Performance Report for Driftlight

7 May, 2024 - 12 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	29.0%
Cumulative Return	6.01%
CAGR﹪	1.67%
Sharpe	1.47
Prob. Sharpe Ratio	99.8%
Smart Sharpe	1.41
Sortino	2.29
Smart Sortino	2.2
Sortino/√2	1.62
Smart Sortino/√2	1.55
Omega	1.82
Max Drawdown	-1.34%
Longest DD Days	166
Volatility (ann.)	1.13%
Calmar	1.24
Skew	1.86
Kurtosis	43.7
Expected Daily	0.01%
Expected Monthly	0.19%
Expected Yearly	1.96%
Kelly Criterion	35.31%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.11%
Expected Shortfall (cVaR)	-0.11%
Max Consecutive Wins	4
Max Consecutive Losses	3
Gain/Pain Ratio	0.82
Gain/Pain (1M)	2.2
Payoff Ratio	0.5
Profit Factor	1.82
Common Sense Ratio	70.87
CPC Index	0.71
Tail Ratio	39.0
Outlier Win Ratio	14.44
Outlier Loss Ratio	2.21
MTD	1.2%
3M	1.38%
6M	0.63%
YTD	3.62%
1Y	3.65%
3Y (ann.)	1.67%
5Y (ann.)	1.67%
10Y (ann.)	1.67%
All-time (ann.)	1.67%
Best Day	0.9%
Worst Day	-0.54%
Best Month	1.3%
Worst Month	-0.99%
Best Year	3.62%
Worst Year	0.28%
Avg. Drawdown	-0.29%
Avg. Drawdown Days	43
Recovery Factor	4.36
Ulcer Index	0.0
Serenity Index	0.91
Avg. Up Month	0.43%
Avg. Down Month	-0.3%
Win Days	78.52%
Win Month	68.97%
Win Quarter	81.82%
Win Year	100.0%