Performance Report for Falconflame

20 Jun, 2019 - 3 Jul, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	5.0%
Cumulative Return	44.55%
CAGR﹪	4.3%
Sharpe	0.94
Prob. Sharpe Ratio	99.98%
Smart Sharpe	0.92
Sortino	2.13
Smart Sortino	2.07
Sortino/√2	1.51
Smart Sortino/√2	1.46
Omega	2.35
Max Drawdown	-4.28%
Longest DD Days	504
Volatility (ann.)	4.56%
Calmar	1.01
Skew	9.14
Kurtosis	160.5
Expected Daily	0.02%
Expected Monthly	0.5%
Expected Yearly	5.4%
Kelly Criterion	36.78%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.46%
Expected Shortfall (cVaR)	-0.46%
Max Consecutive Wins	2
Max Consecutive Losses	1
Gain/Pain Ratio	1.35
Gain/Pain (1M)	2.39
Payoff Ratio	1.32
Profit Factor	2.35
Common Sense Ratio	-
CPC Index	1.98
Tail Ratio	-
Outlier Win Ratio	28.23
Outlier Loss Ratio	0.82
MTD	0.0%
3M	5.44%
6M	4.72%
YTD	4.72%
1Y	2.22%
3Y (ann.)	3.87%
5Y (ann.)	3.26%
10Y (ann.)	4.3%
All-time (ann.)	4.3%
Best Day	5.84%
Worst Day	-1.88%
Best Month	11.97%
Worst Month	-2.28%
Best Year	14.01%
Worst Year	-0.22%
Avg. Drawdown	-1.91%
Avg. Drawdown Days	151
Recovery Factor	8.82
Ulcer Index	0.02
Serenity Index	1.69
Avg. Up Month	1.74%
Avg. Down Month	-0.83%
Win Days	64.04%
Win Month	62.0%
Win Quarter	54.17%
Win Year	85.71%