Performance Report for Driftlight

7 May, 2024 - 29 May, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	31.0%
Cumulative Return	5.61%
CAGR﹪	1.85%
Sharpe	1.89
Prob. Sharpe Ratio	99.95%
Smart Sharpe	1.87
Sortino	2.97
Smart Sortino	2.94
Sortino/√2	2.1
Smart Sortino/√2	2.08
Omega	2.05
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.97%
Calmar	2.79
Skew	0.9
Kurtosis	24.25
Expected Daily	0.01%
Expected Monthly	0.22%
Expected Yearly	1.84%
Kelly Criterion	40.32%
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	1.05
Gain/Pain (1M)	4.05
Payoff Ratio	0.55
Profit Factor	2.05
Common Sense Ratio	66.58
CPC Index	0.88
Tail Ratio	32.54
Outlier Win Ratio	14.28
Outlier Loss Ratio	2.28
MTD	0.02%
3M	0.84%
6M	2.84%
YTD	3.24%
1Y	4.88%
3Y (ann.)	1.85%
5Y (ann.)	1.85%
10Y (ann.)	1.85%
All-time (ann.)	1.85%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.39%
Best Year	3.24%
Worst Year	0.28%
Avg. Drawdown	-0.23%
Avg. Drawdown Days	34
Recovery Factor	8.28
Ulcer Index	0.0
Serenity Index	3.39
Avg. Up Month	0.38%
Avg. Down Month	-0.19%
Win Days	78.88%
Win Month	72.0%
Win Quarter	88.89%
Win Year	100.0%