Performance Report for Driftlight

7 May, 2024 - 13 Nov, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	32.0%
Cumulative Return	2.44%
CAGR﹪	1.1%
Sharpe	1.35
Prob. Sharpe Ratio	97.05%
Smart Sharpe	1.34
Sortino	1.86
Smart Sortino	1.85
Sortino/√2	1.31
Smart Sortino/√2	1.3
Omega	1.62
Max Drawdown	-0.49%
Longest DD Days	166
Volatility (ann.)	0.81%
Calmar	2.23
Skew	-1.14
Kurtosis	17.08
Expected Daily	0.0%
Expected Monthly	0.13%
Expected Yearly	1.21%
Kelly Criterion	29.16%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.08%
Expected Shortfall (cVaR)	-0.08%
Max Consecutive Wins	4
Max Consecutive Losses	3
Gain/Pain Ratio	0.62
Gain/Pain (1M)	2.44
Payoff Ratio	0.5
Profit Factor	1.62
Common Sense Ratio	31.33
CPC Index	0.62
Tail Ratio	19.36
Outlier Win Ratio	12.34
Outlier Loss Ratio	1.85
MTD	-0.03%
3M	1.29%
6M	1.37%
YTD	2.15%
1Y	2.33%
3Y (ann.)	1.1%
5Y (ann.)	1.1%
10Y (ann.)	1.1%
All-time (ann.)	1.1%
Best Day	0.29%
Worst Day	-0.37%
Best Month	0.75%
Worst Month	-0.21%
Best Year	2.15%
Worst Year	0.28%
Avg. Drawdown	-0.2%
Avg. Drawdown Days	35
Recovery Factor	4.9
Ulcer Index	0.0
Serenity Index	1.36
Avg. Up Month	0.28%
Avg. Down Month	-0.14%
Win Days	76.3%
Win Month	63.16%
Win Quarter	85.71%
Win Year	100.0%