AKMB[Strategy] vs INav[Benchmark]

16 Jun, 2020 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	96.0%
Cumulative Return	37.57%	38.26%
CAGR﹪	8.65%	8.79%
Sharpe	-21.49	-24.13
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-17.83	-20.03
Sortino	-13.08	-13.55
Smart Sortino	-10.85	-11.25
Sortino/√2	-9.25	-9.58
Smart Sortino/√2	-7.67	-7.95
Omega	0.03	0.03
Max Drawdown	-16.61%	-16.77%
Longest DD Days	154	155
Volatility (ann.)	9.3%	8.28%
R^2	0.69	0.69
Information Ratio	-0.0	-0.0
Calmar	0.52	0.52
Skew	-5.21	-9.73
Kurtosis	133.15	276.98
Expected Daily	0.03%	0.03%
Expected Monthly	0.7%	0.71%
Expected Yearly	6.59%	6.69%
Kelly Criterion	7.94%	17.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.93%	-0.82%
Expected Shortfall (cVaR)	-0.93%	-0.82%
Max Consecutive Wins	8	14
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.31	0.53
Gain/Pain (1M)	1.94	2.08
Payoff Ratio	0.83	0.76
Profit Factor	1.31	1.53
Common Sense Ratio	1.66	2.22
CPC Index	0.63	0.75
Tail Ratio	1.27	1.45
Outlier Win Ratio	4.7	7.62
Outlier Loss Ratio	3.46	4.93
MTD	0.23%	0.54%
3M	0.73%	1.18%
6M	4.34%	4.46%
YTD	1.52%	1.95%
1Y	8.4%	9.35%
3Y (ann.)	8.79%	8.93%
5Y (ann.)	8.65%	8.79%
10Y (ann.)	8.65%	8.79%
All-time (ann.)	8.65%	8.79%
Best Day	6.66%	6.46%
Worst Day	-10.58%	-11.48%
Best Month	7.66%	6.35%
Worst Month	-9.27%	-9.62%
Best Year	11.72%	12.83%
Worst Year	1.52%	1.95%
Avg. Drawdown	-0.55%	-0.39%
Avg. Drawdown Days	9	8
Recovery Factor	2.26	2.28
Ulcer Index	0.03	0.02
Serenity Index	-31.43	-33.86
Avg. Up Month	1.37%	1.36%
Avg. Down Month	-2.52%	-2.33%
Win Days	58.32%	64.54%
Win Month	82.61%	82.61%
Win Quarter	88.24%	88.24%
Win Year	100.0%	100.0%
Beta	0.94	-
Alpha	0.01	-
Correlation	83.3%	-
Treynor Ratio	-707.9%	-