AKSC[Strategy] vs INav[Benchmark]

9 Dec, 2022 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	56.15%	50.93%
CAGR﹪	83.07%	74.81%
Sharpe	1.89	2.01
Prob. Sharpe Ratio	78.96%	81.93%
Smart Sharpe	1.5	1.59
Sortino	2.9	2.98
Smart Sortino	2.3	2.36
Sortino/√2	2.05	2.11
Smart Sortino/√2	1.62	1.67
Omega	1.37	1.37
Max Drawdown	-11.28%	-11.91%
Longest DD Days	56	56
Volatility (ann.)	33.73%	28.45%
R^2	0.36	0.36
Information Ratio	0.01	0.01
Calmar	7.37	6.28
Skew	-0.14	-0.47
Kurtosis	1.15	0.99
Expected Daily	0.26%	0.24%
Expected Monthly	4.56%	4.2%
Expected Yearly	24.96%	22.85%
Kelly Criterion	15.32%	18.31%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.21%	-2.69%
Expected Shortfall (cVaR)	-3.21%	-2.69%
Max Consecutive Wins	7	6
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.42	0.43
Gain/Pain (1M)	41.88	8.43
Payoff Ratio	1.05	1.18
Profit Factor	1.42	1.43
Common Sense Ratio	1.7	1.61
CPC Index	0.85	0.94
Tail Ratio	1.2	1.13
Outlier Win Ratio	2.81	3.05
Outlier Loss Ratio	2.95	3.46
MTD	3.07%	-0.22%
3M	18.08%	10.87%
6M	19.51%	13.01%
YTD	45.96%	41.2%
1Y	56.15%	50.93%
3Y (ann.)	83.07%	74.81%
5Y (ann.)	83.07%	74.81%
10Y (ann.)	83.07%	74.81%
All-time (ann.)	83.07%	74.81%
Best Day	7.05%	4.46%
Worst Day	-7.36%	-6.85%
Best Month	17.88%	18.89%
Worst Month	-1.34%	-2.94%
Best Year	45.96%	41.2%
Worst Year	6.98%	6.89%
Avg. Drawdown	-3.87%	-3.52%
Avg. Drawdown Days	11	10
Recovery Factor	4.98	4.28
Ulcer Index	0.04	0.04
Serenity Index	3.23	2.14
Avg. Up Month	7.75%	8.36%
Avg. Down Month	-1.09%	-2.71%
Win Days	56.55%	55.81%
Win Month	80.0%	60.0%
Win Quarter	100.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.71	-
Alpha	0.25	-
Correlation	59.62%	-
Treynor Ratio	69.53%	-