Strategy Tearsheet (Compounded)

20 Apr, 2026 - 3 Jun, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	4.0%
Cumulative Return	-0.14%
CAGR﹪	-0.81%
Sharpe	-0.22
Prob. Sharpe Ratio	5.77%
Smart Sharpe	-0.22
Sortino	-0.24
Smart Sortino	-0.24
Sortino/√2	-0.17
Smart Sortino/√2	-0.17
Omega	0.73
Max Drawdown	-0.21%
Max DD Date	2026-05-27
Max DD Period Start	2026-04-21
Max DD Period End	2026-06-03
Longest DD Days	44
Volatility (ann.)	0.02%
Calmar	-3.77
Skew	-18.84
Kurtosis	610.33
Ulcer Performance Index	-1.24
Risk-Adjusted Return	-20.19%
Risk-Return Ratio	-0.01
Avg. Return	-0.0%
Avg. Win	0.0%
Avg. Loss	-0.0%
Win/Loss Ratio	1.46
Profit Ratio	0.0
Expected Daily	-0.0%
Expected Monthly	-0.05%
Expected Yearly	-0.14%
Kelly Criterion	-12.12%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.0%
Expected Shortfall (cVaR)	-0.01%
Max Consecutive Wins	1
Max Consecutive Losses	1
Gain/Pain Ratio	-0.46
Gain/Pain (1M)	-0.87
Payoff Ratio	1.46
Profit Factor	0.73
Common Sense Ratio	-
CPC Index	0.36
Tail Ratio	-
Outlier Win Ratio	32.52
Outlier Loss Ratio	0.09
MTD	0.02%
3M	-0.14%
6M	-0.14%
YTD	-0.14%
1Y	-0.14%
3Y (ann.)	-0.81%
5Y (ann.)	-0.81%
10Y (ann.)	-0.81%
All-time (ann.)	-0.81%
Best Day	0.01%
Worst Day	-0.05%
Best Month	0.02%
Worst Month	-0.16%
Best Year	-0.14%
Worst Year	-0.14%
Avg. Drawdown	-0.03%
Avg. Drawdown Days	7
Recovery Factor	0.66
Ulcer Index	0.0
Serenity Index	-0.01
Avg. Up Month	0.01%
Avg. Down Month	-0.16%
Win Days	33.43%
Win Month	66.67%
Win Quarter	0.0%
Win Year	0.0%