AMNY[Strategy] vs INav[Benchmark]

30 Oct, 2024 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	-16.39%	-16.56%
CAGR﹪	-14.8%	-14.95%
Sharpe	-1.31	-0.77
Prob. Sharpe Ratio	1.61%	4.41%
Smart Sharpe	-1.29	-0.76
Sortino	-1.71	-1.07
Smart Sortino	-1.68	-1.05
Sortino/√2	-1.21	-0.76
Smart Sortino/√2	-1.19	-0.74
Omega	0.8	0.8
Max Drawdown	-27.73%	-34.02%
Longest DD Days	378	378
Volatility (ann.)	16.2%	25.33%
R^2	0.43	0.43
Information Ratio	-0.01	-0.01
Calmar	-0.53	-0.44
Skew	-0.19	0.3
Kurtosis	1.25	23.2
Expected Daily	-0.06%	-0.06%
Expected Monthly	-1.19%	-1.2%
Expected Yearly	-8.56%	-8.65%
Kelly Criterion	-7.11%	-2.41%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.74%	-2.67%
Expected Shortfall (cVaR)	-1.74%	-2.67%
Max Consecutive Wins	8	8
Max Consecutive Losses	10	10
Gain/Pain Ratio	-0.14	-0.11
Gain/Pain (1M)	-0.5	-0.44
Payoff Ratio	0.92	1.06
Profit Factor	0.86	0.89
Common Sense Ratio	0.83	0.91
CPC Index	0.38	0.45
Tail Ratio	0.97	1.02
Outlier Win Ratio	3.7	2.92
Outlier Loss Ratio	4.11	3.59
MTD	2.84%	2.85%
3M	-5.91%	-5.92%
6M	2.52%	2.63%
YTD	-18.19%	-17.88%
1Y	-19.38%	-19.32%
3Y (ann.)	-14.8%	-14.95%
5Y (ann.)	-14.8%	-14.95%
10Y (ann.)	-14.8%	-14.95%
All-time (ann.)	-14.8%	-14.95%
Best Day	2.77%	11.5%
Worst Day	-3.95%	-10.25%
Best Month	7.91%	7.89%
Worst Month	-8.96%	-9.26%
Best Year	2.2%	1.62%
Worst Year	-18.19%	-17.88%
Avg. Drawdown	-5.08%	-6.22%
Avg. Drawdown Days	65	65
Recovery Factor	-0.59	-0.49
Ulcer Index	0.21	0.21
Serenity Index	-0.04	-0.06
Avg. Up Month	3.29%	3.24%
Avg. Down Month	-3.67%	-3.68%
Win Days	48.6%	47.2%
Win Month	33.33%	40.0%
Win Quarter	40.0%	40.0%
Win Year	50.0%	50.0%
Beta	0.42	-
Alpha	-0.09	-
Correlation	65.43%	-
Treynor Ratio	-55.89%	-