Performance Report for Driftlight

7 May, 2024 - 25 Aug, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	29.0%
Cumulative Return	4.8%
CAGR﹪	1.42%
Sharpe	1.4
Prob. Sharpe Ratio	99.3%
Smart Sharpe	1.39
Sortino	2.0
Smart Sortino	2.0
Sortino/√2	1.41
Smart Sortino/√2	1.41
Omega	1.73
Max Drawdown	-1.34%
Longest DD Days	166
Volatility (ann.)	1.01%
Calmar	1.05
Skew	-0.32
Kurtosis	26.49
Expected Daily	0.01%
Expected Monthly	0.17%
Expected Yearly	1.57%
Kelly Criterion	33.05%
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	0.73
Gain/Pain (1M)	2.0
Payoff Ratio	0.48
Profit Factor	1.73
Common Sense Ratio	59.46
CPC Index	0.64
Tail Ratio	34.4
Outlier Win Ratio	14.36
Outlier Loss Ratio	2.2
MTD	0.22%
3M	-0.75%
6M	0.15%
YTD	2.44%
1Y	3.37%
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	2.44%
Worst Year	0.28%
Avg. Drawdown	-0.29%
Avg. Drawdown Days	40
Recovery Factor	3.5
Ulcer Index	0.0
Serenity Index	0.79
Avg. Up Month	0.37%
Avg. Down Month	-0.29%
Win Days	78.42%
Win Month	70.37%
Win Quarter	80.0%
Win Year	100.0%