Performance Report for Driftlight

7 May, 2024 - 12 Jun, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	31.0%
Cumulative Return	5.13%
CAGR﹪	1.66%
Sharpe	1.64
Prob. Sharpe Ratio	99.77%
Smart Sharpe	1.63
Sortino	2.46
Smart Sortino	2.44
Sortino/√2	1.74
Smart Sortino/√2	1.73
Omega	1.85
Max Drawdown	-0.81%
Longest DD Days	166
Volatility (ann.)	1.01%
Calmar	2.05
Skew	0.41
Kurtosis	22.58
Expected Daily	0.01%
Expected Monthly	0.19%
Expected Yearly	1.68%
Kelly Criterion	35.97%
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	0.85
Gain/Pain (1M)	2.77
Payoff Ratio	0.51
Profit Factor	1.85
Common Sense Ratio	52.37
CPC Index	0.74
Tail Ratio	28.34
Outlier Win Ratio	14.03
Outlier Loss Ratio	2.35
MTD	-0.46%
3M	0.17%
6M	2.46%
YTD	2.76%
1Y	4.15%
3Y (ann.)	1.66%
5Y (ann.)	1.66%
10Y (ann.)	1.66%
All-time (ann.)	1.66%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.46%
Best Year	2.76%
Worst Year	0.28%
Avg. Drawdown	-0.25%
Avg. Drawdown Days	35
Recovery Factor	6.19
Ulcer Index	0.0
Serenity Index	2.97
Avg. Up Month	0.38%
Avg. Down Month	-0.23%
Win Days	78.39%
Win Month	69.23%
Win Quarter	88.89%
Win Year	100.0%