Performance Report for Candlebelle

27 May, 2023 - 15 Sep, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	20.0%
Cumulative Return	55.03%
CAGR﹪	14.02%
Sharpe	1.21
Prob. Sharpe Ratio	98.23%
Smart Sharpe	1.16
Sortino	1.71
Smart Sortino	1.64
Sortino/√2	1.21
Smart Sortino/√2	1.16
Omega	1.69
Max Drawdown	-11.63%
Longest DD Days	334
Volatility (ann.)	11.39%
Calmar	1.21
Skew	-0.97
Kurtosis	21.91
Expected Daily	0.05%
Expected Monthly	1.52%
Expected Yearly	15.74%
Kelly Criterion	31.91%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.13%
Expected Shortfall (cVaR)	-1.13%
Max Consecutive Wins	3
Max Consecutive Losses	1
Gain/Pain Ratio	0.69
Gain/Pain (1M)	1.56
Payoff Ratio	0.48
Profit Factor	1.69
Common Sense Ratio	-
CPC Index	0.64
Tail Ratio	-
Outlier Win Ratio	21.04
Outlier Loss Ratio	1.67
MTD	-2.02%
3M	0.46%
6M	22.75%
YTD	36.76%
1Y	48.89%
3Y (ann.)	14.02%
5Y (ann.)	14.02%
10Y (ann.)	14.02%
All-time (ann.)	14.02%
Best Day	4.2%
Worst Day	-4.9%
Best Month	12.88%
Worst Month	-9.31%
Best Year	36.76%
Worst Year	-5.55%
Avg. Drawdown	-3.47%
Avg. Drawdown Days	49
Recovery Factor	3.96
Ulcer Index	0.05
Serenity Index	0.64
Avg. Up Month	3.82%
Avg. Down Month	-3.67%
Win Days	77.84%
Win Month	71.43%
Win Quarter	70.0%
Win Year	66.67%