Performance Report for Driftlight

7 May, 2024 - 16 Jan, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	32.0%
Cumulative Return	2.54%
CAGR﹪	1.02%
Sharpe	1.21
Prob. Sharpe Ratio	96.19%
Smart Sharpe	1.17
Sortino	1.6
Smart Sortino	1.55
Sortino/√2	1.13
Smart Sortino/√2	1.1
Omega	1.53
Max Drawdown	-0.66%
Longest DD Days	166
Volatility (ann.)	0.85%
Calmar	1.55
Skew	-1.51
Kurtosis	16.19
Expected Daily	0.0%
Expected Monthly	0.12%
Expected Yearly	0.84%
Kelly Criterion	26.88%
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	0.53
Gain/Pain (1M)	1.86
Payoff Ratio	0.44
Profit Factor	1.53
Common Sense Ratio	30.73
CPC Index	0.53
Tail Ratio	20.08
Outlier Win Ratio	12.05
Outlier Loss Ratio	2.33
MTD	0.23%
3M	0.12%
6M	1.68%
YTD	0.23%
1Y	2.04%
3Y (ann.)	1.02%
5Y (ann.)	1.02%
10Y (ann.)	1.02%
All-time (ann.)	1.02%
Best Day	0.29%
Worst Day	-0.37%
Best Month	0.75%
Worst Month	-0.39%
Best Year	2.01%
Worst Year	0.23%
Avg. Drawdown	-0.23%
Avg. Drawdown Days	37
Recovery Factor	3.8
Ulcer Index	0.0
Serenity Index	1.23
Avg. Up Month	0.28%
Avg. Down Month	-0.19%
Win Days	77.55%
Win Month	66.67%
Win Quarter	87.5%
Win Year	100.0%