Performance Report for Moonshade

13 Apr, 2023 - 6 Jul, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	33.0%
Cumulative Return	48.45%
CAGR﹪	8.8%
Sharpe	0.88
Prob. Sharpe Ratio	97.76%
Smart Sharpe	0.83
Sortino	1.67
Smart Sortino	1.58
Sortino/√2	1.18
Smart Sortino/√2	1.12
Omega	1.31
Max Drawdown	-10.84%
Longest DD Days	185
Volatility (ann.)	10.21%
Calmar	0.81
Skew	2.07
Kurtosis	10.06
Expected Daily	0.03%
Expected Monthly	0.99%
Expected Yearly	10.38%
Kelly Criterion	9.97%
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)	1.19
Payoff Ratio	1.8
Profit Factor	1.31
Common Sense Ratio	1.95
CPC Index	0.99
Tail Ratio	1.49
Outlier Win Ratio	14.56
Outlier Loss Ratio	2.63
MTD	0.88%
3M	-5.42%
6M	0.44%
YTD	0.11%
1Y	23.51%
3Y (ann.)	8.55%
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	0.11%
Avg. Drawdown	-2.65%
Avg. Drawdown Days	30
Recovery Factor	3.87
Ulcer Index	0.04
Serenity Index	0.81
Avg. Up Month	2.75%
Avg. Down Month	-2.93%
Win Days	42.16%
Win Month	70.0%
Win Quarter	71.43%
Win Year	100.0%