GOOD[Strategy] vs INav[Benchmark]

24 Dec, 2024 - 12 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	37.19%	37.29%
CAGR﹪	21.37%	21.42%
Sharpe	4.92	9.08
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.85	7.1
Sortino	9.12	19.43
Smart Sortino	7.14	15.21
Sortino/√2	6.45	13.74
Smart Sortino/√2	5.05	10.75
Omega	2.32	2.32
Max Drawdown	-0.62%	-0.41%
Longest DD Days	9	7
Volatility (ann.)	2.56%	1.39%
R^2	0.22	0.22
Information Ratio	-0.0	-0.0
Calmar	34.64	51.79
Skew	0.11	-0.1
Kurtosis	1.03	4.44
Expected Daily	0.08%	0.08%
Expected Monthly	1.52%	1.52%
Expected Yearly	11.12%	11.14%
Kelly Criterion	55.86%	80.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.07%
Expected Shortfall (cVaR)	-0.19%	-0.07%
Max Consecutive Wins	12	36
Max Consecutive Losses	3	3
Gain/Pain Ratio	2.57	11.03
Gain/Pain (1M)	-	-
Payoff Ratio	1.34	1.51
Profit Factor	3.57	12.03
Common Sense Ratio	6.93	87.69
CPC Index	3.58	15.95
Tail Ratio	1.94	7.29
Outlier Win Ratio	2.94	4.38
Outlier Loss Ratio	1.78	3.67
MTD	0.41%	0.58%
3M	4.03%	4.09%
6M	8.8%	8.85%
YTD	10.85%	10.8%
1Y	18.35%	18.44%
3Y (ann.)	21.37%	21.42%
5Y (ann.)	21.37%	21.42%
10Y (ann.)	21.37%	21.42%
All-time (ann.)	21.37%	21.42%
Best Day	0.58%	0.44%
Worst Day	-0.62%	-0.41%
Best Month	3.14%	2.83%
Worst Month	0.41%	0.58%
Best Year	22.76%	22.87%
Worst Year	0.82%	0.84%
Avg. Drawdown	-0.14%	-0.07%
Avg. Drawdown Days	2	2
Recovery Factor	60.29	90.15
Ulcer Index	0.0	0.0
Serenity Index	249.86	784.14
Avg. Up Month	1.52%	1.52%
Avg. Down Month	-	-
Win Days	74.69%	88.02%
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	47.11%	-
Treynor Ratio	34.8%	-