| Metric | SPY | QRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 204.97% | 126.91% |
| CAGR﹪ | 16.25% | 11.7% |
| Sharpe | 0.72 | 0.82 |
| Prob. Sharpe Ratio | 97.45% | 98.51% |
| Smart Sharpe | 0.63 | 0.74 |
| Sortino | 1.02 | 1.12 |
| Smart Sortino | 0.88 | 1.01 |
| Sortino/√2 | 0.72 | 0.79 |
| Smart Sortino/√2 | 0.62 | 0.71 |
| Omega | 1.18 | 1.21 |
| Max Drawdown | -33.72% | -26.53% |
| Max DD Date | 2020-03-23 | 2020-12-08 |
| Max DD Period Start | 2020-02-20 | 2019-07-30 |
| Max DD Period End | 2020-08-07 | 2022-05-04 |
| Longest DD Days | 708 | 1010 |
| Volatility (ann.) | 19.45% | 10.71% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.44 |
| Skew | -0.29 | -0.91 |
| Kurtosis | 13.94 | 6.06 |
| Ulcer Performance Index | 25.91 | 12.51 |
| Risk-Adjusted Return | 16.25% | 12.72% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.76% | 0.51% |
| Avg. Loss | -0.9% | -0.57% |
| Win/Loss Ratio | 0.85 | 0.9 |
| Profit Ratio | 0.78 | 0.58 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.91% |
| Expected Yearly | 14.96% | 10.78% |
| Kelly Criterion | 2.46% | 5.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.06% |
| Expected Shortfall (cVaR) | -3.2% | -1.64% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.21 |
| Gain/Pain (1M) | 1.15 | 1.22 |
| Payoff Ratio | 0.85 | 0.9 |
| Profit Factor | 1.18 | 1.21 |
| Common Sense Ratio | 1.13 | 1.23 |
| CPC Index | 0.55 | 0.6 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 3.31 |
| Outlier Loss Ratio | 4.12 | 3.24 |
| 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.) | 16.25% | 11.7% |
| All-time (ann.) | 16.25% | 11.7% |
| Best Day | 10.5% | 3.98% |
| Worst Day | -10.94% | -5.35% |
| Best Month | 12.7% | 7.92% |
| Worst Month | -12.49% | -5.83% |
| Best Year | 28.73% | 31.22% |
| Worst Year | -18.18% | -21.04% |
| Avg. Drawdown | -1.79% | -2.02% |
| Avg. Drawdown Days | 16 | 32 |
| Recovery Factor | 3.72 | 3.25 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.03 | 0.26 |
| Avg. Up Month | 3.61% | 2.93% |
| Avg. Down Month | -3.89% | -2.0% |
| Win Days | 55.15% | 55.18% |
| Win Month | 65.56% | 59.55% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.11 |
| Correlation | - | 2.08% |
| Treynor Ratio | - | 11083.13% |
| Year | SPY | QRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -2.54 | -0.16 | - |
| 2020 | 18.33 | -21.04 | -1.15 | - |
| 2021 | 28.73 | 14.09 | 0.49 | - |
| 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 |
|---|---|---|---|
| 2019-07-30 | 2022-05-04 | -26.53 | 1010 |
| 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 |
| 2022-11-08 | 2023-02-17 | -6.97 | 102 |
| 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 |