| Metric | QQQ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 101.42% | 271.76% |
| CAGR﹪ | 15.12% | 30.22% |
| Sharpe | 0.73 | 0.86 |
| Prob. Sharpe Ratio | 94.81% | 97.25% |
| Smart Sharpe | 0.72 | 0.85 |
| Sortino | 1.05 | 1.23 |
| Smart Sortino | 1.04 | 1.22 |
| Sortino/√2 | 0.74 | 0.87 |
| Smart Sortino/√2 | 0.74 | 0.86 |
| Omega | 1.13 | 1.16 |
| Max Drawdown | -35.12% | -50.65% |
| Max DD Date | 2022-11-03 | 2022-10-14 |
| Max DD Period Start | 2021-12-28 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2024-02-08 |
| Longest DD Days | 715 | 814 |
| Volatility (ann.) | 22.98% | 39.77% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.43 | 0.6 |
| Skew | 0.18 | -0.09 |
| Kurtosis | 4.87 | 2.17 |
| Ulcer Performance Index | 7.46 | 11.48 |
| Risk-Adjusted Return | 15.12% | 30.22% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.14% |
| Avg. Win | 1.15% | 2.04% |
| Avg. Loss | -1.25% | -2.22% |
| Win/Loss Ratio | 0.91 | 0.92 |
| Profit Ratio | 0.79 | 0.76 |
| Expected Daily | 0.06% | 0.1% |
| Expected Monthly | 1.15% | 2.18% |
| Expected Yearly | 12.38% | 24.46% |
| Kelly Criterion | 4.57% | 5.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.32% | -3.98% |
| Expected Shortfall (cVaR) | -3.27% | -5.45% |
| Max Consecutive Wins | 13 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.13 | 0.16 |
| Gain/Pain (1M) | 0.77 | 0.95 |
| Payoff Ratio | 0.91 | 0.92 |
| Profit Factor | 1.13 | 1.16 |
| Common Sense Ratio | 1.12 | 1.01 |
| CPC Index | 0.56 | 0.58 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 3.27 | 3.45 |
| Outlier Loss Ratio | 3.57 | 3.27 |
| MTD | 4.43% | 8.25% |
| 3M | 1.13% | -3.1% |
| 6M | 17.77% | 33.01% |
| YTD | 17.23% | 39.79% |
| 1Y | 25.65% | 55.45% |
| 3Y (ann.) | 26.11% | 55.68% |
| 5Y (ann.) | 14.81% | 29.22% |
| 10Y (ann.) | 15.12% | 30.22% |
| All-time (ann.) | 15.12% | 30.22% |
| Best Day | 12.0% | 15.77% |
| Worst Day | -6.21% | -9.44% |
| Best Month | 15.69% | 32.56% |
| Worst Month | -13.6% | -22.67% |
| Best Year | 54.86% | 72.41% |
| Worst Year | -32.58% | -42.06% |
| Avg. Drawdown | -3.2% | -6.17% |
| Avg. Drawdown Days | 30 | 28 |
| Recovery Factor | 2.37 | 3.37 |
| Ulcer Index | 0.14 | 0.24 |
| Serenity Index | 0.3 | 0.39 |
| Avg. Up Month | 5.7% | 10.15% |
| Avg. Down Month | -5.62% | -10.03% |
| Win Days | 54.43% | 54.98% |
| Win Month | 60.66% | 65.57% |
| Win Quarter | 57.14% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.52 |
| Alpha | - | 0.09 |
| Correlation | - | 88.01% |
| Treynor Ratio | - | 178.45% |
| Year | QQQ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.51 | 18.43 | 2.17 | + |
| 2022 | -32.58 | -42.06 | 1.29 | - |
| 2023 | 54.86 | 72.41 | 1.32 | + |
| 2024 | 25.58 | 50.52 | 1.97 | + |
| 2025 | 20.77 | 49.36 | 2.38 | + |
| 2026 | 17.23 | 39.79 | 2.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-02-08 | -50.65 | 814 |
| 2025-02-19 | 2025-06-23 | -37.93 | 125 |
| 2026-06-23 | 2026-08-11 | -31.29 | 50 |
| 2024-07-17 | 2024-10-11 | -20.72 | 87 |
| 2025-10-30 | 2026-01-27 | -17.63 | 90 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2024-03-26 | 2024-05-23 | -13.81 | 59 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2025-01-24 | 2025-02-13 | -10.36 | 21 |
| 2025-01-07 | 2025-01-16 | -8.36 | 10 |