Value_Area_Break+momentum_up BTC-USD (2026-08-15) (Compounded)

1 Jan, 2016 - 15 Aug, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	6.0%
Cumulative Return	62.29%
CAGR﹪	3.19%
Sharpe	0.83
Prob. Sharpe Ratio	99.97%
Smart Sharpe	0.81
Sortino	1.53
Smart Sortino	1.5
Sortino/√2	1.08
Smart Sortino/√2	1.06
Omega	1.72
Max Drawdown	-6.57%
Max DD Date	2026-05-19
Max DD Period Start	2024-03-15
Max DD Period End	2026-08-15
Longest DD Days	884
Volatility (ann.)	3.9%
Calmar	0.49
Skew	2.72
Kurtosis	25.18
Ulcer Performance Index	19.71
Risk-Adjusted Return	53.25%
Risk-Return Ratio	0.05
Avg. Return	0.24%
Avg. Win	1.38%
Avg. Loss	-0.56%
Win/Loss Ratio	2.48
Profit Ratio	0.0
Expected Daily	0.01%
Expected Monthly	0.38%
Expected Yearly	4.5%
Kelly Criterion	17.12%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.39%
Expected Shortfall (cVaR)	-0.99%
Max Consecutive Wins	3
Max Consecutive Losses	2
Gain/Pain Ratio	0.72
Gain/Pain (1M)	1.87
Payoff Ratio	2.48
Profit Factor	1.72
Common Sense Ratio	-
CPC Index	1.74
Tail Ratio	-
Outlier Win Ratio	45.03
Outlier Loss Ratio	1.86
MTD	0.0%
3M	-0.52%
6M	-0.57%
YTD	-0.57%
1Y	-2.57%
3Y (ann.)	1.51%
5Y (ann.)	1.69%
10Y (ann.)	3.19%
All-time (ann.)	3.19%
Best Day	1.46%
Worst Day	-1.15%
Best Month	5.66%
Worst Month	-2.21%
Best Year	15.51%
Worst Year	-3.49%
Avg. Drawdown	-1.98%
Avg. Drawdown Days	142
Recovery Factor	7.55
Ulcer Index	0.03
Serenity Index	0.62
Avg. Up Month	1.86%
Avg. Down Month	-0.68%
Win Days	40.95%
Win Month	51.25%
Win Quarter	50.0%
Win Year	63.64%