Performance Report for Driftlight

7 May, 2024 - 1 May, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	31.0%
Cumulative Return	5.7%
CAGR﹪	1.95%
Sharpe	2.02
Prob. Sharpe Ratio	99.98%
Smart Sharpe	2.0
Sortino	3.28
Smart Sortino	3.24
Sortino/√2	2.32
Smart Sortino/√2	2.29
Omega	2.17
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.96%
Calmar	2.95
Skew	1.23
Kurtosis	25.39
Expected Daily	0.01%
Expected Monthly	0.22%
Expected Yearly	1.87%
Kelly Criterion	42.99%
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	1.17
Gain/Pain (1M)	4.11
Payoff Ratio	0.56
Profit Factor	2.17
Common Sense Ratio	106.46
CPC Index	0.96
Tail Ratio	48.99
Outlier Win Ratio	14.75
Outlier Loss Ratio	2.09
MTD	0.11%
3M	2.23%
6M	3.16%
YTD	3.33%
1Y	4.69%
3Y (ann.)	1.95%
5Y (ann.)	1.95%
10Y (ann.)	1.95%
All-time (ann.)	1.95%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.39%
Best Year	3.33%
Worst Year	0.28%
Avg. Drawdown	-0.21%
Avg. Drawdown Days	36
Recovery Factor	8.4
Ulcer Index	0.0
Serenity Index	3.44
Avg. Up Month	0.38%
Avg. Down Month	-0.19%
Win Days	79.64%
Win Month	72.0%
Win Quarter	88.89%
Win Year	100.0%