AMGB[Strategy] vs INav[Benchmark]

6 Jan, 2025 - 27 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	93.0%	100.0%
Cumulative Return	28.33%	28.31%
CAGR﹪	24.4%	24.39%
Sharpe	1.52	1.68
Prob. Sharpe Ratio	88.16%	93.71%
Smart Sharpe	1.5	1.66
Sortino	2.44	2.94
Smart Sortino	2.41	2.91
Sortino/√2	1.73	2.08
Smart Sortino/√2	1.71	2.06
Omega	1.31	1.31
Max Drawdown	-6.9%	-6.83%
Longest DD Days	94	93
Volatility (ann.)	10.28%	9.2%
R^2	0.69	0.69
Information Ratio	0.0	0.0
Calmar	3.54	3.57
Skew	0.72	1.44
Kurtosis	4.94	9.51
Expected Daily	0.09%	0.09%
Expected Monthly	1.8%	1.8%
Expected Yearly	13.28%	13.28%
Kelly Criterion	17.48%	19.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.98%	-0.86%
Expected Shortfall (cVaR)	-0.98%	-0.86%
Max Consecutive Wins	8	8
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.47	0.55
Gain/Pain (1M)	3.95	3.96
Payoff Ratio	1.16	1.27
Profit Factor	1.47	1.55
Common Sense Ratio	1.43	1.95
CPC Index	0.95	1.08
Tail Ratio	0.97	1.26
Outlier Win Ratio	3.24	3.38
Outlier Loss Ratio	2.88	3.77
MTD	1.89%	2.04%
3M	2.95%	3.01%
6M	3.61%	3.58%
YTD	1.41%	1.93%
1Y	25.53%	25.02%
3Y (ann.)	24.4%	24.39%
5Y (ann.)	24.4%	24.39%
10Y (ann.)	24.4%	24.39%
All-time (ann.)	24.4%	24.39%
Best Day	3.97%	4.25%
Worst Day	-1.9%	-1.75%
Best Month	6.2%	6.66%
Worst Month	-3.46%	-3.32%
Best Year	26.54%	25.88%
Worst Year	1.41%	1.93%
Avg. Drawdown	-1.37%	-1.54%
Avg. Drawdown Days	15	19
Recovery Factor	4.11	4.15
Ulcer Index	0.03	0.03
Serenity Index	1.02	0.97
Avg. Up Month	3.2%	3.21%
Avg. Down Month	-2.16%	-2.07%
Win Days	55.64%	54.7%
Win Month	78.57%	71.43%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.93	-
Alpha	0.02	-
Correlation	83.01%	-
Treynor Ratio	22.98%	-