INGO[Strategy] vs INav[Benchmark]

10 Aug, 2021 - 21 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	97.0%
Cumulative Return	58.44%	58.49%
CAGR﹪	10.29%	10.3%
Sharpe	0.43	0.95
Prob. Sharpe Ratio	59.26%	99.44%
Smart Sharpe	0.33	0.72
Sortino	0.58	1.26
Smart Sortino	0.44	0.95
Sortino/√2	0.41	0.89
Smart Sortino/√2	0.31	0.67
Omega	1.12	1.12
Max Drawdown	-13.53%	-6.95%
Longest DD Days	170	153
Volatility (ann.)	8.27%	3.49%
R^2	0.39	0.39
Information Ratio	0.0	0.0
Calmar	0.76	1.48
Skew	-4.79	-3.84
Kurtosis	170.78	68.87
Expected Daily	0.04%	0.04%
Expected Monthly	0.83%	0.83%
Expected Yearly	7.97%	7.98%
Kelly Criterion	12.49%	25.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.82%	-0.32%
Expected Shortfall (cVaR)	-0.82%	-0.32%
Max Consecutive Wins	14	14
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.39	0.91
Gain/Pain (1M)	3.02	3.32
Payoff Ratio	0.96	0.99
Profit Factor	1.39	1.91
Common Sense Ratio	1.69	2.81
CPC Index	0.77	1.2
Tail Ratio	1.21	1.47
Outlier Win Ratio	4.45	8.3
Outlier Loss Ratio	2.73	5.77
MTD	0.85%	0.88%
3M	5.17%	4.91%
6M	9.66%	9.62%
YTD	5.11%	5.57%
1Y	21.89%	22.0%
3Y (ann.)	11.91%	12.02%
5Y (ann.)	10.29%	10.3%
10Y (ann.)	10.29%	10.3%
All-time (ann.)	10.29%	10.3%
Best Day	7.09%	1.58%
Worst Day	-10.42%	-3.51%
Best Month	5.42%	5.26%
Worst Month	-5.9%	-4.98%
Best Year	23.82%	23.25%
Worst Year	0.79%	0.81%
Avg. Drawdown	-0.54%	-0.28%
Avg. Drawdown Days	10	10
Recovery Factor	4.32	8.41
Ulcer Index	0.01	0.01
Serenity Index	9.56	5.87
Avg. Up Month	1.54%	1.48%
Avg. Down Month	-1.37%	-1.15%
Win Days	57.12%	63.05%
Win Month	75.0%	76.79%
Win Quarter	85.0%	90.0%
Win Year	100.0%	100.0%
Beta	1.49	-
Alpha	-0.05	-
Correlation	62.64%	-
Treynor Ratio	34.62%	-