David Shaw — Value_Area_Break 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	72.87%
CAGR﹪	3.62%
Sharpe	0.9
Prob. Sharpe Ratio	99.99%
Smart Sharpe	0.89
Sortino	1.68
Smart Sortino	1.67
Sortino/√2	1.19
Smart Sortino/√2	1.18
Omega	1.77
Max Drawdown	-5.33%
Max DD Date	2017-04-18
Max DD Period Start	2017-01-05
Max DD Period End	2017-05-23
Longest DD Days	609
Volatility (ann.)	4.05%
Calmar	0.68
Skew	2.62
Kurtosis	23.25
Ulcer Performance Index	28.5
Risk-Adjusted Return	60.32%
Risk-Return Ratio	0.06
Avg. Return	0.26%
Avg. Win	1.38%
Avg. Loss	-0.57%
Win/Loss Ratio	2.4
Profit Ratio	0.0
Expected Daily	0.01%
Expected Monthly	0.43%
Expected Yearly	5.1%
Kelly Criterion	18.52%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.4%
Expected Shortfall (cVaR)	-1.02%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	0.77
Gain/Pain (1M)	1.95
Payoff Ratio	2.4
Profit Factor	1.77
Common Sense Ratio	-
CPC Index	1.81
Tail Ratio	-
Outlier Win Ratio	41.64
Outlier Loss Ratio	1.81
MTD	0.0%
3M	-1.07%
6M	-1.13%
YTD	-1.13%
1Y	-3.12%
3Y (ann.)	2.92%
5Y (ann.)	2.19%
10Y (ann.)	3.88%
All-time (ann.)	3.62%
Best Day	1.46%
Worst Day	-1.27%
Best Month	5.66%
Worst Month	-2.23%
Best Year	17.8%
Worst Year	-2.73%
Avg. Drawdown	-2.01%
Avg. Drawdown Days	126
Recovery Factor	10.51
Ulcer Index	0.03
Serenity Index	1.16
Avg. Up Month	1.93%
Avg. Down Month	-0.68%
Win Days	42.47%
Win Month	51.16%
Win Quarter	56.76%
Win Year	63.64%