Performance Report for Moonshade

13 Apr, 2023 - 7 Aug, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	33.0%
Cumulative Return	50.04%
CAGR﹪	8.8%
Sharpe	0.88
Prob. Sharpe Ratio	97.95%
Smart Sharpe	0.84
Sortino	1.68
Smart Sortino	1.6
Sortino/√2	1.19
Smart Sortino/√2	1.13
Omega	1.31
Max Drawdown	-10.84%
Longest DD Days	185
Volatility (ann.)	10.16%
Calmar	0.81
Skew	2.1
Kurtosis	10.19
Expected Daily	0.03%
Expected Monthly	0.99%
Expected Yearly	10.68%
Kelly Criterion	10.09%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.02%
Expected Shortfall (cVaR)	-1.02%
Max Consecutive Wins	4
Max Consecutive Losses	4
Gain/Pain Ratio	0.31
Gain/Pain (1M)	1.22
Payoff Ratio	1.8
Profit Factor	1.31
Common Sense Ratio	1.91
CPC Index	1.0
Tail Ratio	1.45
Outlier Win Ratio	14.73
Outlier Loss Ratio	2.6
MTD	1.68%
3M	-5.39%
6M	0.87%
YTD	1.19%
1Y	13.13%
3Y (ann.)	9.52%
5Y (ann.)	8.8%
10Y (ann.)	8.8%
All-time (ann.)	8.8%
Best Day	4.17%
Worst Day	-2.87%
Best Month	8.01%
Worst Month	-7.03%
Best Year	33.7%
Worst Year	1.19%
Avg. Drawdown	-2.65%
Avg. Drawdown Days	31
Recovery Factor	3.97
Ulcer Index	0.04
Serenity Index	0.76
Avg. Up Month	2.69%
Avg. Down Month	-2.93%
Win Days	42.24%
Win Month	70.73%
Win Quarter	71.43%
Win Year	100.0%