AMGB[Strategy] vs INav[Benchmark]

6 Jan, 2025 - 30 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	21.97%	21.44%
CAGR﹪	42.42%	41.32%
Sharpe	2.54	2.63
Prob. Sharpe Ratio	94.56%	96.59%
Smart Sharpe	2.43	2.52
Sortino	4.26	4.87
Smart Sortino	4.07	4.66
Sortino/√2	3.01	3.44
Smart Sortino/√2	2.88	3.29
Omega	1.56	1.56
Max Drawdown	-6.76%	-6.83%
Longest DD Days	75	75
Volatility (ann.)	11.39%	10.67%
R^2	0.73	0.73
Information Ratio	0.01	0.01
Calmar	6.28	6.05
Skew	0.74	1.47
Kurtosis	5.03	9.3
Expected Daily	0.14%	0.14%
Expected Monthly	2.88%	2.81%
Expected Yearly	21.97%	21.44%
Kelly Criterion	25.76%	23.47%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-0.97%
Expected Shortfall (cVaR)	-1.04%	-0.97%
Max Consecutive Wins	8	8
Max Consecutive Losses	4	7
Gain/Pain Ratio	0.73	0.82
Gain/Pain (1M)	7.91	6.65
Payoff Ratio	1.1	1.23
Profit Factor	1.73	1.82
Common Sense Ratio	1.86	2.52
CPC Index	1.16	1.3
Tail Ratio	1.07	1.38
Outlier Win Ratio	2.85	2.84
Outlier Loss Ratio	2.7	3.59
MTD	5.41%	4.8%
3M	15.09%	13.72%
6M	24.61%	24.39%
YTD	21.97%	21.44%
1Y	21.97%	21.44%
3Y (ann.)	42.42%	41.32%
5Y (ann.)	42.42%	41.32%
10Y (ann.)	42.42%	41.32%
All-time (ann.)	42.42%	41.32%
Best Day	3.97%	4.25%
Worst Day	-1.82%	-1.75%
Best Month	6.2%	6.66%
Worst Month	-2.54%	-2.78%
Best Year	21.97%	21.44%
Worst Year	21.97%	21.44%
Avg. Drawdown	-1.35%	-1.32%
Avg. Drawdown Days	11	12
Recovery Factor	3.25	3.14
Ulcer Index	0.03	0.02
Serenity Index	0.89	0.85
Avg. Up Month	4.56%	4.61%
Avg. Down Month	-2.54%	-2.78%
Win Days	61.19%	57.75%
Win Month	85.71%	71.43%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.91	-
Alpha	0.04	-
Correlation	85.19%	-
Treynor Ratio	16.46%	-