
| Common Sense Ratio | 1.24 | 2.1 |
| CPC Index | 0.64 | 1.18 |
| Tail Ratio | 0.99 | 1.2 |
| Outlier Win Ratio | 2.88 | 2.59 |
| Outlier Loss Ratio | 3.19 | 2.47 |
| MTD | 1.08% | 3.89% |
| 3M | 3.82% | 12.8% |
| 6M | 19.85% | 21.49% |
| YTD | 14.3% | 32.1% |
| 1Y | 17.87% | 38.17% |
| 3Y (ann.) | 18.02% | 38.52% |
| 5Y (ann.) | 18.02% | 38.52% |
| 10Y (ann.) | 18.02% | 38.52% |
| All-time (ann.) | 18.02% | 38.52% |
| Best Day | 2.91% | 1.74% |
| Worst Day | -2.7% | -1.21% |
| Best Month | 10.51% | 4.92% |
| Worst Month | -4.94% | -0.33% |
| Best Year | 14.3% | 32.1% |
| Worst Year | 3.13% | 4.59% |
| Avg. Drawdown | -1.71% | -1.13% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 9.14 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 4.94 |
| Avg. Up Month | 2.41% | 2.86% |
| Avg. Down Month | -2.98% | -0.23% |
| Win Days | 53.6% | 58.65% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.3 |
| Correlation | - | 25.06% |
| Treynor Ratio | - | 214.54% |
| Year | SPY | QRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.59 | 1.47 | + |
| 2026 | 14.30 | 32.10 | 2.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -3.59 | 47 |
| 2025-11-12 | 2026-01-05 | -3.48 | 55 |
| 2026-03-02 | 2026-03-17 | -2.26 | 16 |
| 2026-01-08 | 2026-01-23 | -2.22 | 16 |
| 2025-09-29 | 2025-10-20 | -2.17 | 22 |
| 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 |
| 2026-09-08 | 2026-09-10 | -1.06 | 3 |