| Metric | SPY | QSPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.99% | 193.37% |
| CAGR﹪ | 11.91% | 24.17% |
| Sharpe | 0.52 | 1.23 |
| Prob. Sharpe Ratio | 87.6% | 99.65% |
| Smart Sharpe | 0.5 | 1.22 |
| Sortino | 0.74 | 1.79 |
| Smart Sortino | 0.72 | 1.78 |
| Sortino/√2 | 0.53 | 1.27 |
| Smart Sortino/√2 | 0.51 | 1.26 |
| Omega | 1.14 | 1.31 |
| 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.) | 17.19% | 15.47% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.49 | 1.41 |
| Skew | 0.33 | 0.1 |
| Kurtosis | 8.98 | 24.65 |
| Ulcer Performance Index | 8.86 | 39.32 |
| Risk-Adjusted Return | 11.91% | 25.99% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.05% | 0.1% |
| Avg. Win | 0.7% | 0.66% |
| Avg. Loss | -0.7% | -0.69% |
| Win/Loss Ratio | 1.01 | 0.96 |
| Profit Ratio | 0.86 | 0.64 |
| Expected Daily | 0.04% | 0.09% |
| Expected Monthly | 0.92% | 1.78% |
| Expected Yearly | 9.77% | 19.65% |
| Kelly Criterion | 7.31% | 9.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.51% |
| Expected Shortfall (cVaR) | -2.58% | -2.38% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.31 |
| Gain/Pain (1M) | 0.79 | 2.25 |
| Payoff Ratio | 1.01 | 0.96 |
| Profit Factor | 1.14 | 1.31 |
| Common Sense Ratio | 1.15 | 1.29 |
| CPC Index | 0.61 | 0.7 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.46 |
| Outlier Loss Ratio | 3.8 | 3.4 |
| MTD | 1.47% | -0.27% |
| 3M | 1.46% | 10.6% |
| 6M | 6.94% | 16.98% |
| YTD | 13.33% | 29.02% |
| 1Y | 13.43% | 28.51% |
| 3Y (ann.) | 20.78% | 21.23% |
| 5Y (ann.) | 12.86% | 23.02% |
| 10Y (ann.) | 11.91% | 24.17% |
| All-time (ann.) | 11.91% | 24.17% |
| Best Day | 10.5% | 11.52% |
| Worst Day | -5.85% | -10.0% |
| Best Month | 10.51% | 14.08% |
| Worst Month | -9.24% | -7.28% |
| Best Year | 26.18% | 30.63% |
| Worst Year | -18.18% | 11.05% |
| Avg. Drawdown | -1.94% | -2.14% |
| Avg. Drawdown Days | 21 | 20 |
| Recovery Factor | 2.58 | 6.63 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 1.83 |
| Avg. Up Month | 4.22% | 3.7% |
| Avg. Down Month | -5.06% | -3.11% |
| Win Days | 53.48% | 55.71% |
| Win Month | 62.3% | 68.85% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.25 |
| Correlation | - | -15.61% |
| Treynor Ratio | - | -1376.89% |
| Year | SPY | QSPIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 11.05 | 6.39 | + |
| 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 | 13.33 | 29.02 | 2.18 | + |
| 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 |
| 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 |
| 2026-04-07 | 2026-05-29 | -4.14 | 53 |