GOLD[Strategy] vs INav[Benchmark]

29 Jul, 2022 - 5 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	198.91%	199.32%
CAGR﹪	29.2%	29.24%
Sharpe	0.97	0.98
Prob. Sharpe Ratio	63.44%	64.97%
Smart Sharpe	0.91	0.92
Sortino	1.41	1.44
Smart Sortino	1.33	1.35
Sortino/√2	1.0	1.02
Smart Sortino/√2	0.94	0.96
Omega	1.18	1.18
Max Drawdown	-27.64%	-26.94%
Longest DD Days	278	278
Volatility (ann.)	21.73%	21.37%
R^2	0.58	0.58
Information Ratio	0.0	0.0
Calmar	1.06	1.09
Skew	-0.22	-0.12
Kurtosis	4.3	4.04
Expected Daily	0.1%	0.1%
Expected Monthly	2.09%	2.09%
Expected Yearly	24.48%	24.52%
Kelly Criterion	8.01%	10.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.14%	-2.1%
Expected Shortfall (cVaR)	-2.14%	-2.1%
Max Consecutive Wins	12	11
Max Consecutive Losses	9	8
Gain/Pain Ratio	0.25	0.25
Gain/Pain (1M)	1.61	1.63
Payoff Ratio	1.01	1.02
Profit Factor	1.25	1.25
Common Sense Ratio	1.46	1.41
CPC Index	0.68	0.7
Tail Ratio	1.17	1.13
Outlier Win Ratio	3.6	3.68
Outlier Loss Ratio	3.34	3.34
MTD	5.82%	5.55%
3M	2.03%	1.77%
6M	-1.05%	-1.09%
YTD	-0.09%	-0.55%
1Y	6.19%	5.86%
3Y (ann.)	22.43%	21.82%
5Y (ann.)	29.2%	29.24%
10Y (ann.)	29.2%	29.24%
All-time (ann.)	29.2%	29.24%
Best Day	7.3%	6.91%
Worst Day	-10.11%	-9.62%
Best Month	17.35%	18.47%
Worst Month	-8.42%	-8.19%
Best Year	46.8%	45.31%
Worst Year	-0.09%	-0.55%
Avg. Drawdown	-3.14%	-3.02%
Avg. Drawdown Days	27	26
Recovery Factor	7.2	7.4
Ulcer Index	0.08	0.08
Serenity Index	2.39	2.39
Avg. Up Month	5.78%	5.73%
Avg. Down Month	-4.21%	-4.14%
Win Days	53.78%	54.76%
Win Month	65.38%	65.38%
Win Quarter	66.67%	66.67%
Win Year	80.0%	80.0%
Beta	0.77	-
Alpha	0.06	-
Correlation	76.07%	-
Treynor Ratio	248.1%	-