Performance Report for Driftlight

7 May, 2024 - 7 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	29.0%
Cumulative Return	4.76%
CAGR﹪	1.38%
Sharpe	1.35
Prob. Sharpe Ratio	99.16%
Smart Sharpe	1.35
Sortino	1.92
Smart Sortino	1.92
Sortino/√2	1.36
Smart Sortino/√2	1.36
Omega	1.69
Max Drawdown	-1.34%
Longest DD Days	166
Volatility (ann.)	1.02%
Calmar	1.03
Skew	-0.4
Kurtosis	25.47
Expected Daily	0.01%
Expected Monthly	0.16%
Expected Yearly	1.56%
Kelly Criterion	32.04%
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	0.69
Gain/Pain (1M)	1.76
Payoff Ratio	0.47
Profit Factor	1.69
Common Sense Ratio	57.32
CPC Index	0.62
Tail Ratio	33.88
Outlier Win Ratio	14.14
Outlier Loss Ratio	2.2
MTD	-0.3%
3M	-0.69%
6M	-0.18%
YTD	2.41%
1Y	2.87%
3Y (ann.)	1.38%
5Y (ann.)	1.38%
10Y (ann.)	1.38%
All-time (ann.)	1.38%
Best Day	0.58%
Worst Day	-0.54%
Best Month	1.3%
Worst Month	-0.99%
Best Year	2.41%
Worst Year	0.28%
Avg. Drawdown	-0.29%
Avg. Drawdown Days	41
Recovery Factor	3.48
Ulcer Index	0.0
Serenity Index	0.75
Avg. Up Month	0.39%
Avg. Down Month	-0.29%
Win Days	78.37%
Win Month	67.86%
Win Quarter	80.0%
Win Year	100.0%