CASH[Strategy] vs INav[Benchmark]

19 Nov, 2024 - 13 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	96.0%
Cumulative Return	23.65%	23.68%
CAGR﹪	20.26%	20.28%
Sharpe	5.81	10.66
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.33	6.12
Sortino	10.08	64.76
Smart Sortino	5.79	37.17
Sortino/√2	7.13	45.79
Smart Sortino/√2	4.09	26.28
Omega	5.7	5.7
Max Drawdown	-0.82%	-0.14%
Longest DD Days	9	1
Volatility (ann.)	2.02%	1.1%
R^2	0.01	0.01
Information Ratio	-0.0	-0.0
Calmar	24.8	141.45
Skew	0.76	4.24
Kurtosis	24.99	30.88
Expected Daily	0.07%	0.07%
Expected Monthly	1.43%	1.43%
Expected Yearly	7.33%	7.34%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.14%	-0.04%
Expected Shortfall (cVaR)	-0.14%	-0.04%
Max Consecutive Wins	257	80
Max Consecutive Losses	2	1
Gain/Pain Ratio	7.93	148.3
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	8.93	149.3
Common Sense Ratio	43.53	660.49
CPC Index	-	-
Tail Ratio	4.88	4.42
Outlier Win Ratio	5.39	6.13
Outlier Loss Ratio	0.42	1.3
MTD	0.4%	0.63%
3M	4.07%	4.18%
6M	8.59%	8.72%
YTD	0.4%	0.63%
1Y	20.05%	20.22%
3Y (ann.)	20.26%	20.28%
5Y (ann.)	20.26%	20.28%
10Y (ann.)	20.26%	20.28%
All-time (ann.)	20.26%	20.28%
Best Day	0.92%	0.7%
Worst Day	-0.82%	-0.14%
Best Month	1.76%	1.92%
Worst Month	0.4%	0.53%
Best Year	20.26%	20.36%
Worst Year	0.4%	0.63%
Avg. Drawdown	-0.63%	-0.14%
Avg. Drawdown Days	6	1
Recovery Factor	28.95	165.12
Ulcer Index	0.0	0.0
Serenity Index	86.36	9537.76
Avg. Up Month	1.43%	1.43%
Avg. Down Month	-	-
Win Days	97.92%	99.64%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.13	-
Alpha	0.21	-
Correlation	-7.16%	-
Treynor Ratio	-126.77%	-