Performance Report for Driftlight

7 May, 2024 - 6 Mar, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	32.0%
Cumulative Return	4.95%
CAGR﹪	1.84%
Sharpe	1.86
Prob. Sharpe Ratio	99.91%
Smart Sharpe	1.85
Sortino	2.98
Smart Sortino	2.95
Sortino/√2	2.11
Smart Sortino/√2	2.09
Omega	2.02
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.98%
Calmar	2.78
Skew	1.18
Kurtosis	24.81
Expected Daily	0.01%
Expected Monthly	0.21%
Expected Yearly	1.62%
Kelly Criterion	39.87%
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	1.02
Gain/Pain (1M)	3.59
Payoff Ratio	0.54
Profit Factor	2.02
Common Sense Ratio	54.55
CPC Index	0.87
Tail Ratio	26.97
Outlier Win Ratio	15.11
Outlier Loss Ratio	2.24
MTD	0.21%
3M	2.06%
6M	3.06%
YTD	2.59%
1Y	4.57%
3Y (ann.)	1.84%
5Y (ann.)	1.84%
10Y (ann.)	1.84%
All-time (ann.)	1.84%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.39%
Best Year	2.59%
Worst Year	0.28%
Avg. Drawdown	-0.23%
Avg. Drawdown Days	38
Recovery Factor	7.32
Ulcer Index	0.0
Serenity Index	2.86
Avg. Up Month	0.39%
Avg. Down Month	-0.19%
Win Days	78.85%
Win Month	69.57%
Win Quarter	87.5%
Win Year	100.0%