AKGD[Strategy] vs INav[Benchmark]

3 Jan, 2022 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	100.7%	100.27%
CAGR﹪	23.15%	23.07%
Sharpe	0.76	0.77
Prob. Sharpe Ratio	46.76%	47.8%
Smart Sharpe	0.75	0.76
Sortino	1.1	1.11
Smart Sortino	1.08	1.1
Sortino/√2	0.78	0.79
Smart Sortino/√2	0.77	0.78
Omega	1.15	1.15
Max Drawdown	-42.54%	-41.33%
Longest DD Days	379	372
Volatility (ann.)	22.16%	21.72%
R^2	0.75	0.75
Information Ratio	0.0	0.0
Calmar	0.54	0.56
Skew	0.04	0.02
Kurtosis	4.43	4.55
Expected Daily	0.08%	0.08%
Expected Monthly	1.71%	1.71%
Expected Yearly	19.02%	18.96%
Kelly Criterion	6.86%	7.78%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.2%	-2.16%
Expected Shortfall (cVaR)	-2.2%	-2.16%
Max Consecutive Wins	15	11
Max Consecutive Losses	8	10
Gain/Pain Ratio	0.21	0.22
Gain/Pain (1M)	0.97	1.01
Payoff Ratio	0.94	0.95
Profit Factor	1.21	1.22
Common Sense Ratio	1.18	1.19
CPC Index	0.63	0.64
Tail Ratio	0.98	0.97
Outlier Win Ratio	3.71	3.87
Outlier Loss Ratio	3.98	4.19
MTD	2.24%	1.74%
3M	-1.84%	-2.71%
6M	3.44%	3.58%
YTD	2.86%	2.3%
1Y	29.31%	29.02%
3Y (ann.)	35.71%	36.23%
5Y (ann.)	23.15%	23.07%
10Y (ann.)	23.15%	23.07%
All-time (ann.)	23.15%	23.07%
Best Day	9.01%	7.33%
Worst Day	-6.62%	-6.44%
Best Month	17.11%	17.51%
Worst Month	-18.31%	-17.04%
Best Year	43.19%	44.91%
Worst Year	-4.66%	-5.43%
Avg. Drawdown	-4.4%	-3.58%
Avg. Drawdown Days	41	32
Recovery Factor	2.37	2.43
Ulcer Index	0.17	0.16
Serenity Index	0.23	0.25
Avg. Up Month	5.9%	5.77%
Avg. Down Month	-5.59%	-5.38%
Win Days	54.78%	55.16%
Win Month	65.85%	65.85%
Win Quarter	78.57%	78.57%
Win Year	75.0%	75.0%
Beta	0.88	-
Alpha	0.03	-
Correlation	86.45%	-
Treynor Ratio	106.22%	-