Performance Report for Moonshade

13 Apr, 2023 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	33.0%
Cumulative Return	54.48%
CAGR﹪	8.82%
Sharpe	0.89
Prob. Sharpe Ratio	98.34%
Smart Sharpe	0.84
Sortino	1.7
Smart Sortino	1.61
Sortino/√2	1.2
Smart Sortino/√2	1.14
Omega	1.32
Max Drawdown	-10.84%
Longest DD Days	185
Volatility (ann.)	10.12%
Calmar	0.81
Skew	2.13
Kurtosis	10.31
Expected Daily	0.03%
Expected Monthly	1.02%
Expected Yearly	11.48%
Kelly Criterion	10.15%
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	0.32
Gain/Pain (1M)	1.28
Payoff Ratio	1.82
Profit Factor	1.32
Common Sense Ratio	1.9
CPC Index	1.01
Tail Ratio	1.44
Outlier Win Ratio	14.91
Outlier Loss Ratio	2.62
MTD	4.51%
3M	4.69%
6M	-2.36%
YTD	4.18%
1Y	11.14%
3Y (ann.)	8.33%
5Y (ann.)	8.82%
10Y (ann.)	8.82%
All-time (ann.)	8.82%
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	4.25
Ulcer Index	0.05
Serenity Index	0.71
Avg. Up Month	2.73%
Avg. Down Month	-2.77%
Win Days	42.07%
Win Month	69.77%
Win Quarter	73.33%
Win Year	100.0%