Performance Report for Candlebelle

27 May, 2023 - 25 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	20.0%
Cumulative Return	71.3%
CAGR﹪	11.79%
Sharpe	1.04
Prob. Sharpe Ratio	98.6%
Smart Sharpe	1.01
Sortino	1.46
Smart Sortino	1.42
Sortino/√2	1.03
Smart Sortino/√2	1.0
Omega	1.57
Max Drawdown	-13.12%
Longest DD Days	334
Volatility (ann.)	11.31%
Calmar	0.9
Skew	-0.95
Kurtosis	21.93
Expected Daily	0.04%
Expected Monthly	1.32%
Expected Yearly	14.4%
Kelly Criterion	27.32%
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	0.57
Gain/Pain (1M)	1.43
Payoff Ratio	0.5
Profit Factor	1.57
Common Sense Ratio	-
CPC Index	0.6
Tail Ratio	-
Outlier Win Ratio	21.02
Outlier Loss Ratio	1.76
MTD	-1.06%
3M	5.3%
6M	7.46%
YTD	18.64%
1Y	10.8%
3Y (ann.)	13.41%
5Y (ann.)	11.79%
10Y (ann.)	11.79%
All-time (ann.)	11.79%
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	-3.56%
Avg. Drawdown Days	58
Recovery Factor	4.34
Ulcer Index	0.06
Serenity Index	0.68
Avg. Up Month	3.62%
Avg. Down Month	-3.09%
Win Days	75.63%
Win Month	67.5%
Win Quarter	71.43%
Win Year	75.0%