FXRU[Strategy] vs INav[Benchmark]

16 May, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	83.0%	99.0%
Cumulative Return	-23.88%	-21.39%
CAGR﹪	-9.34%	-8.28%
Sharpe	0.52	-1.33
Prob. Sharpe Ratio	4.77%	0.0%
Smart Sharpe	0.47	-1.2
Sortino	4.98	-1.34
Smart Sortino	4.51	-1.21
Sortino/√2	3.52	-0.95
Smart Sortino/√2	3.19	-0.86
Omega	4.62	4.62
Max Drawdown	-90.67%	-29.93%
Longest DD Days	161	162
Volatility (ann.)	548.64%	11.24%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	-0.1	-0.28
Skew	25.67	-18.22
Kurtosis	667.44	382.92
Expected Daily	-0.04%	-0.04%
Expected Monthly	-0.8%	-0.71%
Expected Yearly	-6.59%	-5.84%
Kelly Criterion	48.65%	-67.41%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-55.7%	-1.2%
Expected Shortfall (cVaR)	-55.7%	-1.2%
Max Consecutive Wins	10	16
Max Consecutive Losses	5	10
Gain/Pain Ratio	3.89	-0.41
Gain/Pain (1M)	49.34	-0.55
Payoff Ratio	7.88	0.3
Profit Factor	4.89	0.59
Common Sense Ratio	5.37	0.64
CPC Index	20.97	0.11
Tail Ratio	1.1	1.08
Outlier Win Ratio	0.41	12.3
Outlier Loss Ratio	2.11	7.8
MTD	-27.03%	-24.73%
3M	-31.52%	-28.59%
6M	-32.1%	-29.72%
YTD	-30.76%	-28.37%
1Y	-31.46%	-29.01%
3Y (ann.)	-9.34%	-8.28%
5Y (ann.)	-9.34%	-8.28%
10Y (ann.)	-9.34%	-8.28%
All-time (ann.)	-9.34%	-8.28%
Best Day	897.53%	0.71%
Worst Day	-89.91%	-15.86%
Best Month	5.75%	4.18%
Worst Month	-27.03%	-24.73%
Best Year	6.57%	5.44%
Worst Year	-30.76%	-28.37%
Avg. Drawdown	-2.16%	-0.84%
Avg. Drawdown Days	14	14
Recovery Factor	-0.26	-0.71
Ulcer Index	0.04	0.02
Serenity Index	-29.01	-2.02
Avg. Up Month	0.99%	0.86%
Avg. Down Month	-3.88%	-3.49%
Win Days	54.43%	61.66%
Win Month	63.64%	67.65%
Win Quarter	66.67%	66.67%
Win Year	50.0%	50.0%
Beta	1.17	-
Alpha	2.99	-
Correlation	2.39%	-
Treynor Ratio	-26.42%	-