Performance Report for Moonshade

13 Apr, 2023 - 31 Jul, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	33.0%
Cumulative Return	47.55%
CAGR﹪	8.48%
Sharpe	0.85
Prob. Sharpe Ratio	97.59%
Smart Sharpe	0.81
Sortino	1.63
Smart Sortino	1.54
Sortino/√2	1.15
Smart Sortino/√2	1.09
Omega	1.3
Max Drawdown	-10.84%
Longest DD Days	185
Volatility (ann.)	10.11%
Calmar	0.78
Skew	2.09
Kurtosis	10.31
Expected Daily	0.03%
Expected Monthly	0.98%
Expected Yearly	10.21%
Kelly Criterion	9.82%
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	0.3
Gain/Pain (1M)	1.17
Payoff Ratio	1.79
Profit Factor	1.3
Common Sense Ratio	1.84
CPC Index	0.98
Tail Ratio	1.41
Outlier Win Ratio	14.87
Outlier Loss Ratio	2.61
MTD	0.28%
3M	-6.74%
6M	-0.83%
YTD	-0.49%
1Y	15.82%
3Y (ann.)	9.03%
5Y (ann.)	8.48%
10Y (ann.)	8.48%
All-time (ann.)	8.48%
Best Day	4.17%
Worst Day	-2.87%
Best Month	8.01%
Worst Month	-7.03%
Best Year	33.7%
Worst Year	-0.49%
Avg. Drawdown	-2.65%
Avg. Drawdown Days	30
Recovery Factor	3.81
Ulcer Index	0.04
Serenity Index	0.74
Avg. Up Month	2.73%
Avg. Down Month	-2.93%
Win Days	42.2%
Win Month	70.0%
Win Quarter	71.43%
Win Year	75.0%