GPBR[Strategy] vs INav[Benchmark]

7 Feb, 2022 - 24 Jan, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	90.0%	79.0%
Cumulative Return	11.93%	14.66%
CAGR﹪	5.91%	7.22%
Sharpe	-0.02	0.11
Prob. Sharpe Ratio	25.2%	54.42%
Smart Sharpe	-0.02	0.09
Sortino	-0.03	0.14
Smart Sortino	-0.02	0.11
Sortino/√2	-0.02	0.1
Smart Sortino/√2	-0.02	0.08
Omega	1.0	1.0
Max Drawdown	-8.14%	-8.67%
Longest DD Days	200	201
Volatility (ann.)	10.48%	6.22%
R^2	0.21	0.21
Information Ratio	-0.01	-0.01
Calmar	0.73	0.83
Skew	0.13	-2.39
Kurtosis	9.66	24.55
Expected Daily	0.02%	0.03%
Expected Monthly	0.49%	0.6%
Expected Yearly	3.83%	4.66%
Kelly Criterion	12.51%	14.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.06%	-0.61%
Expected Shortfall (cVaR)	-1.06%	-0.61%
Max Consecutive Wins	7	10
Max Consecutive Losses	8	5
Gain/Pain Ratio	0.15	0.32
Gain/Pain (1M)	1.04	1.23
Payoff Ratio	1.23	0.85
Profit Factor	1.15	1.32
Common Sense Ratio	1.19	1.55
CPC Index	0.73	0.68
Tail Ratio	1.04	1.17
Outlier Win Ratio	5.02	10.32
Outlier Loss Ratio	3.97	5.44
MTD	-1.23%	0.88%
3M	0.09%	2.59%
6M	-1.14%	0.7%
YTD	-1.23%	0.88%
1Y	1.26%	3.32%
3Y (ann.)	5.91%	7.22%
5Y (ann.)	5.91%	7.22%
10Y (ann.)	5.91%	7.22%
All-time (ann.)	5.91%	7.22%
Best Day	3.63%	1.93%
Worst Day	-3.56%	-3.54%
Best Month	5.61%	4.95%
Worst Month	-4.17%	-6.08%
Best Year	11.03%	10.47%
Worst Year	-1.23%	0.88%
Avg. Drawdown	-1.45%	-0.69%
Avg. Drawdown Days	24	14
Recovery Factor	1.46	1.69
Ulcer Index	0.02	0.02
Serenity Index	0.57	0.54
Avg. Up Month	1.58%	1.6%
Avg. Down Month	-1.84%	-2.26%
Win Days	51.76%	60.92%
Win Month	65.22%	78.26%
Win Quarter	66.67%	66.67%
Win Year	66.67%	100.0%
Beta	0.77	-
Alpha	0.01	-
Correlation	45.54%	-
Treynor Ratio	6.42%	-