AKSP[Strategy] vs INav[Benchmark]

10 Apr, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	95.0%
Cumulative Return	40.8%	48.2%
CAGR﹪	12.61%	14.62%
Sharpe	0.34	0.44
Prob. Sharpe Ratio	21.72%	28.73%
Smart Sharpe	0.3	0.39
Sortino	0.45	0.6
Smart Sortino	0.4	0.53
Sortino/√2	0.32	0.42
Smart Sortino/√2	0.28	0.38
Omega	1.07	1.07
Max Drawdown	-35.32%	-34.02%
Longest DD Days	186	180
Volatility (ann.)	22.92%	20.42%
R^2	0.72	0.72
Information Ratio	-0.01	-0.01
Calmar	0.36	0.43
Skew	-1.28	-0.62
Kurtosis	14.64	6.86
Expected Daily	0.05%	0.05%
Expected Monthly	0.98%	1.13%
Expected Yearly	8.93%	10.33%
Kelly Criterion	3.63%	7.2%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.32%	-2.05%
Expected Shortfall (cVaR)	-2.32%	-2.05%
Max Consecutive Wins	8	9
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.14	0.16
Gain/Pain (1M)	0.78	0.92
Payoff Ratio	0.79	0.83
Profit Factor	1.14	1.16
Common Sense Ratio	1.13	1.06
CPC Index	0.52	0.56
Tail Ratio	0.99	0.91
Outlier Win Ratio	4.55	4.99
Outlier Loss Ratio	4.09	4.49
MTD	-8.93%	-3.27%
3M	-13.03%	-7.74%
6M	-8.87%	-3.96%
YTD	-14.82%	-10.04%
1Y	5.71%	10.87%
3Y (ann.)	12.61%	14.62%
5Y (ann.)	12.61%	14.62%
10Y (ann.)	12.61%	14.62%
All-time (ann.)	12.61%	14.62%
Best Day	8.16%	7.14%
Worst Day	-12.73%	-7.97%
Best Month	11.28%	11.31%
Worst Month	-10.09%	-11.49%
Best Year	28.04%	27.94%
Worst Year	-14.82%	-10.04%
Avg. Drawdown	-2.53%	-2.19%
Avg. Drawdown Days	14	14
Recovery Factor	1.16	1.42
Ulcer Index	0.07	0.06
Serenity Index	0.57	0.66
Avg. Up Month	3.98%	3.84%
Avg. Down Month	-6.22%	-5.62%
Win Days	57.37%	58.02%
Win Month	68.57%	74.29%
Win Quarter	83.33%	83.33%
Win Year	75.0%	75.0%
Beta	0.95	-
Alpha	-0.0	-
Correlation	84.86%	-
Treynor Ratio	35.49%	-