GOOD[Strategy] vs INav[Benchmark]

24 Dec, 2024 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	22.3%	22.29%
CAGR﹪	23.66%	23.64%
Sharpe	5.21	10.67
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.81	7.8
Sortino	10.4	23.94
Smart Sortino	7.6	17.49
Sortino/√2	7.36	16.93
Smart Sortino/√2	5.37	12.37
Omega	2.39	2.39
Max Drawdown	-0.28%	-0.41%
Longest DD Days	5	6
Volatility (ann.)	2.72%	1.32%
R^2	0.18	0.18
Information Ratio	0.0	0.0
Calmar	84.92	57.16
Skew	0.33	-0.49
Kurtosis	0.1	5.1
Expected Daily	0.08%	0.08%
Expected Monthly	1.56%	1.56%
Expected Yearly	10.59%	10.58%
Kelly Criterion	58.76%	82.08%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.05%
Expected Shortfall (cVaR)	-0.2%	-0.05%
Max Consecutive Wins	9	36
Max Consecutive Losses	2	3
Gain/Pain Ratio	2.6	14.99
Gain/Pain (1M)	-	-
Payoff Ratio	1.96	1.5
Profit Factor	3.6	15.99
Common Sense Ratio	7.14	128.42
CPC Index	5.13	21.37
Tail Ratio	1.98	8.03
Outlier Win Ratio	2.6	4.13
Outlier Loss Ratio	1.52	3.5
MTD	0.4%	0.39%
3M	4.34%	4.34%
6M	11.23%	10.91%
YTD	21.31%	21.26%
1Y	22.3%	22.29%
3Y (ann.)	23.66%	23.64%
5Y (ann.)	23.66%	23.64%
10Y (ann.)	23.66%	23.64%
All-time (ann.)	23.66%	23.64%
Best Day	0.58%	0.35%
Worst Day	-0.28%	-0.41%
Best Month	3.14%	2.83%
Worst Month	0.4%	0.39%
Best Year	21.31%	21.26%
Worst Year	0.82%	0.84%
Avg. Drawdown	-0.13%	-0.06%
Avg. Drawdown Days	2	2
Recovery Factor	80.04	53.88
Ulcer Index	0.0	0.0
Serenity Index	178.79	629.66
Avg. Up Month	1.56%	1.56%
Avg. Down Month	-	-
Win Days	72.69%	89.26%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.87	-
Alpha	0.03	-
Correlation	42.28%	-
Treynor Ratio	17.61%	-