Performance Report for Sepheron

7 Aug, 2019 - 2 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	2.0%
Cumulative Return	21.29%
CAGR﹪	1.88%
Sharpe	0.58
Prob. Sharpe Ratio	98.84%
Smart Sharpe	0.57
Sortino	1.27
Smart Sortino	1.26
Sortino/√2	0.9
Smart Sortino/√2	0.89
Omega	2.03
Max Drawdown	-5.93%
Longest DD Days	491
Volatility (ann.)	3.33%
Calmar	0.32
Skew	11.49
Kurtosis	254.35
Expected Daily	0.01%
Expected Monthly	0.22%
Expected Yearly	2.44%
Kelly Criterion	30.03%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.34%
Expected Shortfall (cVaR)	-0.34%
Max Consecutive Wins	2
Max Consecutive Losses	1
Gain/Pain Ratio	1.03
Gain/Pain (1M)	1.22
Payoff Ratio	1.41
Profit Factor	2.03
Common Sense Ratio	-
CPC Index	1.69
Tail Ratio	-
Outlier Win Ratio	0.0
Outlier Loss Ratio	-0.0
MTD	0.0%
3M	1.31%
6M	1.31%
YTD	3.57%
1Y	3.0%
3Y (ann.)	1.46%
5Y (ann.)	1.58%
10Y (ann.)	1.88%
All-time (ann.)	1.88%
Best Day	4.7%
Worst Day	-1.86%
Best Month	9.03%
Worst Month	-2.18%
Best Year	8.05%
Worst Year	-2.39%
Avg. Drawdown	-1.69%
Avg. Drawdown Days	133
Recovery Factor	3.35
Ulcer Index	0.02
Serenity Index	0.86
Avg. Up Month	1.91%
Avg. Down Month	-1.02%
Win Days	59.09%
Win Month	54.29%
Win Quarter	62.5%
Win Year	62.5%