Performance Report for Driftlight

7 May, 2024 - 6 Apr, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	30.0%
Cumulative Return	5.13%
CAGR﹪	1.82%
Sharpe	1.88
Prob. Sharpe Ratio	99.94%
Smart Sharpe	1.86
Sortino	3.01
Smart Sortino	2.99
Sortino/√2	2.13
Smart Sortino/√2	2.11
Omega	2.06
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.96%
Calmar	2.75
Skew	1.22
Kurtosis	25.58
Expected Daily	0.01%
Expected Monthly	0.21%
Expected Yearly	1.68%
Kelly Criterion	40.63%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.09%
Expected Shortfall (cVaR)	-0.09%
Max Consecutive Wins	4
Max Consecutive Losses	3
Gain/Pain Ratio	1.06
Gain/Pain (1M)	3.71
Payoff Ratio	0.55
Profit Factor	2.06
Common Sense Ratio	70.62
CPC Index	0.89
Tail Ratio	34.32
Outlier Win Ratio	15.38
Outlier Loss Ratio	2.18
MTD	0.0%
3M	2.72%
6M	3.09%
YTD	2.76%
1Y	4.59%
3Y (ann.)	1.82%
5Y (ann.)	1.82%
10Y (ann.)	1.82%
All-time (ann.)	1.82%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.39%
Best Year	2.76%
Worst Year	0.28%
Avg. Drawdown	-0.23%
Avg. Drawdown Days	38
Recovery Factor	7.57
Ulcer Index	0.0
Serenity Index	3.02
Avg. Up Month	0.38%
Avg. Down Month	-0.19%
Win Days	79.05%
Win Month	70.83%
Win Quarter	88.89%
Win Year	100.0%