LQDT[Strategy] vs INav[Benchmark]

3 Aug, 2022 - 5 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	81.71%	81.69%
CAGR﹪	15.05%	15.05%
Sharpe	11.08	8.47
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	10.68	8.17
Sortino	55.48	19.11
Smart Sortino	53.49	18.42
Sortino/√2	39.23	13.51
Smart Sortino/√2	37.82	13.03
Omega	12.08	12.08
Max Drawdown	-0.11%	-0.74%
Longest DD Days	6	3
Volatility (ann.)	0.64%	0.84%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	137.66	20.46
Skew	1.42	1.35
Kurtosis	2.15	102.84
Expected Daily	0.06%	0.06%
Expected Monthly	1.16%	1.15%
Expected Yearly	12.69%	12.68%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.01%	-0.03%
Expected Shortfall (cVaR)	-0.01%	-0.03%
Max Consecutive Wins	718	881
Max Consecutive Losses	1	1
Gain/Pain Ratio	209.24	81.26
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	210.24	82.26
Common Sense Ratio	3731.26	749.33
CPC Index	-	-
Tail Ratio	17.75	9.11
Outlier Win Ratio	3.1	3.11
Outlier Loss Ratio	-0.17	-0.01
MTD	0.15%	0.23%
3M	3.54%	3.53%
6M	7.22%	7.22%
YTD	12.59%	12.84%
1Y	15.62%	15.68%
3Y (ann.)	18.15%	18.16%
5Y (ann.)	15.05%	15.05%
10Y (ann.)	15.05%	15.05%
All-time (ann.)	15.05%	15.05%
Best Day	0.26%	0.89%
Worst Day	-0.09%	-0.74%
Best Month	1.8%	1.81%
Worst Month	0.15%	0.23%
Best Year	20.68%	20.64%
Worst Year	3.0%	2.92%
Avg. Drawdown	-0.03%	-0.74%
Avg. Drawdown Days	2	3
Recovery Factor	747.41	111.1
Ulcer Index	0.0	0.0
Serenity Index	60030.06	4736.88
Avg. Up Month	1.16%	1.16%
Avg. Down Month	-	-
Win Days	98.87%	99.91%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.01	-
Alpha	0.14	-
Correlation	0.83%	-
Treynor Ratio	11790.64%	-