Strategy Tearsheet (Compounded)

2 Sep, 2025 - 22 Oct, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	8.0%
Cumulative Return	-0.11%
CAGR﹪	-0.56%
Sharpe	-0.23
Prob. Sharpe Ratio	8.65%
Smart Sharpe	-0.23
Sortino	-0.43
Smart Sortino	-0.43
Sortino/√2	-0.3
Smart Sortino/√2	-0.3
Omega	0.85
Max Drawdown	-0.15%
Max DD Date	2025-10-20
Max DD Period Start	2025-09-08
Max DD Period End	2025-10-22
Longest DD Days	45
Volatility (ann.)	0.01%
Calmar	-3.84
Skew	9.73
Kurtosis	230.29
Ulcer Performance Index	-1.43
Risk-Adjusted Return	-7.06%
Risk-Return Ratio	-0.01
Avg. Return	-0.0%
Avg. Win	0.0%
Avg. Loss	-0.0%
Win/Loss Ratio	1.54
Profit Ratio	0.0
Expected Daily	-0.0%
Expected Monthly	-0.06%
Expected Yearly	-0.11%
Kelly Criterion	-6.37%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.0%
Expected Shortfall (cVaR)	-0.0%
Max Consecutive Wins	1
Max Consecutive Losses	1
Gain/Pain Ratio	-0.47
Gain/Pain (1M)	-1.0
Payoff Ratio	1.54
Profit Factor	0.85
Common Sense Ratio	-
CPC Index	0.46
Tail Ratio	-
Outlier Win Ratio	23.54
Outlier Loss Ratio	1.61
MTD	-0.04%
3M	-0.11%
6M	-0.11%
YTD	-0.11%
1Y	-0.11%
3Y (ann.)	-0.56%
5Y (ann.)	-0.56%
10Y (ann.)	-0.56%
All-time (ann.)	-0.56%
Best Day	0.02%
Worst Day	-0.01%
Best Month	-0.04%
Worst Month	-0.07%
Best Year	-0.11%
Worst Year	-0.11%
Avg. Drawdown	-0.03%
Avg. Drawdown Days	8
Recovery Factor	0.75
Ulcer Index	0.0
Serenity Index	-0.01
Avg. Up Month	-
Avg. Down Month	-0.06%
Win Days	35.47%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%