AMGB[Strategy] vs INav[Benchmark]

6 Jan, 2025 - 23 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	100.0%
Cumulative Return	27.14%	27.0%
CAGR﹪	15.05%	14.98%
Sharpe	0.76	0.86
Prob. Sharpe Ratio	66.31%	76.16%
Smart Sharpe	0.74	0.84
Sortino	1.16	1.38
Smart Sortino	1.13	1.35
Sortino/√2	0.82	0.97
Smart Sortino/√2	0.8	0.96
Omega	1.14	1.14
Max Drawdown	-9.29%	-8.34%
Longest DD Days	153	107
Volatility (ann.)	10.14%	8.77%
R^2	0.7	0.7
Information Ratio	0.0	0.0
Calmar	1.62	1.8
Skew	0.56	1.13
Kurtosis	4.31	8.51
Expected Daily	0.06%	0.06%
Expected Monthly	1.15%	1.14%
Expected Yearly	12.75%	12.7%
Kelly Criterion	12.14%	11.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.99%	-0.85%
Expected Shortfall (cVaR)	-0.99%	-0.85%
Max Consecutive Wins	8	8
Max Consecutive Losses	9	7
Gain/Pain Ratio	0.29	0.35
Gain/Pain (1M)	1.87	1.8
Payoff Ratio	1.1	1.16
Profit Factor	1.29	1.35
Common Sense Ratio	1.27	1.57
CPC Index	0.76	0.82
Tail Ratio	0.99	1.16
Outlier Win Ratio	3.37	3.66
Outlier Loss Ratio	3.01	4.09
MTD	-0.47%	-0.83%
3M	-0.62%	-0.97%
6M	-2.14%	-2.5%
YTD	0.47%	0.89%
1Y	4.4%	4.62%
3Y (ann.)	15.05%	14.98%
5Y (ann.)	15.05%	14.98%
10Y (ann.)	15.05%	14.98%
All-time (ann.)	15.05%	14.98%
Best Day	3.97%	4.25%
Worst Day	-2.28%	-1.88%
Best Month	6.2%	6.66%
Worst Month	-5.05%	-5.35%
Best Year	26.54%	25.88%
Worst Year	0.47%	0.89%
Avg. Drawdown	-1.61%	-1.65%
Avg. Drawdown Days	21	23
Recovery Factor	2.92	3.24
Ulcer Index	0.03	0.03
Serenity Index	0.75	0.73
Avg. Up Month	2.72%	2.75%
Avg. Down Month	-2.21%	-2.23%
Win Days	54.07%	52.66%
Win Month	71.43%	66.67%
Win Quarter	85.71%	85.71%
Win Year	100.0%	100.0%
Beta	0.97	-
Alpha	0.01	-
Correlation	83.92%	-
Treynor Ratio	20.74%	-