Adaptive Strategy Performance

Generating tear sheet...

Strategy Performance Tear Sheet

Institutional-grade performance analysis with risk-adjusted metrics, drawdown analysis, and optional CTA fee modeling.

Hypothetical Performance Disclosure

Results shown are a combination of simulated backtested data and live forward-tested data that began in January 2026. Forward testing is early-stage and no meaningful live track record exists at this time. Hypothetical performance results have many inherent limitations, including hindsight bias, perfect execution assumptions, and inability to account for real-world factors such as slippage, market impact, and emotional decision-making. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

Past performance is not indicative of future results. Trading futures involves substantial risk of loss and is not suitable for all investors. Read full Risk & Hypothetical Performance Disclosure

Portfolio / Strategy Name

Starting Capital ($)

Subtitle / Fund Name

Model CTA Fee Structure

Optional: applies mgmt & performance fees

Strategy

Contracts

Loading strategy data...

Link copied to clipboard!

Portfolio Equity Curve

Portfolio Drawdown

Strategy Comparison

Strategy Correlation Matrix

Strategy Contribution

Portfolio Monthly Returns (%)

Portfolio Annual Returns

Portfolio Risk-Adjusted Performance

Top 5 Portfolio Drawdowns

Diversification Benefit

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Trading futures involves substantial risk of loss and is not suitable for all investors. This tear sheet is for informational purposes only.

Cumulative Returns

Underwater (Drawdown) Chart

Strategy vs Buy-and-Hold Benchmark

Compares the strategy's risk-adjusted returns against a simple buy-and-hold position in the same instrument.

Correlation & Alpha Analysis

Monthly Returns (%)

Annual Returns

Risk-Adjusted Performance

Top 5 Drawdowns

Return Distribution

Trade Statistics

Day-of-Week Performance

Trade Efficiency (MAE/MFE)

Rolling 12-Month Performance

Profitable Windows

Notional-Normalized Edge Consistency

Returns normalized by contract notional value, removing the effect of price growth over time.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Trading futures involves substantial risk of loss and is not suitable for all investors. This tear sheet is for informational purposes only and does not constitute an offer to sell or solicitation to buy any securities.

Metrics Glossary

Metric	Category	Description
CAGR (Compound Annual Growth Rate)	Return	The annualized rate at which the account grew over the full period, assuming reinvestment of all profits.
Total Return	Return	Overall percentage gain or loss from start to finish, regardless of how long it took.
Net Profit	Return	Total dollar profit or loss over the full period.
Profitable Months	Return	Percentage of calendar months that ended with a net gain.
Best / Worst Month	Return	The single best and worst monthly return in the entire track record.
Equity R² (Coefficient of Determination)	Risk-Adjusted	Linear regression of the log equity curve against time. Measures how closely the equity curve hugs a straight upward trend line. R² near 1.0 means very smooth, consistent growth — the ideal equity curve. Below 0.75 suggests choppy, inconsistent returns.
K-Ratio	Risk-Adjusted	Developed by Lars Kestner. Measures both the slope and consistency of the log equity curve by dividing the regression slope by its standard error. Rewards strategies that grow steadily — a steep but erratic equity curve scores lower than a smoother one with the same CAGR. Above 0.5 is excellent; above 0.2 is good.
Sharpe Ratio	Risk-Adjusted	Return per unit of total volatility (annualized). Above 1.0 is good; above 2.0 is excellent.
Sortino Ratio	Risk-Adjusted	Like Sharpe, but only penalizes downside volatility. A more investor-friendly measure of risk-adjusted return.
MAR Ratio (Managed Accounts Reports)	Risk-Adjusted	CAGR divided by maximum drawdown. Measures annual return earned per unit of peak-to-trough pain. Above 0.5 is solid; above 1.0 is strong. Also called the Calmar Ratio when calculated over a fixed 3-year window.
Calmar Ratio	Risk-Adjusted	Similar to MAR but uses the most recent 3-year CAGR. Evaluates recent performance relative to drawdown risk.
Omega Ratio	Risk-Adjusted	Ratio of all gains above 0% to all losses below 0%. Above 1.0 means more winning than losing dollar-wise.
Ulcer Index	Risk-Adjusted	Measures the depth and duration of drawdowns combined. Below 5 is low stress; above 15 is high stress.
Recovery Factor	Risk-Adjusted	Net profit divided by maximum drawdown — how many times over the strategy has earned back its worst loss.
Max Drawdown	Drawdown	The largest peak-to-trough decline in account equity, as both a percentage and dollar amount. The most-watched risk metric.
Drawdown Duration	Drawdown	How long from the start of a drawdown to full recovery. Longer durations are harder on investors psychologically.
Underwater Chart	Drawdown	Visual showing how far below the previous equity peak the account was at any point in time.
Win Rate	Trade Stats	Percentage of trades that were profitable. A high win rate doesn't guarantee profitability if losses are much larger than wins.
Profit Factor (PF)	Trade Stats	Total gross profit divided by total gross loss. Above 1.5 is good; above 2.0 is very strong.
Expectancy	Trade Stats	Average dollar amount expected per trade, factoring in win rate and average win/loss size.
Win/Loss Ratio	Trade Stats	Average winning trade divided by average losing trade. Shows the size relationship between wins and losses.
VaR (Value at Risk)	Tail Risk	At 95% confidence, the worst loss you should expect in normal conditions — roughly 1 in 20 trades could be this bad or worse.
CVaR (Conditional Value at Risk)	Tail Risk	Also called Expected Shortfall — the average loss in the worst-case tail beyond the VaR threshold. More conservative than VaR alone.
Skewness	Tail Risk	Positive skew means occasional large wins with small frequent losses (desirable). Negative skew means occasional large losses with small frequent wins.
Kurtosis	Tail Risk	How "fat" the tails of the return distribution are. High kurtosis means more extreme outlier trades than a normal distribution would suggest.
Tail Ratio	Tail Risk	Ratio of the 95th percentile gain to the 95th percentile loss. Above 1.0 means the best outcomes are larger than the worst outcomes.
Buy & Hold Return	Benchmark	What a passive investor would have earned by buying the underlying instrument at the start and holding through the end.
Correlation	Benchmark	How closely monthly returns move with the market. Near 0 = largely independent; near 1.0 = highly market-dependent.
Beta	Benchmark	How much the strategy moves per 1% market move. Beta of 0.3 means roughly 0.3% strategy move per 1% market move.
Alpha	Benchmark	Annualized return above what market exposure (beta) would explain. Positive alpha represents genuine skill-based return.
R-Squared (R², Coefficient of Determination)	Benchmark	The square of the Pearson correlation coefficient (r). In this context it measures what percentage of the strategy's returns are explained by market movement — low R² is desirable, meaning the strategy is largely independent of the market. Note: R² applied to the equity curve itself measures smoothness of growth, where high R² is ideal.
Up / Down Capture	Benchmark	How much of the market's up-month gains and down-month losses the strategy participates in. Ideally: high up capture, low down capture.
Rolling 12-Month Return	Rolling / Edge	Strategy return measured over every consecutive 12-month window. Shows consistency across different market environments.
Rolling Sharpe	Rolling / Edge	Sharpe ratio over rolling 12-month windows. Consistently positive values indicate a durable, repeatable edge.
Notional-Normalized PF	Rolling / Edge	Profit factor relative to contract notional value, removing distortion from rising futures prices over time. Truer test of whether the edge has held up.