Strategy Tearsheet (Compounded)

2 Sep, 2025 - 22 Oct, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	17.0%
Cumulative Return	-0.28%
CAGR﹪	-1.42%
Sharpe	-0.58
Prob. Sharpe Ratio	0.1%
Smart Sharpe	-0.58
Sortino	-1.03
Smart Sortino	-1.03
Sortino/√2	-0.73
Smart Sortino/√2	-0.73
Omega	0.68
Max Drawdown	-0.29%
Max DD Date	2025-10-21
Max DD Period Start	2025-09-08
Max DD Period End	2025-10-22
Longest DD Days	45
Volatility (ann.)	0.01%
Calmar	-4.83
Skew	9.31
Kurtosis	223.23
Ulcer Performance Index	-1.74
Risk-Adjusted Return	-8.33%
Risk-Return Ratio	-0.04
Avg. Return	-0.0%
Avg. Win	0.0%
Avg. Loss	-0.0%
Win/Loss Ratio	3.77
Profit Ratio	0.02
Expected Daily	-0.0%
Expected Monthly	-0.14%
Expected Yearly	-0.28%
Kelly Criterion	-7.21%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.0%
Expected Shortfall (cVaR)	-0.0%
Max Consecutive Wins	1
Max Consecutive Losses	4
Gain/Pain Ratio	-0.79
Gain/Pain (1M)	-1.0
Payoff Ratio	3.77
Profit Factor	0.68
Common Sense Ratio	0.0
CPC Index	0.39
Tail Ratio	0.0
Outlier Win Ratio	20.67
Outlier Loss Ratio	4.25
MTD	-0.09%
3M	-0.28%
6M	-0.28%
YTD	-0.28%
1Y	-0.28%
3Y (ann.)	-1.42%
5Y (ann.)	-1.42%
10Y (ann.)	-1.42%
All-time (ann.)	-1.42%
Best Day	0.02%
Worst Day	-0.01%
Best Month	-0.09%
Worst Month	-0.18%
Best Year	-0.28%
Worst Year	-0.28%
Avg. Drawdown	-0.08%
Avg. Drawdown Days	13
Recovery Factor	0.95
Ulcer Index	0.0
Serenity Index	-0.0
Avg. Up Month	-
Avg. Down Month	-0.14%
Win Days	15.28%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%