| Metric | SPY | QSPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 204.97% | 143.28% |
| CAGR﹪ | 16.25% | 12.76% |
| Sharpe | 0.72 | 0.72 |
| Prob. Sharpe Ratio | 97.45% | 97.4% |
| Smart Sharpe | 0.63 | 0.71 |
| Sortino | 1.02 | 1.03 |
| Smart Sortino | 0.88 | 1.02 |
| Sortino/√2 | 0.72 | 0.73 |
| Smart Sortino/√2 | 0.62 | 0.72 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -33.72% | -29.41% |
| Max DD Date | 2020-03-23 | 2020-12-08 |
| Max DD Period Start | 2020-02-20 | 2019-06-13 |
| Max DD Period End | 2020-08-07 | 2021-12-22 |
| Longest DD Days | 708 | 924 |
| Volatility (ann.) | 19.45% | 14.15% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.48 | 0.43 |
| Skew | -0.29 | 0.13 |
| Kurtosis | 13.94 | 23.9 |
| Ulcer Performance Index | 25.91 | 13.92 |
| Risk-Adjusted Return | 16.25% | 13.72% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.76% | 0.61% |
| Avg. Loss | -0.85% | -0.65% |
| Win/Loss Ratio | 0.89 | 0.93 |
| Profit Ratio | 0.78 | 0.67 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.25% | 0.99% |
| Expected Yearly | 14.96% | 11.75% |
| Kelly Criterion | 4.78% | 3.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.41% |
| Expected Shortfall (cVaR) | -3.2% | -2.11% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.18 |
| Gain/Pain (1M) | 1.15 | 0.99 |
| Payoff Ratio | 0.89 | 0.93 |
| Profit Factor | 1.18 | 1.18 |
| Common Sense Ratio | 1.13 | 1.24 |
| CPC Index | 0.58 | 0.59 |
| Tail Ratio | 0.96 | 1.05 |
| Outlier Win Ratio | 3.69 | 3.56 |
| Outlier Loss Ratio | 4.12 | 3.19 |
| 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.) | 16.25% | 12.76% |
| All-time (ann.) | 16.25% | 12.76% |
| Best Day | 10.5% | 11.52% |
| Worst Day | -10.94% | -10.0% |
| Best Month | 12.7% | 14.08% |
| Worst Month | -12.49% | -7.81% |
| Best Year | 28.73% | 30.63% |
| Worst Year | -18.18% | -21.96% |
| Avg. Drawdown | -1.79% | -2.6% |
| Avg. Drawdown Days | 16 | 34 |
| Recovery Factor | 3.72 | 3.28 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.03 | 0.35 |
| Avg. Up Month | 4.02% | 3.62% |
| Avg. Down Month | -4.89% | -2.86% |
| Win Days | 55.15% | 53.58% |
| Win Month | 65.56% | 57.3% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 75.0% |
| Beta | - | -0.07 |
| Alpha | - | 0.14 |
| Correlation | - | -9.3% |
| Treynor Ratio | - | -2116.18% |
| Year | SPY | QSPIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -4.27 | -0.26 | - |
| 2020 | 18.33 | -21.96 | -1.20 | - |
| 2021 | 28.73 | 23.27 | 0.81 | - |
| 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 |
|---|---|---|---|
| 2019-06-13 | 2021-12-22 | -29.41 | 924 |
| 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 |