Performance Report for Candlebelle

27 May, 2023 - 26 Jun, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	21.0%
Cumulative Return	62.68%
CAGR﹪	11.51%
Sharpe	0.99
Prob. Sharpe Ratio	97.83%
Smart Sharpe	0.97
Sortino	1.38
Smart Sortino	1.35
Sortino/√2	0.98
Smart Sortino/√2	0.95
Omega	1.52
Max Drawdown	-13.12%
Longest DD Days	334
Volatility (ann.)	11.63%
Calmar	0.88
Skew	-1.0
Kurtosis	20.93
Expected Daily	0.04%
Expected Monthly	1.29%
Expected Yearly	12.94%
Kelly Criterion	25.87%
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	0.52
Gain/Pain (1M)	1.33
Payoff Ratio	0.5
Profit Factor	1.52
Common Sense Ratio	-
CPC Index	0.58
Tail Ratio	-
Outlier Win Ratio	21.23
Outlier Loss Ratio	1.76
MTD	-2.77%
3M	2.06%
6M	14.48%
YTD	12.67%
1Y	6.91%
3Y (ann.)	11.38%
5Y (ann.)	11.51%
10Y (ann.)	11.51%
All-time (ann.)	11.51%
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	60
Recovery Factor	3.94
Ulcer Index	0.06
Serenity Index	0.59
Avg. Up Month	3.66%
Avg. Down Month	-3.26%
Win Days	75.22%
Win Month	67.57%
Win Quarter	69.23%
Win Year	75.0%