CASH[Strategy] vs INav[Benchmark]

19 Nov, 2024 - 4 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	98.0%
Cumulative Return	35.4%	35.32%
CAGR﹪	18.43%	18.39%
Sharpe	2.03	10.27
Prob. Sharpe Ratio	96.28%	100.0%
Smart Sharpe	1.17	5.92
Sortino	3.0	53.53
Smart Sortino	1.73	30.88
Sortino/√2	2.12	37.85
Smart Sortino/√2	1.22	21.83
Omega	3.51	3.51
Max Drawdown	-4.36%	-0.14%
Longest DD Days	9	3
Volatility (ann.)	5.03%	0.98%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	4.22	128.23
Skew	0.64	4.14
Kurtosis	180.25	33.51
Expected Daily	0.07%	0.07%
Expected Monthly	1.33%	1.32%
Expected Yearly	10.63%	10.61%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.45%	-0.03%
Expected Shortfall (cVaR)	-0.45%	-0.03%
Max Consecutive Wins	387	133
Max Consecutive Losses	2	1
Gain/Pain Ratio	4.34	98.77
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.34	99.77
Common Sense Ratio	32.55	478.9
CPC Index	-	-
Tail Ratio	6.1	4.8
Outlier Win Ratio	5.08	6.3
Outlier Loss Ratio	0.16	1.6
MTD	0.23%	0.15%
3M	3.6%	3.52%
6M	7.32%	7.24%
YTD	9.94%	10.1%
1Y	15.97%	15.9%
3Y (ann.)	18.43%	18.39%
5Y (ann.)	18.43%	18.39%
10Y (ann.)	18.43%	18.39%
All-time (ann.)	18.43%	18.39%
Best Day	4.64%	0.7%
Worst Day	-4.36%	-0.14%
Best Month	1.76%	1.92%
Worst Month	0.23%	0.15%
Best Year	20.26%	20.36%
Worst Year	2.41%	2.11%
Avg. Drawdown	-1.37%	-0.1%
Avg. Drawdown Days	5	2
Recovery Factor	8.11	246.29
Ulcer Index	0.0	0.0
Serenity Index	101.81	13320.48
Avg. Up Month	1.33%	1.32%
Avg. Down Month	-	-
Win Days	98.45%	99.32%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.39	-
Alpha	0.23	-
Correlation	-7.53%	-
Treynor Ratio	-73.23%	-