AKVG[Strategy] vs INav[Benchmark]

29 Nov, 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	111.43%	112.85%
CAGR﹪	166.31%	168.66%
Sharpe	2.32	3.58
Prob. Sharpe Ratio	85.0%	98.81%
Smart Sharpe	2.11	3.26
Sortino	3.46	5.92
Smart Sortino	3.15	5.39
Sortino/√2	2.45	4.19
Smart Sortino/√2	2.23	3.81
Omega	1.6	1.6
Max Drawdown	-23.78%	-10.63%
Longest DD Days	46	46
Volatility (ann.)	46.85%	28.66%
R^2	0.24	0.24
Information Ratio	0.01	0.01
Calmar	6.99	15.86
Skew	-0.8	-0.14
Kurtosis	17.15	0.49
Expected Daily	0.41%	0.42%
Expected Monthly	7.04%	7.11%
Expected Yearly	45.41%	45.89%
Kelly Criterion	25.35%	25.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.4%	-2.54%
Expected Shortfall (cVaR)	-4.4%	-2.54%
Max Consecutive Wins	7	9
Max Consecutive Losses	4	9
Gain/Pain Ratio	0.65	0.88
Gain/Pain (1M)	12.26	132.75
Payoff Ratio	1.06	0.99
Profit Factor	1.65	1.88
Common Sense Ratio	2.24	2.51
CPC Index	1.07	1.16
Tail Ratio	1.36	1.34
Outlier Win Ratio	3.02	3.83
Outlier Loss Ratio	2.6	3.67
MTD	-6.03%	1.08%
3M	19.45%	23.62%
6M	54.17%	59.71%
YTD	84.91%	99.41%
1Y	111.43%	112.85%
3Y (ann.)	166.31%	168.66%
5Y (ann.)	166.31%	168.66%
10Y (ann.)	166.31%	168.66%
All-time (ann.)	166.31%	168.66%
Best Day	17.17%	4.81%
Worst Day	-19.92%	-4.64%
Best Month	20.05%	19.55%
Worst Month	-6.03%	-0.59%
Best Year	84.91%	99.41%
Worst Year	14.34%	6.74%
Avg. Drawdown	-3.02%	-2.91%
Avg. Drawdown Days	6	7
Recovery Factor	4.69	10.61
Ulcer Index	0.05	0.03
Serenity Index	7.36	8.36
Avg. Up Month	9.69%	8.91%
Avg. Down Month	-0.74%	-0.59%
Win Days	61.58%	62.78%
Win Month	81.82%	90.91%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.79	-
Alpha	0.29	-
Correlation	48.48%	-
Treynor Ratio	131.78%	-