Performance Report for Candlebelle

27 May, 2023 - 10 Jul, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	20.0%
Cumulative Return	47.25%
CAGR﹪	13.41%
Sharpe	1.14
Prob. Sharpe Ratio	97.16%
Smart Sharpe	1.09
Sortino	1.6
Smart Sortino	1.54
Sortino/√2	1.13
Smart Sortino/√2	1.09
Omega	1.64
Max Drawdown	-11.63%
Longest DD Days	334
Volatility (ann.)	11.67%
Calmar	1.15
Skew	-0.96
Kurtosis	21.3
Expected Daily	0.05%
Expected Monthly	1.44%
Expected Yearly	13.77%
Kelly Criterion	30.56%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.16%
Expected Shortfall (cVaR)	-1.16%
Max Consecutive Wins	3
Max Consecutive Losses	1
Gain/Pain Ratio	0.64
Gain/Pain (1M)	1.49
Payoff Ratio	0.46
Profit Factor	1.64
Common Sense Ratio	-
CPC Index	0.59
Tail Ratio	-
Outlier Win Ratio	21.79
Outlier Loss Ratio	1.61
MTD	1.55%
3M	11.27%
6M	29.81%
YTD	29.9%
1Y	38.36%
3Y (ann.)	13.41%
5Y (ann.)	13.41%
10Y (ann.)	13.41%
All-time (ann.)	13.41%
Best Day	4.2%
Worst Day	-4.9%
Best Month	12.88%
Worst Month	-9.31%
Best Year	29.9%
Worst Year	-5.55%
Avg. Drawdown	-3.47%
Avg. Drawdown Days	44
Recovery Factor	3.51
Ulcer Index	0.05
Serenity Index	0.58
Avg. Up Month	3.64%
Avg. Down Month	-3.9%
Win Days	78.15%
Win Month	73.08%
Win Quarter	70.0%
Win Year	66.67%