Performance Report for Driftlight

7 May, 2024 - 7 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	29.0%
Cumulative Return	5.93%
CAGR﹪	1.66%
Sharpe	1.45
Prob. Sharpe Ratio	99.77%
Smart Sharpe	1.39
Sortino	2.27
Smart Sortino	2.18
Sortino/√2	1.6
Smart Sortino/√2	1.54
Omega	1.81
Max Drawdown	-1.34%
Longest DD Days	166
Volatility (ann.)	1.13%
Calmar	1.23
Skew	1.86
Kurtosis	43.54
Expected Daily	0.01%
Expected Monthly	0.19%
Expected Yearly	1.94%
Kelly Criterion	35.03%
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	0.81
Gain/Pain (1M)	2.17
Payoff Ratio	0.5
Profit Factor	1.81
Common Sense Ratio	67.84
CPC Index	0.7
Tail Ratio	37.54
Outlier Win Ratio	14.44
Outlier Loss Ratio	2.22
MTD	1.13%
3M	1.31%
6M	0.77%
YTD	3.55%
1Y	3.88%
3Y (ann.)	1.66%
5Y (ann.)	1.66%
10Y (ann.)	1.66%
All-time (ann.)	1.66%
Best Day	0.9%
Worst Day	-0.54%
Best Month	1.3%
Worst Month	-0.99%
Best Year	3.55%
Worst Year	0.28%
Avg. Drawdown	-0.29%
Avg. Drawdown Days	43
Recovery Factor	4.31
Ulcer Index	0.0
Serenity Index	0.9
Avg. Up Month	0.42%
Avg. Down Month	-0.3%
Win Days	78.43%
Win Month	68.97%
Win Quarter	81.82%
Win Year	100.0%