FXBC[Strategy] vs INav[Benchmark]

18 Feb, 2022 - 24 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	50.0%	75.0%
Cumulative Return	-4.94%	-1.55%
CAGR﹪	-95.42%	-61.42%
Sharpe	-17.72	-6.83
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-12.34	-4.76
Sortino	-12.54	-7.51
Smart Sortino	-8.73	-5.23
Sortino/√2	-8.87	-5.31
Smart Sortino/√2	-6.18	-3.7
Omega	0.0	0.0
Max Drawdown	-4.94%	-4.08%
Longest DD Days	3	3
Volatility (ann.)	29.5%	43.91%
R^2	0.03	0.03
Information Ratio	-0.29	-0.29
Calmar	-19.3	-15.04
Skew	-1.61	-0.74
Kurtosis	2.4	1.81
Expected Daily	-1.26%	-0.39%
Expected Monthly	-4.94%	-1.55%
Expected Yearly	-4.94%	-1.55%
Kelly Criterion	-	-
Risk of Ruin	1.0%	0.06%
Daily Value-at-Risk	-4.3%	-4.91%
Expected Shortfall (cVaR)	-4.3%	-4.91%
Max Consecutive Wins	0	1
Max Consecutive Losses	2	2
Gain/Pain Ratio	-1.0	-0.35
Gain/Pain (1M)	-1.0	-1.0
Payoff Ratio	-	-
Profit Factor	0.0	0.65
Common Sense Ratio	0.0	0.42
CPC Index	-	-
Tail Ratio	0.0	0.65
Outlier Win Ratio	-	0.97
Outlier Loss Ratio	1.56	1.91
MTD	-4.94%	-1.55%
3M	-4.94%	-1.55%
6M	-4.94%	-1.55%
YTD	-4.94%	-1.55%
1Y	-4.94%	-1.55%
3Y (ann.)	-95.42%	-61.42%
5Y (ann.)	-95.42%	-61.42%
10Y (ann.)	-95.42%	-61.42%
All-time (ann.)	-95.42%	-61.42%
Best Day	0.0%	2.64%
Worst Day	-3.93%	-4.06%
Best Month	-4.94%	-1.55%
Worst Month	-4.94%	-1.55%
Best Year	-4.94%	-1.55%
Worst Year	-4.94%	-1.55%
Avg. Drawdown	-4.94%	-4.08%
Avg. Drawdown Days	3	3
Recovery Factor	-1.0	-0.38
Ulcer Index	0.05	0.03
Serenity Index	-38.62	-168.04
Avg. Up Month	-	-
Avg. Down Month	-4.94%	-1.55%
Win Days	0.0%	33.33%
Win Month	0.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	0.11	-
Alpha	-3.04	-
Correlation	16.6%	-
Treynor Ratio	-6321.85%	-