AKNX[Strategy] vs INav[Benchmark]

20 Dec, 2018 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	98.0%
Cumulative Return	92.23%	117.5%
CAGR﹪	22.76%	27.62%
Sharpe	0.66	0.88
Prob. Sharpe Ratio	36.75%	54.37%
Smart Sharpe	0.56	0.76
Sortino	0.88	1.25
Smart Sortino	0.75	1.07
Sortino/√2	0.62	0.88
Smart Sortino/√2	0.53	0.76
Omega	1.14	1.14
Max Drawdown	-32.75%	-29.36%
Longest DD Days	106	106
Volatility (ann.)	26.97%	23.41%
R^2	0.8	0.8
Information Ratio	-0.02	-0.02
Calmar	0.7	0.94
Skew	-1.76	-0.22
Kurtosis	23.56	4.39
Expected Daily	0.08%	0.1%
Expected Monthly	1.69%	2.01%
Expected Yearly	13.96%	16.81%
Kelly Criterion	6.87%	9.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.7%	-2.32%
Expected Shortfall (cVaR)	-2.7%	-2.32%
Max Consecutive Wins	11	8
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.2	0.24
Gain/Pain (1M)	1.18	1.48
Payoff Ratio	0.83	0.86
Profit Factor	1.2	1.24
Common Sense Ratio	1.24	1.18
CPC Index	0.57	0.62
Tail Ratio	1.04	0.95
Outlier Win Ratio	4.26	4.39
Outlier Loss Ratio	3.92	4.25
MTD	-16.05%	-5.12%
3M	-24.26%	-14.19%
6M	-19.81%	-9.26%
YTD	-25.23%	-15.68%
1Y	-5.79%	6.59%
3Y (ann.)	18.3%	23.89%
5Y (ann.)	22.76%	27.62%
10Y (ann.)	22.76%	27.62%
All-time (ann.)	22.76%	27.62%
Best Day	9.8%	7.89%
Worst Day	-18.87%	-7.21%
Best Month	12.73%	12.76%
Worst Month	-16.05%	-11.13%
Best Year	47.1%	47.67%
Worst Year	-25.23%	-15.68%
Avg. Drawdown	-2.78%	-2.37%
Avg. Drawdown Days	13	12
Recovery Factor	2.82	4.0
Ulcer Index	0.06	0.06
Serenity Index	2.07	2.47
Avg. Up Month	5.29%	5.39%
Avg. Down Month	-5.79%	-5.06%
Win Days	57.89%	57.86%
Win Month	69.23%	69.23%
Win Quarter	78.57%	78.57%
Win Year	60.0%	60.0%
Beta	1.03	-
Alpha	-0.04	-
Correlation	89.25%	-
Treynor Ratio	82.89%	-