Performance Report for Candlebelle

27 May, 2023 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	20.0%
Cumulative Return	73.12%
CAGR﹪	12.34%
Sharpe	1.07
Prob. Sharpe Ratio	98.74%
Smart Sharpe	1.05
Sortino	1.51
Smart Sortino	1.47
Sortino/√2	1.07
Smart Sortino/√2	1.04
Omega	1.58
Max Drawdown	-13.12%
Longest DD Days	334
Volatility (ann.)	11.43%
Calmar	0.94
Skew	-0.95
Kurtosis	21.47
Expected Daily	0.05%
Expected Monthly	1.38%
Expected Yearly	14.71%
Kelly Criterion	27.94%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.14%
Expected Shortfall (cVaR)	-1.14%
Max Consecutive Wins	3
Max Consecutive Losses	1
Gain/Pain Ratio	0.58
Gain/Pain (1M)	1.49
Payoff Ratio	0.5
Profit Factor	1.58
Common Sense Ratio	-
CPC Index	0.6
Tail Ratio	-
Outlier Win Ratio	20.83
Outlier Loss Ratio	1.77
MTD	2.43%
3M	2.16%
6M	16.24%
YTD	19.9%
1Y	9.2%
3Y (ann.)	14.36%
5Y (ann.)	12.34%
10Y (ann.)	12.34%
All-time (ann.)	12.34%
Best Day	4.24%
Worst Day	-4.9%
Best Month	12.88%
Worst Month	-9.31%
Best Year	27.37%
Worst Year	-5.55%
Avg. Drawdown	-3.73%
Avg. Drawdown Days	62
Recovery Factor	4.42
Ulcer Index	0.06
Serenity Index	0.68
Avg. Up Month	3.62%
Avg. Down Month	-3.26%
Win Days	75.95%
Win Month	69.23%
Win Quarter	71.43%
Win Year	75.0%