| Metric | SPY | QRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 74.99% | 176.03% |
| CAGR﹪ | 11.91% | 22.65% |
| Sharpe | 0.52 | 1.46 |
| Prob. Sharpe Ratio | 87.6% | 99.9% |
| Smart Sharpe | 0.5 | 1.3 |
| Sortino | 0.74 | 2.02 |
| Smart Sortino | 0.72 | 1.8 |
| Sortino/√2 | 0.53 | 1.43 |
| Smart Sortino/√2 | 0.51 | 1.27 |
| Omega | 1.14 | 1.35 |
| Max Drawdown | -24.5% | -11.29% |
| Max DD Date | 2022-10-12 | 2024-08-05 |
| Max DD Period Start | 2022-01-04 | 2024-06-03 |
| Max DD Period End | 2023-12-12 | 2025-01-29 |
| Longest DD Days | 708 | 241 |
| Volatility (ann.) | 17.19% | 11.84% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.49 | 2.01 |
| Skew | 0.33 | -0.99 |
| Kurtosis | 8.98 | 5.48 |
| Ulcer Performance Index | 8.86 | 48.3 |
| Risk-Adjusted Return | 11.91% | 24.1% |
| Risk-Return Ratio | 0.05 | 0.11 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.72% | 0.56% |
| Avg. Loss | -0.75% | -0.63% |
| Win/Loss Ratio | 0.96 | 0.9 |
| Profit Ratio | 0.86 | 0.55 |
| Expected Daily | 0.04% | 0.08% |
| Expected Monthly | 0.92% | 1.68% |
| Expected Yearly | 9.77% | 18.44% |
| Kelly Criterion | 4.99% | 11.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.14% |
| Expected Shortfall (cVaR) | -2.58% | -1.82% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.35 |
| Gain/Pain (1M) | 0.79 | 2.84 |
| Payoff Ratio | 0.96 | 0.9 |
| Profit Factor | 1.14 | 1.35 |
| Common Sense Ratio | 1.15 | 1.39 |
| CPC Index | 0.59 | 0.71 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.0 |
| Outlier Loss Ratio | 3.8 | 3.03 |
| MTD | 1.47% | -0.99% |
| 3M | 1.46% | 7.58% |
| 6M | 6.94% | 15.06% |
| YTD | 13.33% | 31.22% |
| 1Y | 13.43% | 31.53% |
| 3Y (ann.) | 20.78% | 23.84% |
| 5Y (ann.) | 12.86% | 22.27% |
| 10Y (ann.) | 11.91% | 22.65% |
| All-time (ann.) | 11.91% | 22.65% |
| Best Day | 10.5% | 3.98% |
| Worst Day | -5.85% | -5.35% |
| Best Month | 10.51% | 7.92% |
| Worst Month | -9.24% | -5.83% |
| Best Year | 26.18% | 31.22% |
| Worst Year | -18.18% | 6.8% |
| Avg. Drawdown | -1.94% | -1.77% |
| Avg. Drawdown Days | 21 | 18 |
| Recovery Factor | 2.58 | 9.31 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 2.71 |
| Avg. Up Month | 3.57% | 3.38% |
| Avg. Down Month | -3.08% | -1.68% |
| Win Days | 53.48% | 58.22% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.21 |
| Correlation | - | -2.87% |
| Treynor Ratio | - | -8894.51% |
| Year | SPY | QRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 6.80 | 3.93 | + |
| 2022 | -18.18 | 25.26 | -1.39 | + |
| 2023 | 26.18 | 7.20 | 0.27 | - |
| 2024 | 24.89 | 18.87 | 0.76 | - |
| 2025 | 17.72 | 23.38 | 1.32 | + |
| 2026 | 13.33 | 31.22 | 2.34 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-03 | 2025-01-29 | -11.29 | 241 |
| 2025-04-02 | 2025-08-08 | -11.07 | 129 |
| 2022-06-15 | 2022-10-13 | -9.88 | 121 |
| 2023-03-09 | 2023-08-09 | -8.92 | 154 |
| 2023-09-29 | 2024-02-02 | -8.79 | 127 |
| 2022-03-15 | 2022-04-28 | -8.02 | 45 |
| 2022-11-08 | 2023-02-17 | -6.97 | 102 |
| 2022-02-24 | 2022-03-10 | -4.08 | 15 |
| 2026-06-04 | 2026-07-20 | -3.59 | 47 |
| 2025-11-12 | 2026-01-05 | -3.48 | 55 |