| Metric | SPY | QSPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 86.58% | 165.58% |
| CAGR﹪ | 13.36% | 21.71% |
| Sharpe | 0.59 | 1.1 |
| Prob. Sharpe Ratio | 90.85% | 99.23% |
| Smart Sharpe | 0.58 | 1.09 |
| Sortino | 0.86 | 1.59 |
| Smart Sortino | 0.83 | 1.58 |
| Sortino/√2 | 0.61 | 1.13 |
| Smart Sortino/√2 | 0.59 | 1.12 |
| Omega | 1.16 | 1.28 |
| Max Drawdown | -24.5% | -17.13% |
| Max DD Date | 2022-10-12 | 2022-08-04 |
| Max DD Period Start | 2022-01-04 | 2022-05-26 |
| Max DD Period End | 2023-12-12 | 2023-02-13 |
| Longest DD Days | 708 | 264 |
| Volatility (ann.) | 17.2% | 15.55% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.55 | 1.27 |
| Skew | 0.32 | 0.11 |
| Kurtosis | 8.95 | 24.06 |
| Ulcer Performance Index | 10.24 | 32.54 |
| Risk-Adjusted Return | 13.36% | 23.09% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.7% | 0.66% |
| Avg. Loss | -0.7% | -0.7% |
| Win/Loss Ratio | 1.01 | 0.95 |
| Profit Ratio | 0.83 | 0.66 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.03% | 1.61% |
| Expected Yearly | 10.95% | 17.68% |
| Kelly Criterion | 8.4% | 7.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.53% |
| Expected Shortfall (cVaR) | -2.58% | -2.36% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.28 |
| Gain/Pain (1M) | 0.87 | 1.78 |
| Payoff Ratio | 1.01 | 0.95 |
| Profit Factor | 1.16 | 1.28 |
| Common Sense Ratio | 1.17 | 1.25 |
| CPC Index | 0.63 | 0.66 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.41 | 3.44 |
| Outlier Loss Ratio | 3.77 | 3.37 |
| MTD | 1.08% | 4.11% |
| 3M | 3.82% | 12.85% |
| 6M | 19.85% | 14.63% |
| YTD | 14.3% | 25.9% |
| 1Y | 17.78% | 27.98% |
| 3Y (ann.) | 24.86% | 19.71% |
| 5Y (ann.) | 13.06% | 22.97% |
| 10Y (ann.) | 13.36% | 21.71% |
| All-time (ann.) | 13.36% | 21.71% |
| Best Day | 10.5% | 11.52% |
| Worst Day | -5.85% | -10.0% |
| Best Month | 10.51% | 14.08% |
| Worst Month | -9.24% | -7.81% |
| Best Year | 26.18% | 30.63% |
| Worst Year | -18.18% | 3.02% |
| Avg. Drawdown | -1.89% | -2.38% |
| Avg. Drawdown Days | 20 | 23 |
| Recovery Factor | 2.85 | 6.05 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 1.6 |
| Avg. Up Month | 4.1% | 3.71% |
| Avg. Down Month | -5.06% | -3.11% |
| Win Days | 54.04% | 55.06% |
| Win Month | 63.93% | 68.85% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.23 |
| Correlation | - | -15.88% |
| Treynor Ratio | - | -1153.41% |
| Year | SPY | QSPIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 3.02 | 0.40 | - |
| 2022 | -18.18 | 30.63 | -1.69 | + |
| 2023 | 26.18 | 12.31 | 0.47 | - |
| 2024 | 24.89 | 21.56 | 0.87 | - |
| 2025 | 17.72 | 14.81 | 0.84 | - |
| 2026 | 14.30 | 25.90 | 1.81 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-26 | 2023-02-13 | -17.13 | 264 |
| 2022-03-15 | 2022-05-03 | -13.16 | 50 |
| 2023-03-03 | 2023-08-16 | -11.23 | 167 |
| 2021-12-27 | 2022-01-12 | -10.00 | 17 |
| 2021-09-29 | 2021-12-15 | -9.76 | 78 |
| 2024-06-03 | 2025-01-14 | -9.31 | 226 |
| 2025-04-02 | 2025-08-01 | -8.11 | 122 |
| 2023-09-29 | 2024-01-18 | -7.68 | 112 |
| 2022-02-24 | 2022-03-11 | -5.42 | 16 |
| 2025-09-12 | 2025-10-30 | -5.09 | 49 |