GOOD[Strategy] vs INav[Benchmark]

17 Dec, 2024 - 18 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	99.0%
Cumulative Return	8.98%	8.7%
CAGR﹪	29.33%	28.36%
Sharpe	6.65	9.42
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.12	7.25
Sortino	14.38	21.9
Smart Sortino	11.06	16.84
Sortino/√2	10.17	15.49
Smart Sortino/√2	7.82	11.91
Omega	3.11	3.11
Max Drawdown	-0.28%	-0.41%
Longest DD Days	3	3
Volatility (ann.)	2.78%	1.88%
R^2	0.32	0.32
Information Ratio	0.02	0.02
Calmar	105.27	68.56
Skew	0.54	1.24
Kurtosis	1.8	14.06
Expected Daily	0.1%	0.1%
Expected Monthly	1.73%	1.68%
Expected Yearly	4.39%	4.26%
Kelly Criterion	65.36%	80.87%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.1%
Expected Shortfall (cVaR)	-0.19%	-0.1%
Max Consecutive Wins	13	19
Max Consecutive Losses	1	2
Gain/Pain Ratio	3.62	13.31
Gain/Pain (1M)	-	-
Payoff Ratio	1.88	1.6
Profit Factor	4.62	14.31
Common Sense Ratio	9.51	128.16
CPC Index	6.73	20.18
Tail Ratio	2.06	8.96
Outlier Win Ratio	2.78	3.85
Outlier Loss Ratio	1.52	3.03
MTD	1.23%	1.19%
3M	5.4%	5.4%
6M	8.98%	8.7%
YTD	6.32%	6.29%
1Y	8.98%	8.7%
3Y (ann.)	29.33%	28.36%
5Y (ann.)	29.33%	28.36%
10Y (ann.)	29.33%	28.36%
All-time (ann.)	29.33%	28.36%
Best Day	0.77%	0.76%
Worst Day	-0.28%	-0.41%
Best Month	2.5%	2.27%
Worst Month	1.23%	1.19%
Best Year	6.32%	6.29%
Worst Year	2.5%	2.27%
Avg. Drawdown	-0.13%	-0.07%
Avg. Drawdown Days	2	2
Recovery Factor	32.22	21.04
Ulcer Index	0.0	0.0
Serenity Index	27.8	51.26
Avg. Up Month	1.73%	1.68%
Avg. Down Month	-	-
Win Days	77.38%	88.24%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.83	-
Alpha	0.05	-
Correlation	56.46%	-
Treynor Ratio	2.37%	-