GPBM[Strategy] vs INav[Benchmark]

25 Sep, 2019 - 23 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	80.0%	100.0%
Cumulative Return	20.23%	21.41%
CAGR﹪	4.1%	4.33%
Sharpe	-12.65	-26.47
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.51	-19.9
Sortino	-10.65	-13.77
Smart Sortino	-8.01	-10.36
Sortino/√2	-7.53	-9.74
Smart Sortino/√2	-5.66	-7.32
Omega	0.11	0.11
Max Drawdown	-16.05%	-14.84%
Longest DD Days	529	543
Volatility (ann.)	15.81%	7.58%
R^2	0.06	0.06
Information Ratio	0.0	0.0
Calmar	0.26	0.29
Skew	-1.35	-1.25
Kurtosis	28.2	16.86
Expected Daily	0.03%	0.03%
Expected Monthly	0.34%	0.35%
Expected Yearly	3.12%	3.29%
Kelly Criterion	5.95%	11.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-0.75%
Expected Shortfall (cVaR)	-1.6%	-0.75%
Max Consecutive Wins	8	14
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.15	0.28
Gain/Pain (1M)	0.72	0.65
Payoff Ratio	0.91	0.89
Profit Factor	1.15	1.28
Common Sense Ratio	1.33	1.65
CPC Index	0.58	0.67
Tail Ratio	1.15	1.29
Outlier Win Ratio	5.31	8.69
Outlier Loss Ratio	3.82	8.92
MTD	-0.32%	-0.06%
3M	-0.32%	0.48%
6M	2.15%	2.17%
YTD	-0.16%	-0.03%
1Y	-2.06%	-0.77%
3Y (ann.)	2.05%	2.37%
5Y (ann.)	4.1%	4.33%
10Y (ann.)	4.1%	4.33%
All-time (ann.)	4.1%	4.33%
Best Day	6.29%	2.78%
Worst Day	-10.58%	-3.75%
Best Month	5.59%	6.25%
Worst Month	-7.06%	-8.78%
Best Year	9.58%	9.76%
Worst Year	-2.12%	-2.5%
Avg. Drawdown	-1.86%	-1.01%
Avg. Drawdown Days	43	32
Recovery Factor	1.26	1.44
Ulcer Index	0.03	0.03
Serenity Index	-30.74	-18.95
Avg. Up Month	1.6%	1.58%
Avg. Down Month	-1.83%	-1.82%
Win Days	55.08%	58.28%
Win Month	64.15%	64.81%
Win Quarter	57.89%	57.89%
Win Year	50.0%	66.67%
Beta	0.51	-
Alpha	0.05	-
Correlation	24.53%	-
Treynor Ratio	-1328.55%	-