| Metric | SPY | QRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.6% | 22.64% |
| CAGR﹪ | 40.67% | 50.39% |
| Sharpe | 2.32 | 4.1 |
| Prob. Sharpe Ratio | 95.04% | 99.82% |
| Smart Sharpe | 2.3 | 3.98 |
| Sortino | 3.78 | 7.22 |
| Smart Sortino | 3.75 | 7.02 |
| Sortino/√2 | 2.67 | 5.11 |
| Smart Sortino/√2 | 2.65 | 4.96 |
| Omega | 1.54 | 2.04 |
| Max Drawdown | -4.49% | -3.59% |
| Max DD Date | 2026-06-10 | 2026-07-02 |
| Max DD Period Start | 2026-06-03 | 2026-06-04 |
| Max DD Period End | 2026-07-31 | 2026-07-20 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 13.55% | 9.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 9.05 | 14.05 |
| Skew | 0.1 | -0.0 |
| Kurtosis | 1.12 | -0.36 |
| Ulcer Performance Index | 11.86 | 19.62 |
| Risk-Adjusted Return | 40.67% | 54.19% |
| Risk-Return Ratio | 0.16 | 0.28 |
| Avg. Return | 0.15% | 0.18% |
| Avg. Win | 0.67% | 0.56% |
| Avg. Loss | -0.54% | -0.5% |
| Win/Loss Ratio | 1.24 | 1.12 |
| Profit Ratio | 1.12 | 0.59 |
| Expected Daily | 0.14% | 0.16% |
| Expected Monthly | 2.47% | 2.96% |
| Expected Yearly | 18.6% | 22.64% |
| Kelly Criterion | 16.78% | 28.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.79% |
| Expected Shortfall (cVaR) | -1.77% | -0.92% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 1.04 |
| Gain/Pain (1M) | 10.92 | 311.74 |
| Payoff Ratio | 1.24 | 1.12 |
| Profit Factor | 1.54 | 2.04 |
| Common Sense Ratio | 2.01 | 2.49 |
| CPC Index | 1.03 | 1.41 |
| Tail Ratio | 1.3 | 1.22 |
| Outlier Win Ratio | 3.21 | 2.77 |
| Outlier Loss Ratio | 3.16 | 2.25 |
| MTD | 1.08% | 3.89% |
| 3M | 3.82% | 12.8% |
| 6M | 18.6% | 22.64% |
| YTD | 18.6% | 22.64% |
| 1Y | 18.6% | 22.64% |
| 3Y (ann.) | 40.67% | 50.39% |
| 5Y (ann.) | 40.67% | 50.39% |
| 10Y (ann.) | 40.67% | 50.39% |
| All-time (ann.) | 40.67% | 50.39% |
| Best Day | 2.91% | 1.74% |
| Worst Day | -2.58% | -1.11% |
| Best Month | 10.51% | 4.92% |
| Worst Month | -1.03% | -0.12% |
| Best Year | 18.6% | 22.64% |
| Worst Year | 18.6% | 22.64% |
| Avg. Drawdown | -1.13% | -0.8% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 3.9 | 5.75 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 3.83 |
| Avg. Up Month | 3.91% | 3.94% |
| Avg. Down Month | -1.03% | -0.12% |
| Win Days | 53.97% | 62.07% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.4 |
| Correlation | - | 6.79% |
| Treynor Ratio | - | 491.22% |
| Year | SPY | QRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 22.64 | 1.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -3.59 | 47 |
| 2026-04-07 | 2026-04-22 | -1.96 | 16 |
| 2026-05-27 | 2026-05-29 | -1.18 | 3 |
| 2026-09-08 | 2026-09-10 | -1.06 | 3 |
| 2026-08-03 | 2026-08-12 | -0.95 | 10 |
| 2026-09-21 | 2026-09-22 | -0.82 | 2 |
| 2026-05-06 | 2026-05-08 | -0.76 | 3 |
| 2026-04-30 | 2026-05-01 | -0.70 | 2 |
| 2026-07-28 | 2026-07-28 | -0.66 | 1 |
| 2026-05-19 | 2026-05-22 | -0.62 | 4 |