| Metric | SPY | QSPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 17.87% | 28.13% |
| CAGR﹪ | 18.02% | 28.38% |
| Sharpe | 1.04 | 2.24 |
| Prob. Sharpe Ratio | 84.73% | 98.74% |
| Smart Sharpe | 1.01 | 2.08 |
| Sortino | 1.51 | 3.59 |
| Smart Sortino | 1.47 | 3.33 |
| Sortino/√2 | 1.07 | 2.54 |
| Smart Sortino/√2 | 1.04 | 2.36 |
| Omega | 1.25 | 1.51 |
| Max Drawdown | -8.88% | -4.22% |
| Max DD Date | 2026-03-30 | 2025-10-20 |
| Max DD Period Start | 2026-01-28 | 2025-09-29 |
| Max DD Period End | 2026-04-13 | 2025-10-28 |
| Longest DD Days | 76 | 79 |
| Volatility (ann.) | 12.99% | 9.58% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.03 | 6.72 |
| Skew | -0.15 | 0.0 |
| Kurtosis | 1.05 | -0.36 |
| Ulcer Performance Index | 8.3 | 16.63 |
| Risk-Adjusted Return | 18.02% | 30.52% |
| Risk-Return Ratio | 0.08 | 0.17 |
| Avg. Return | 0.06% | 0.11% |
| Avg. Win | 0.59% | 0.58% |
| Avg. Loss | -0.49% | -0.47% |
| Win/Loss Ratio | 1.21 | 1.25 |
| Profit Ratio | 0.94 | 0.74 |
| Expected Daily | 0.07% | 0.1% |
| Expected Monthly | 1.27% | 1.92% |
| Expected Yearly | 8.57% | 13.19% |
| Kelly Criterion | 15.16% | 20.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.89% |
| Expected Shortfall (cVaR) | -1.72% | -1.08% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.51 |
| Gain/Pain (1M) | 2.6 | 78.52 |
| Payoff Ratio | 1.21 | 1.25 |
| Profit Factor | 1.25 | 1.51 |
| Common Sense Ratio | 1.24 | 1.82 |
| CPC Index | 0.81 | 1.05 |
| Tail Ratio | 0.99 | 1.2 |
| Outlier Win Ratio | 2.88 | 2.74 |
| Outlier Loss Ratio | 3.19 | 2.62 |
| MTD | 1.08% | 4.11% |
| 3M | 3.82% | 12.85% |
| 6M | 19.85% | 14.63% |
| YTD | 14.3% | 25.9% |
| 1Y | 17.87% | 28.13% |
| 3Y (ann.) | 18.02% | 28.38% |
| 5Y (ann.) | 18.02% | 28.38% |
| 10Y (ann.) | 18.02% | 28.38% |
| All-time (ann.) | 18.02% | 28.38% |
| Best Day | 2.91% | 1.67% |
| Worst Day | -2.7% | -1.43% |
| Best Month | 10.51% | 5.58% |
| Worst Month | -4.94% | -0.23% |
| Best Year | 14.3% | 25.9% |
| Worst Year | 3.13% | 1.77% |
| Avg. Drawdown | -1.71% | -1.29% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 5.98 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 2.53 |
| Avg. Up Month | 2.94% | 2.26% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 55.6% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.09 |
| Alpha | - | 0.27 |
| Correlation | - | -12.49% |
| Treynor Ratio | - | -305.21% |
| Year | SPY | QSPIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.77 | 0.57 | - |
| 2026 | 14.30 | 25.90 | 1.81 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-29 | 2025-10-28 | -4.22 | 30 |
| 2026-04-07 | 2026-05-29 | -4.14 | 53 |
| 2025-11-11 | 2026-01-28 | -3.67 | 79 |
| 2026-06-09 | 2026-07-16 | -3.14 | 38 |
| 2026-08-03 | 2026-08-17 | -2.35 | 15 |
| 2026-02-03 | 2026-02-17 | -1.78 | 15 |
| 2026-09-18 | 2026-09-22 | -1.45 | 5 |
| 2026-03-03 | 2026-03-16 | -1.30 | 14 |
| 2026-09-08 | 2026-09-11 | -1.30 | 4 |
| 2026-08-19 | 2026-08-20 | -0.78 | 2 |