Performance Report for Driftlight

7 May, 2024 - 28 Nov, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	32.0%
Cumulative Return	2.7%
CAGR﹪	1.18%
Sharpe	1.46
Prob. Sharpe Ratio	98.03%
Smart Sharpe	1.45
Sortino	2.03
Smart Sortino	2.01
Sortino/√2	1.43
Smart Sortino/√2	1.42
Omega	1.68
Max Drawdown	-0.49%
Longest DD Days	166
Volatility (ann.)	0.81%
Calmar	2.4
Skew	-1.12
Kurtosis	17.11
Expected Daily	0.0%
Expected Monthly	0.14%
Expected Yearly	1.34%
Kelly Criterion	31.24%
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	0.68
Gain/Pain (1M)	2.77
Payoff Ratio	0.5
Profit Factor	1.68
Common Sense Ratio	33.81
CPC Index	0.65
Tail Ratio	20.08
Outlier Win Ratio	12.2
Outlier Loss Ratio	1.85
MTD	0.23%
3M	1.15%
6M	1.98%
YTD	2.41%
1Y	2.42%
3Y (ann.)	1.18%
5Y (ann.)	1.18%
10Y (ann.)	1.18%
All-time (ann.)	1.18%
Best Day	0.29%
Worst Day	-0.37%
Best Month	0.75%
Worst Month	-0.21%
Best Year	2.41%
Worst Year	0.28%
Avg. Drawdown	-0.2%
Avg. Drawdown Days	37
Recovery Factor	5.41
Ulcer Index	0.0
Serenity Index	1.46
Avg. Up Month	0.28%
Avg. Down Month	-0.16%
Win Days	76.97%
Win Month	68.42%
Win Quarter	85.71%
Win Year	100.0%