Performance Report for Driftlight

7 May, 2024 - 24 Apr, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	31.0%
Cumulative Return	5.48%
CAGR﹪	1.89%
Sharpe	1.96
Prob. Sharpe Ratio	99.97%
Smart Sharpe	1.95
Sortino	3.17
Smart Sortino	3.15
Sortino/√2	2.24
Smart Sortino/√2	2.23
Omega	2.13
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.96%
Calmar	2.86
Skew	1.23
Kurtosis	25.53
Expected Daily	0.01%
Expected Monthly	0.22%
Expected Yearly	1.79%
Kelly Criterion	42.33%
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	1.13
Gain/Pain (1M)	3.96
Payoff Ratio	0.54
Profit Factor	2.13
Common Sense Ratio	85.31
CPC Index	0.91
Tail Ratio	40.07
Outlier Win Ratio	15.02
Outlier Loss Ratio	2.08
MTD	0.34%
3M	2.82%
6M	2.76%
YTD	3.11%
1Y	4.75%
3Y (ann.)	1.89%
5Y (ann.)	1.89%
10Y (ann.)	1.89%
All-time (ann.)	1.89%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.39%
Best Year	3.11%
Worst Year	0.28%
Avg. Drawdown	-0.23%
Avg. Drawdown Days	38
Recovery Factor	8.09
Ulcer Index	0.0
Serenity Index	3.28
Avg. Up Month	0.39%
Avg. Down Month	-0.19%
Win Days	79.82%
Win Month	70.83%
Win Quarter	88.89%
Win Year	100.0%