GOLD[Strategy] vs INav[Benchmark]

29 Jul, 2022 - 12 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	206.23%	205.29%
CAGR﹪	34.36%	34.25%
Sharpe	1.19	1.2
Prob. Sharpe Ratio	78.34%	78.76%
Smart Sharpe	1.13	1.13
Sortino	1.76	1.77
Smart Sortino	1.66	1.67
Sortino/√2	1.24	1.25
Smart Sortino/√2	1.17	1.18
Omega	1.23	1.23
Max Drawdown	-17.09%	-16.79%
Longest DD Days	278	278
Volatility (ann.)	20.73%	20.57%
R^2	0.55	0.55
Information Ratio	0.0	0.0
Calmar	2.01	2.04
Skew	-0.3	-0.23
Kurtosis	5.77	4.96
Expected Daily	0.12%	0.12%
Expected Monthly	2.41%	2.4%
Expected Yearly	25.09%	25.01%
Kelly Criterion	10.0%	12.35%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.02%	-2.01%
Expected Shortfall (cVaR)	-2.02%	-2.01%
Max Consecutive Wins	12	9
Max Consecutive Losses	7	7
Gain/Pain Ratio	0.3	0.3
Gain/Pain (1M)	2.34	2.38
Payoff Ratio	1.02	1.02
Profit Factor	1.3	1.3
Common Sense Ratio	1.44	1.5
CPC Index	0.72	0.74
Tail Ratio	1.1	1.15
Outlier Win Ratio	3.57	3.62
Outlier Loss Ratio	3.33	3.27
MTD	0.07%	-0.08%
3M	-11.73%	-10.72%
6M	4.65%	4.46%
YTD	2.36%	1.44%
1Y	26.96%	25.23%
3Y (ann.)	28.89%	28.21%
5Y (ann.)	34.36%	34.25%
10Y (ann.)	34.36%	34.25%
All-time (ann.)	34.36%	34.25%
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	2.36%	1.44%
Avg. Drawdown	-2.93%	-2.83%
Avg. Drawdown Days	23	22
Recovery Factor	12.07	12.23
Ulcer Index	0.05	0.05
Serenity Index	5.34	5.13
Avg. Up Month	5.58%	5.53%
Avg. Down Month	-3.74%	-3.66%
Win Days	54.64%	55.75%
Win Month	69.57%	67.39%
Win Quarter	68.75%	68.75%
Win Year	100.0%	100.0%
Beta	0.74	-
Alpha	0.08	-
Correlation	73.88%	-
Treynor Ratio	267.67%	-