Performance Report for Candlebelle

27 May, 2023 - 22 May, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	21.0%
Cumulative Return	70.35%
CAGR﹪	13.09%
Sharpe	1.12
Prob. Sharpe Ratio	98.72%
Smart Sharpe	1.08
Sortino	1.58
Smart Sortino	1.53
Sortino/√2	1.12
Smart Sortino/√2	1.08
Omega	1.61
Max Drawdown	-13.12%
Longest DD Days	334
Volatility (ann.)	11.59%
Calmar	1.0
Skew	-0.88
Kurtosis	20.98
Expected Daily	0.05%
Expected Monthly	1.45%
Expected Yearly	14.24%
Kelly Criterion	28.93%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.15%
Expected Shortfall (cVaR)	-1.15%
Max Consecutive Wins	3
Max Consecutive Losses	1
Gain/Pain Ratio	0.61
Gain/Pain (1M)	1.55
Payoff Ratio	0.5
Profit Factor	1.61
Common Sense Ratio	-
CPC Index	0.62
Tail Ratio	-
Outlier Win Ratio	21.48
Outlier Loss Ratio	1.75
MTD	3.98%
3M	14.49%
6M	11.87%
YTD	17.98%
1Y	10.23%
3Y (ann.)	13.14%
5Y (ann.)	13.09%
10Y (ann.)	13.09%
All-time (ann.)	13.09%
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	-3.54%
Avg. Drawdown Days	61
Recovery Factor	4.28
Ulcer Index	0.06
Serenity Index	0.63
Avg. Up Month	3.74%
Avg. Down Month	-3.3%
Win Days	76.26%
Win Month	69.44%
Win Quarter	69.23%
Win Year	75.0%