Performance Report for Driftlight

7 May, 2024 - 22 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	29.0%
Cumulative Return	4.93%
CAGR﹪	1.41%
Sharpe	1.38
Prob. Sharpe Ratio	99.3%
Smart Sharpe	1.37
Sortino	1.96
Smart Sortino	1.95
Sortino/√2	1.39
Smart Sortino/√2	1.38
Omega	1.7
Max Drawdown	-1.34%
Longest DD Days	166
Volatility (ann.)	1.02%
Calmar	1.05
Skew	-0.4
Kurtosis	25.46
Expected Daily	0.01%
Expected Monthly	0.17%
Expected Yearly	1.62%
Kelly Criterion	32.37%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.1%
Expected Shortfall (cVaR)	-0.1%
Max Consecutive Wins	4
Max Consecutive Losses	3
Gain/Pain Ratio	0.7
Gain/Pain (1M)	1.94
Payoff Ratio	0.47
Profit Factor	1.7
Common Sense Ratio	63.06
CPC Index	0.63
Tail Ratio	37.02
Outlier Win Ratio	13.95
Outlier Loss Ratio	2.18
MTD	-0.14%
3M	0.35%
6M	-0.02%
YTD	2.57%
1Y	3.22%
3Y (ann.)	1.41%
5Y (ann.)	1.41%
10Y (ann.)	1.41%
All-time (ann.)	1.41%
Best Day	0.58%
Worst Day	-0.54%
Best Month	1.3%
Worst Month	-0.99%
Best Year	2.57%
Worst Year	0.28%
Avg. Drawdown	-0.29%
Avg. Drawdown Days	42
Recovery Factor	3.59
Ulcer Index	0.0
Serenity Index	0.72
Avg. Up Month	0.39%
Avg. Down Month	-0.28%
Win Days	78.4%
Win Month	67.86%
Win Quarter	80.0%
Win Year	100.0%