Performance Report for Driftlight

7 May, 2024 - 5 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	29.0%
Cumulative Return	5.07%
CAGR﹪	1.42%
Sharpe	1.4
Prob. Sharpe Ratio	99.41%
Smart Sharpe	1.4
Sortino	2.0
Smart Sortino	2.0
Sortino/√2	1.41
Smart Sortino/√2	1.41
Omega	1.72
Max Drawdown	-1.34%
Longest DD Days	166
Volatility (ann.)	1.01%
Calmar	1.06
Skew	-0.4
Kurtosis	25.75
Expected Daily	0.01%
Expected Monthly	0.16%
Expected Yearly	1.66%
Kelly Criterion	32.96%
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	0.72
Gain/Pain (1M)	2.1
Payoff Ratio	0.47
Profit Factor	1.72
Common Sense Ratio	73.52
CPC Index	0.64
Tail Ratio	42.68
Outlier Win Ratio	13.93
Outlier Loss Ratio	2.17
MTD	0.0%
3M	0.48%
6M	-0.06%
YTD	2.7%
1Y	3.03%
3Y (ann.)	1.42%
5Y (ann.)	1.42%
10Y (ann.)	1.42%
All-time (ann.)	1.42%
Best Day	0.58%
Worst Day	-0.54%
Best Month	1.3%
Worst Month	-0.99%
Best Year	2.7%
Worst Year	0.28%
Avg. Drawdown	-0.29%
Avg. Drawdown Days	43
Recovery Factor	3.69
Ulcer Index	0.0
Serenity Index	0.71
Avg. Up Month	0.39%
Avg. Down Month	-0.26%
Win Days	78.57%
Win Month	67.86%
Win Quarter	80.0%
Win Year	100.0%