| Metric | SPY | QSPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 14.39% | 27.65% |
| CAGR﹪ | 14.51% | 27.9% |
| Sharpe | 0.83 | 2.23 |
| Prob. Sharpe Ratio | 79.61% | 98.69% |
| Smart Sharpe | 0.82 | 2.22 |
| Sortino | 1.22 | 3.56 |
| Smart Sortino | 1.2 | 3.54 |
| Sortino/√2 | 0.86 | 2.52 |
| Smart Sortino/√2 | 0.85 | 2.5 |
| Omega | 1.2 | 1.51 |
| Max Drawdown | -8.88% | -4.14% |
| Max DD Date | 2026-03-30 | 2026-04-20 |
| Max DD Period Start | 2026-01-28 | 2026-04-07 |
| Max DD Period End | 2026-04-13 | 2026-05-29 |
| Longest DD Days | 76 | 79 |
| Volatility (ann.) | 12.86% | 9.59% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.63 | 6.74 |
| Skew | -0.02 | -0.0 |
| Kurtosis | 0.78 | -0.35 |
| Ulcer Performance Index | 6.68 | 18.48 |
| Risk-Adjusted Return | 14.51% | 30.0% |
| Risk-Return Ratio | 0.07 | 0.16 |
| Avg. Return | 0.05% | 0.11% |
| Avg. Win | 0.61% | 0.57% |
| Avg. Loss | -0.48% | -0.5% |
| Win/Loss Ratio | 1.28 | 1.14 |
| Profit Ratio | 1.02 | 0.69 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 1.04% | 1.9% |
| Expected Yearly | 6.95% | 12.98% |
| Kelly Criterion | 14.54% | 17.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.89% |
| Expected Shortfall (cVaR) | -1.66% | -1.07% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.51 |
| Gain/Pain (1M) | 1.83 | 14.56 |
| Payoff Ratio | 1.28 | 1.14 |
| Profit Factor | 1.2 | 1.51 |
| Common Sense Ratio | 1.19 | 1.75 |
| CPC Index | 0.8 | 0.97 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.84 | 2.8 |
| Outlier Loss Ratio | 3.01 | 2.57 |
| MTD | 1.47% | -0.27% |
| 3M | 1.46% | 10.6% |
| 6M | 6.94% | 16.98% |
| YTD | 13.33% | 29.02% |
| 1Y | 14.39% | 27.65% |
| 3Y (ann.) | 14.51% | 27.9% |
| 5Y (ann.) | 14.51% | 27.9% |
| 10Y (ann.) | 14.51% | 27.9% |
| All-time (ann.) | 14.51% | 27.9% |
| Best Day | 2.91% | 1.67% |
| Worst Day | -2.58% | -1.43% |
| Best Month | 10.51% | 5.58% |
| Worst Month | -4.94% | -1.45% |
| Best Year | 13.33% | 29.02% |
| Worst Year | 0.94% | -1.06% |
| Avg. Drawdown | -1.74% | -1.18% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 6.01 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 3.12 |
| Avg. Up Month | 3.34% | 2.04% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 56.28% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.08 |
| Alpha | - | 0.26 |
| Correlation | - | -11.23% |
| Treynor Ratio | - | -330.04% |
| Year | SPY | QSPIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.06 | -1.13 | - |
| 2026 | 13.33 | 29.02 | 2.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-10-22 | 2026-11-04 | -2.72 | 14 |
| 2026-08-03 | 2026-08-17 | -2.35 | 15 |
| 2026-02-03 | 2026-02-17 | -1.78 | 15 |
| 2026-09-18 | 2026-09-25 | -1.45 | 8 |
| 2026-03-03 | 2026-03-16 | -1.30 | 14 |
| 2026-09-08 | 2026-09-11 | -1.30 | 4 |
| 2026-09-29 | 2026-10-07 | -1.08 | 9 |