Performance Report for Driftlight

7 May, 2024 - 8 May, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	31.0%
Cumulative Return	5.97%
CAGR﹪	2.02%
Sharpe	2.09
Prob. Sharpe Ratio	99.99%
Smart Sharpe	2.07
Sortino	3.41
Smart Sortino	3.38
Sortino/√2	2.41
Smart Sortino/√2	2.39
Omega	2.23
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.96%
Calmar	3.05
Skew	1.23
Kurtosis	25.06
Expected Daily	0.01%
Expected Monthly	0.23%
Expected Yearly	1.95%
Kelly Criterion	44.01%
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	1.23
Gain/Pain (1M)	4.3
Payoff Ratio	0.56
Profit Factor	2.23
Common Sense Ratio	112.15
CPC Index	1.0
Tail Ratio	50.38
Outlier Win Ratio	14.45
Outlier Loss Ratio	2.05
MTD	0.36%
3M	2.15%
6M	3.32%
YTD	3.59%
1Y	4.94%
3Y (ann.)	2.02%
5Y (ann.)	2.02%
10Y (ann.)	2.02%
All-time (ann.)	2.02%
Best Day	0.58%
Worst Day	-0.37%
Best Month	1.3%
Worst Month	-0.39%
Best Year	3.59%
Worst Year	0.28%
Avg. Drawdown	-0.21%
Avg. Drawdown Days	36
Recovery Factor	8.78
Ulcer Index	0.0
Serenity Index	3.63
Avg. Up Month	0.4%
Avg. Down Month	-0.19%
Win Days	79.91%
Win Month	72.0%
Win Quarter	88.89%
Win Year	100.0%