AKMB[Strategy] vs INav[Benchmark]

16 Jun, 2020 - 1 Feb, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	97.0%
Cumulative Return	21.89%	21.98%
CAGR﹪	7.82%	7.85%
Sharpe	-18.35	-20.31
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-15.22	-16.85
Sortino	-12.39	-12.87
Smart Sortino	-10.28	-10.67
Sortino/√2	-8.76	-9.1
Smart Sortino/√2	-7.27	-7.55
Omega	0.04	0.04
Max Drawdown	-16.61%	-16.77%
Longest DD Days	154	155
Volatility (ann.)	10.92%	9.87%
R^2	0.73	0.73
Information Ratio	0.0	0.0
Calmar	0.47	0.47
Skew	-4.77	-8.5
Kurtosis	103.07	202.4
Expected Daily	0.03%	0.03%
Expected Monthly	0.62%	0.62%
Expected Yearly	5.07%	5.09%
Kelly Criterion	6.28%	12.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.1%	-0.99%
Expected Shortfall (cVaR)	-1.1%	-0.99%
Max Consecutive Wins	8	14
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.25	0.4
Gain/Pain (1M)	1.36	1.39
Payoff Ratio	0.79	0.7
Profit Factor	1.25	1.4
Common Sense Ratio	1.88	1.78
CPC Index	0.58	0.63
Tail Ratio	1.5	1.27
Outlier Win Ratio	4.68	7.33
Outlier Loss Ratio	4.65	6.37
MTD	0.02%	-0.02%
3M	3.12%	3.04%
6M	5.54%	5.78%
YTD	0.49%	1.49%
1Y	10.3%	10.46%
3Y (ann.)	7.82%	7.85%
5Y (ann.)	7.82%	7.85%
10Y (ann.)	7.82%	7.85%
All-time (ann.)	7.82%	7.85%
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	8.1%	7.27%
Worst Year	0.49%	1.49%
Avg. Drawdown	-0.6%	-0.47%
Avg. Drawdown Days	8	8
Recovery Factor	1.32	1.31
Ulcer Index	0.03	0.03
Serenity Index	-26.41	-28.09
Avg. Up Month	1.48%	1.47%
Avg. Down Month	-2.7%	-2.62%
Win Days	58.73%	64.03%
Win Month	81.25%	78.12%
Win Quarter	83.33%	83.33%
Win Year	100.0%	100.0%
Beta	0.95	-
Alpha	0.01	-
Correlation	85.68%	-
Treynor Ratio	-715.15%	-