Performance Report for Moonshade

13 Apr, 2023 - 16 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	32.0%
Cumulative Return	58.73%
CAGR﹪	9.51%
Sharpe	0.95
Prob. Sharpe Ratio	98.86%
Smart Sharpe	0.9
Sortino	1.84
Smart Sortino	1.75
Sortino/√2	1.3
Smart Sortino/√2	1.24
Omega	1.34
Max Drawdown	-10.84%
Longest DD Days	185
Volatility (ann.)	10.13%
Calmar	0.88
Skew	2.15
Kurtosis	10.33
Expected Daily	0.04%
Expected Monthly	1.08%
Expected Yearly	12.25%
Kelly Criterion	10.82%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.01%
Expected Shortfall (cVaR)	-1.01%
Max Consecutive Wins	4
Max Consecutive Losses	4
Gain/Pain Ratio	0.34
Gain/Pain (1M)	1.35
Payoff Ratio	1.84
Profit Factor	1.34
Common Sense Ratio	2.0
CPC Index	1.05
Tail Ratio	1.49
Outlier Win Ratio	14.84
Outlier Loss Ratio	2.58
MTD	7.39%
3M	6.93%
6M	-0.49%
YTD	7.05%
1Y	16.41%
3Y (ann.)	9.25%
5Y (ann.)	9.51%
10Y (ann.)	9.51%
All-time (ann.)	9.51%
Best Day	4.17%
Worst Day	-2.87%
Best Month	8.01%
Worst Month	-7.03%
Best Year	33.7%
Worst Year	2.37%
Avg. Drawdown	-2.65%
Avg. Drawdown Days	33
Recovery Factor	4.5
Ulcer Index	0.05
Serenity Index	0.75
Avg. Up Month	2.83%
Avg. Down Month	-2.77%
Win Days	42.2%
Win Month	69.77%
Win Quarter	73.33%
Win Year	100.0%