INRU[Strategy] vs INav[Benchmark]

7 Jun, 2022 - 11 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	58.47%	58.49%
CAGR﹪	40.81%	40.82%
Sharpe	1.23	1.37
Prob. Sharpe Ratio	67.03%	72.56%
Smart Sharpe	1.22	1.36
Sortino	1.75	1.82
Smart Sortino	1.74	1.81
Sortino/√2	1.24	1.29
Smart Sortino/√2	1.23	1.28
Omega	1.28	1.28
Max Drawdown	-27.6%	-22.59%
Longest DD Days	195	195
Volatility (ann.)	25.09%	22.01%
R^2	0.54	0.54
Information Ratio	0.0	0.0
Calmar	1.48	1.81
Skew	-0.13	-1.7
Kurtosis	17.23	9.78
Expected Daily	0.14%	0.14%
Expected Monthly	2.75%	2.75%
Expected Yearly	25.88%	25.89%
Kelly Criterion	11.12%	12.72%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-2.13%
Expected Shortfall (cVaR)	-2.45%	-2.13%
Max Consecutive Wins	8	7
Max Consecutive Losses	7	5
Gain/Pain Ratio	0.35	0.38
Gain/Pain (1M)	2.18	1.99
Payoff Ratio	0.92	0.96
Profit Factor	1.35	1.38
Common Sense Ratio	1.47	1.53
CPC Index	0.71	0.76
Tail Ratio	1.09	1.11
Outlier Win Ratio	3.3	3.53
Outlier Loss Ratio	4.52	5.13
MTD	2.38%	2.12%
3M	13.08%	12.72%
6M	31.58%	31.0%
YTD	54.57%	55.02%
1Y	98.03%	84.77%
3Y (ann.)	40.81%	40.82%
5Y (ann.)	40.81%	40.82%
10Y (ann.)	40.81%	40.82%
All-time (ann.)	40.81%	40.82%
Best Day	12.32%	4.33%
Worst Day	-9.58%	-8.79%
Best Month	14.68%	15.29%
Worst Month	-17.51%	-18.52%
Best Year	54.57%	55.02%
Worst Year	2.52%	2.24%
Avg. Drawdown	-2.75%	-2.62%
Avg. Drawdown Days	14	15
Recovery Factor	2.12	2.59
Ulcer Index	0.07	0.07
Serenity Index	0.84	0.72
Avg. Up Month	5.25%	5.38%
Avg. Down Month	-7.55%	-8.08%
Win Days	57.49%	57.36%
Win Month	82.35%	82.35%
Win Quarter	71.43%	71.43%
Win Year	100.0%	100.0%
Beta	0.84	-
Alpha	0.07	-
Correlation	73.3%	-
Treynor Ratio	61.59%	-