GOLD[Strategy] vs INav[Benchmark]

29 Jul, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	91.86%	91.77%
CAGR﹪	45.35%	45.31%
Sharpe	-10.06	-8.92
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.58	-8.49
Sortino	-9.09	-8.62
Smart Sortino	-8.66	-8.2
Sortino/√2	-6.43	-6.09
Smart Sortino/√2	-6.12	-5.8
Omega	0.19	0.19
Max Drawdown	-12.72%	-14.05%
Longest DD Days	204	205
Volatility (ann.)	16.94%	19.06%
R^2	0.24	0.24
Information Ratio	-0.0	-0.0
Calmar	3.56	3.23
Skew	-0.03	0.41
Kurtosis	1.6	1.8
Expected Daily	0.15%	0.15%
Expected Monthly	3.01%	3.0%
Expected Yearly	24.26%	24.24%
Kelly Criterion	14.8%	12.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-1.82%
Expected Shortfall (cVaR)	-1.6%	-1.82%
Max Consecutive Wins	9	7
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.46	0.41
Gain/Pain (1M)	3.59	4.06
Payoff Ratio	1.02	1.0
Profit Factor	1.46	1.41
Common Sense Ratio	1.58	1.48
CPC Index	0.85	0.8
Tail Ratio	1.08	1.05
Outlier Win Ratio	4.13	3.7
Outlier Loss Ratio	3.3	3.03
MTD	2.66%	4.06%
3M	18.86%	17.97%
6M	15.65%	14.97%
YTD	14.59%	13.42%
1Y	31.99%	31.11%
3Y (ann.)	45.35%	45.31%
5Y (ann.)	45.35%	45.31%
10Y (ann.)	45.35%	45.31%
All-time (ann.)	45.35%	45.31%
Best Day	4.96%	5.18%
Worst Day	-3.98%	-3.67%
Best Month	17.35%	18.47%
Worst Month	-7.38%	-6.88%
Best Year	46.8%	45.31%
Worst Year	14.05%	13.42%
Avg. Drawdown	-2.11%	-2.47%
Avg. Drawdown Days	17	18
Recovery Factor	7.22	6.53
Ulcer Index	0.04	0.04
Serenity Index	-24.15	-22.33
Avg. Up Month	5.9%	5.76%
Avg. Down Month	-3.17%	-2.86%
Win Days	57.01%	56.33%
Win Month	71.43%	71.43%
Win Quarter	87.5%	87.5%
Win Year	100.0%	100.0%
Beta	0.44	-
Alpha	0.21	-
Correlation	49.36%	-
Treynor Ratio	-1386.48%	-