GOLD[Strategy] vs INav[Benchmark]

29 Jul, 2022 - 18 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	229.56%	228.65%
CAGR﹪	33.36%	33.27%
Sharpe	1.12	1.13
Prob. Sharpe Ratio	73.99%	75.16%
Smart Sharpe	1.05	1.06
Sortino	1.65	1.67
Smart Sortino	1.55	1.57
Sortino/√2	1.16	1.18
Smart Sortino/√2	1.1	1.11
Omega	1.21	1.21
Max Drawdown	-27.64%	-26.94%
Longest DD Days	278	278
Volatility (ann.)	21.6%	21.25%
R^2	0.57	0.57
Information Ratio	0.0	0.0
Calmar	1.21	1.24
Skew	-0.22	-0.13
Kurtosis	4.52	4.27
Expected Daily	0.11%	0.11%
Expected Monthly	2.37%	2.36%
Expected Yearly	26.94%	26.87%
Kelly Criterion	8.97%	11.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.12%	-2.08%
Expected Shortfall (cVaR)	-2.12%	-2.08%
Max Consecutive Wins	12	11
Max Consecutive Losses	9	8
Gain/Pain Ratio	0.28	0.28
Gain/Pain (1M)	2.17	2.18
Payoff Ratio	1.02	1.02
Profit Factor	1.28	1.28
Common Sense Ratio	1.52	1.46
CPC Index	0.7	0.72
Tail Ratio	1.19	1.14
Outlier Win Ratio	3.63	3.73
Outlier Loss Ratio	3.31	3.29
MTD	-1.52%	-1.86%
3M	19.1%	16.28%
6M	-7.54%	-7.43%
YTD	10.16%	9.2%
1Y	23.71%	23.0%
3Y (ann.)	25.55%	25.39%
5Y (ann.)	33.36%	33.27%
10Y (ann.)	33.36%	33.27%
All-time (ann.)	33.36%	33.27%
Best Day	7.3%	6.91%
Worst Day	-10.11%	-9.62%
Best Month	17.35%	18.47%
Worst Month	-7.38%	-7.75%
Best Year	46.8%	45.31%
Worst Year	10.16%	9.2%
Avg. Drawdown	-3.14%	-3.02%
Avg. Drawdown Days	26	25
Recovery Factor	8.31	8.49
Ulcer Index	0.07	0.07
Serenity Index	3.04	3.0
Avg. Up Month	5.78%	5.74%
Avg. Down Month	-3.59%	-3.56%
Win Days	54.14%	55.44%
Win Month	66.0%	66.0%
Win Quarter	70.59%	70.59%
Win Year	100.0%	100.0%
Beta	0.77	-
Alpha	0.07	-
Correlation	75.27%	-
Treynor Ratio	290.91%	-