Performance Report for Driftlight

7 May, 2024 - 20 Apr, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	31.0%
Cumulative Return	5.47%
CAGR﹪	1.9%
Sharpe	1.96
Prob. Sharpe Ratio	99.97%
Smart Sharpe	1.95
Sortino	3.18
Smart Sortino	3.15
Sortino/√2	2.25
Smart Sortino/√2	2.23
Omega	2.13
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.96%
Calmar	2.87
Skew	1.23
Kurtosis	25.37
Expected Daily	0.01%
Expected Monthly	0.22%
Expected Yearly	1.79%
Kelly Criterion	42.24%
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	1.13
Gain/Pain (1M)	3.95
Payoff Ratio	0.54
Profit Factor	2.13
Common Sense Ratio	84.87
CPC Index	0.92
Tail Ratio	39.9
Outlier Win Ratio	15.0
Outlier Loss Ratio	2.11
MTD	0.33%
3M	2.86%
6M	2.83%
YTD	3.1%
1Y	4.83%
3Y (ann.)	1.9%
5Y (ann.)	1.9%
10Y (ann.)	1.9%
All-time (ann.)	1.9%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.39%
Best Year	3.1%
Worst Year	0.28%
Avg. Drawdown	-0.23%
Avg. Drawdown Days	38
Recovery Factor	8.07
Ulcer Index	0.0
Serenity Index	3.27
Avg. Up Month	0.39%
Avg. Down Month	-0.19%
Win Days	79.72%
Win Month	70.83%
Win Quarter	88.89%
Win Year	100.0%