Performance Report for Driftlight

7 May, 2024 - 28 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	30.0%
Cumulative Return	5.83%
CAGR﹪	1.59%
Sharpe	1.4
Prob. Sharpe Ratio	99.71%
Smart Sharpe	1.34
Sortino	2.17
Smart Sortino	2.08
Sortino/√2	1.53
Smart Sortino/√2	1.47
Omega	1.77
Max Drawdown	-1.34%
Longest DD Days	166
Volatility (ann.)	1.13%
Calmar	1.19
Skew	1.79
Kurtosis	43.28
Expected Daily	0.01%
Expected Monthly	0.19%
Expected Yearly	1.91%
Kelly Criterion	33.97%
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	0.77
Gain/Pain (1M)	2.14
Payoff Ratio	0.49
Profit Factor	1.77
Common Sense Ratio	65.77
CPC Index	0.68
Tail Ratio	37.25
Outlier Win Ratio	14.5
Outlier Loss Ratio	2.2
MTD	1.03%
3M	1.21%
6M	0.33%
YTD	3.45%
1Y	2.9%
3Y (ann.)	1.59%
5Y (ann.)	1.59%
10Y (ann.)	1.59%
All-time (ann.)	1.59%
Best Day	0.9%
Worst Day	-0.54%
Best Month	1.3%
Worst Month	-0.99%
Best Year	3.45%
Worst Year	0.28%
Avg. Drawdown	-0.27%
Avg. Drawdown Days	39
Recovery Factor	4.24
Ulcer Index	0.0
Serenity Index	0.9
Avg. Up Month	0.42%
Avg. Down Month	-0.3%
Win Days	78.33%
Win Month	68.97%
Win Quarter	81.82%
Win Year	100.0%