Performance Report for Driftlight

7 May, 2024 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	32.0%
Cumulative Return	2.52%
CAGR﹪	1.15%
Sharpe	1.41
Prob. Sharpe Ratio	97.47%
Smart Sharpe	1.4
Sortino	1.95
Smart Sortino	1.93
Sortino/√2	1.38
Smart Sortino/√2	1.37
Omega	1.66
Max Drawdown	-0.49%
Longest DD Days	166
Volatility (ann.)	0.81%
Calmar	2.33
Skew	-1.14
Kurtosis	17.29
Expected Daily	0.0%
Expected Monthly	0.13%
Expected Yearly	1.25%
Kelly Criterion	30.47%
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	0.66
Gain/Pain (1M)	2.59
Payoff Ratio	0.5
Profit Factor	1.66
Common Sense Ratio	32.63
CPC Index	0.64
Tail Ratio	19.68
Outlier Win Ratio	12.29
Outlier Loss Ratio	1.86
MTD	0.05%
3M	1.45%
6M	1.52%
YTD	2.23%
1Y	2.42%
3Y (ann.)	1.15%
5Y (ann.)	1.15%
10Y (ann.)	1.15%
All-time (ann.)	1.15%
Best Day	0.29%
Worst Day	-0.37%
Best Month	0.75%
Worst Month	-0.21%
Best Year	2.23%
Worst Year	0.28%
Avg. Drawdown	-0.19%
Avg. Drawdown Days	35
Recovery Factor	5.06
Ulcer Index	0.0
Serenity Index	1.42
Avg. Up Month	0.27%
Avg. Down Month	-0.16%
Win Days	76.74%
Win Month	68.42%
Win Quarter	85.71%
Win Year	100.0%