GOOD[Strategy] vs INav[Benchmark]

24 Dec, 2024 - 23 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	24.95%	25.03%
CAGR﹪	22.86%	22.93%
Sharpe	5.1	10.02
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	3.81	7.49
Sortino	10.07	22.89
Smart Sortino	7.53	17.11
Sortino/√2	7.12	16.19
Smart Sortino/√2	5.32	12.1
Omega	2.35	2.35
Max Drawdown	-0.28%	-0.41%
Longest DD Days	6	6
Volatility (ann.)	2.72%	1.38%
R^2	0.2	0.2
Information Ratio	-0.0	-0.0
Calmar	82.04	55.44
Skew	0.33	-0.15
Kurtosis	0.18	4.61
Expected Daily	0.08%	0.08%
Expected Monthly	1.6%	1.61%
Expected Yearly	7.71%	7.73%
Kelly Criterion	56.9%	81.34%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.06%
Expected Shortfall (cVaR)	-0.2%	-0.06%
Max Consecutive Wins	9	36
Max Consecutive Losses	2	3
Gain/Pain Ratio	2.55	13.47
Gain/Pain (1M)	-	-
Payoff Ratio	1.66	1.44
Profit Factor	3.55	14.47
Common Sense Ratio	6.8	115.34
CPC Index	4.29	18.6
Tail Ratio	1.92	7.97
Outlier Win Ratio	2.72	4.25
Outlier Loss Ratio	1.55	3.41
MTD	0.96%	0.91%
3M	4.45%	4.52%
6M	9.27%	9.34%
YTD	0.96%	0.91%
1Y	22.79%	22.77%
3Y (ann.)	22.86%	22.93%
5Y (ann.)	22.86%	22.93%
10Y (ann.)	22.86%	22.93%
All-time (ann.)	22.86%	22.93%
Best Day	0.58%	0.44%
Worst Day	-0.28%	-0.41%
Best Month	3.14%	2.83%
Worst Month	0.82%	0.84%
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	89.57	60.52
Ulcer Index	0.0	0.0
Serenity Index	206.1	631.97
Avg. Up Month	1.61%	1.61%
Avg. Down Month	-	-
Win Days	73.13%	88.97%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.89	-
Alpha	0.02	-
Correlation	45.15%	-
Treynor Ratio	20.26%	-