GOLD[Strategy] vs INav[Benchmark]

29 Jul, 2022 - 27 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	184.92%	185.13%
CAGR﹪	36.89%	36.92%
Sharpe	1.38	1.39
Prob. Sharpe Ratio	87.3%	88.33%
Smart Sharpe	1.36	1.38
Sortino	2.08	2.12
Smart Sortino	2.05	2.09
Sortino/√2	1.47	1.5
Smart Sortino/√2	1.45	1.48
Omega	1.26	1.26
Max Drawdown	-12.72%	-14.05%
Longest DD Days	278	278
Volatility (ann.)	18.94%	18.66%
R^2	0.46	0.46
Information Ratio	0.0	0.0
Calmar	2.9	2.63
Skew	0.02	0.12
Kurtosis	1.8	1.59
Expected Daily	0.12%	0.12%
Expected Monthly	2.59%	2.59%
Expected Yearly	29.92%	29.95%
Kelly Criterion	11.33%	13.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.83%	-1.8%
Expected Shortfall (cVaR)	-1.83%	-1.8%
Max Consecutive Wins	12	9
Max Consecutive Losses	7	7
Gain/Pain Ratio	0.34	0.34
Gain/Pain (1M)	2.9	3.01
Payoff Ratio	1.03	1.03
Profit Factor	1.34	1.34
Common Sense Ratio	1.47	1.39
CPC Index	0.76	0.78
Tail Ratio	1.1	1.04
Outlier Win Ratio	3.58	3.67
Outlier Loss Ratio	3.31	3.28
MTD	0.89%	0.01%
3M	18.66%	18.11%
6M	21.65%	20.42%
YTD	20.33%	20.1%
1Y	15.43%	15.19%
3Y (ann.)	37.23%	36.95%
5Y (ann.)	36.89%	36.92%
10Y (ann.)	36.89%	36.92%
All-time (ann.)	36.89%	36.92%
Best Day	4.96%	5.18%
Worst Day	-4.47%	-4.32%
Best Month	17.35%	18.47%
Worst Month	-7.38%	-7.02%
Best Year	46.8%	45.31%
Worst Year	14.05%	16.36%
Avg. Drawdown	-2.55%	-2.56%
Avg. Drawdown Days	22	23
Recovery Factor	14.54	13.18
Ulcer Index	0.05	0.05
Serenity Index	5.32	5.04
Avg. Up Month	5.39%	5.32%
Avg. Down Month	-3.26%	-3.13%
Win Days	55.0%	56.32%
Win Month	70.0%	70.0%
Win Quarter	71.43%	71.43%
Win Year	100.0%	100.0%
Beta	0.69	-
Alpha	0.1	-
Correlation	67.76%	-
Treynor Ratio	258.73%	-