Performance Report for Driftlight

7 May, 2024 - 17 Sep, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	31.0%
Cumulative Return	1.65%
CAGR﹪	0.83%
Sharpe	1.1
Prob. Sharpe Ratio	93.1%
Smart Sharpe	1.1
Sortino	1.49
Smart Sortino	1.48
Sortino/√2	1.06
Smart Sortino/√2	1.05
Omega	1.48
Max Drawdown	-0.49%
Longest DD Days	166
Volatility (ann.)	0.75%
Calmar	1.69
Skew	-1.13
Kurtosis	15.72
Expected Daily	0.0%
Expected Monthly	0.1%
Expected Yearly	0.82%
Kelly Criterion	24.26%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.07%
Expected Shortfall (cVaR)	-0.07%
Max Consecutive Wins	4
Max Consecutive Losses	3
Gain/Pain Ratio	0.48
Gain/Pain (1M)	1.7
Payoff Ratio	0.5
Profit Factor	1.48
Common Sense Ratio	27.7
CPC Index	0.56
Tail Ratio	18.7
Outlier Win Ratio	12.72
Outlier Loss Ratio	2.01
MTD	0.08%
3M	0.71%
6M	1.29%
YTD	1.37%
1Y	1.36%
3Y (ann.)	0.83%
5Y (ann.)	0.83%
10Y (ann.)	0.83%
All-time (ann.)	0.83%
Best Day	0.27%
Worst Day	-0.3%
Best Month	0.75%
Worst Month	-0.21%
Best Year	1.37%
Worst Year	0.28%
Avg. Drawdown	-0.18%
Avg. Drawdown Days	36
Recovery Factor	3.33
Ulcer Index	0.0
Serenity Index	0.86
Avg. Up Month	0.24%
Avg. Down Month	-0.16%
Win Days	74.68%
Win Month	64.71%
Win Quarter	83.33%
Win Year	100.0%