Performance Report for Driftlight

7 May, 2024 - 20 Feb, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	32.0%
Cumulative Return	4.57%
CAGR﹪	1.74%
Sharpe	1.76
Prob. Sharpe Ratio	99.82%
Smart Sharpe	1.74
Sortino	2.78
Smart Sortino	2.75
Sortino/√2	1.97
Smart Sortino/√2	1.95
Omega	1.95
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.98%
Calmar	2.62
Skew	1.16
Kurtosis	25.22
Expected Daily	0.01%
Expected Monthly	0.2%
Expected Yearly	1.5%
Kelly Criterion	38.17%
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	0.95
Gain/Pain (1M)	3.32
Payoff Ratio	0.53
Profit Factor	1.95
Common Sense Ratio	43.47
CPC Index	0.81
Tail Ratio	22.34
Outlier Win Ratio	15.45
Outlier Loss Ratio	2.26
MTD	1.14%
3M	1.97%
6M	3.28%
YTD	2.22%
1Y	4.03%
3Y (ann.)	1.74%
5Y (ann.)	1.74%
10Y (ann.)	1.74%
All-time (ann.)	1.74%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.14%
Worst Month	-0.39%
Best Year	2.22%
Worst Year	0.28%
Avg. Drawdown	-0.23%
Avg. Drawdown Days	38
Recovery Factor	6.77
Ulcer Index	0.0
Serenity Index	2.6
Avg. Up Month	0.39%
Avg. Down Month	-0.19%
Win Days	78.54%
Win Month	68.18%
Win Quarter	87.5%
Win Year	100.0%