David Shaw — Value_Area_Break BTC-USD (2026-08-22) (Compounded)

1 Jan, 2016 - 22 Aug, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	6.0%
Cumulative Return	75.15%
CAGR﹪	3.7%
Sharpe	0.92
Prob. Sharpe Ratio	99.99%
Smart Sharpe	0.91
Sortino	1.72
Smart Sortino	1.71
Sortino/√2	1.21
Smart Sortino/√2	1.21
Omega	1.79
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.)	4.06%
Calmar	0.69
Skew	2.62
Kurtosis	23.1
Ulcer Performance Index	29.33
Risk-Adjusted Return	61.68%
Risk-Return Ratio	0.06
Avg. Return	0.26%
Avg. Win	1.38%
Avg. Loss	-0.57%
Win/Loss Ratio	2.42
Profit Ratio	0.0
Expected Daily	0.01%
Expected Monthly	0.44%
Expected Yearly	5.23%
Kelly Criterion	18.78%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.41%
Expected Shortfall (cVaR)	-1.02%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	0.79
Gain/Pain (1M)	2.0
Payoff Ratio	2.42
Profit Factor	1.79
Common Sense Ratio	-
CPC Index	1.84
Tail Ratio	-
Outlier Win Ratio	41.26
Outlier Loss Ratio	1.83
MTD	1.32%
3M	1.32%
6M	0.18%
YTD	0.18%
1Y	-0.77%
3Y (ann.)	3.26%
5Y (ann.)	2.37%
10Y (ann.)	3.98%
All-time (ann.)	3.7%
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	10.76
Ulcer Index	0.03
Serenity Index	1.18
Avg. Up Month	1.92%
Avg. Down Month	-0.68%
Win Days	42.53%
Win Month	51.72%
Win Quarter	57.89%
Win Year	72.73%