MTEK[Strategy] vs INav[Benchmark]

30 Oct, 2019 - 3 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	118.0%	128.71%
CAGR﹪	21.43%	22.89%
Sharpe	0.61	0.7
Prob. Sharpe Ratio	24.95%	36.15%
Smart Sharpe	0.45	0.52
Sortino	0.84	0.82
Smart Sortino	0.62	0.61
Sortino/√2	0.59	0.58
Smart Sortino/√2	0.44	0.43
Omega	1.18	1.18
Max Drawdown	-60.1%	-61.28%
Longest DD Days	650	651
Volatility (ann.)	59.96%	41.26%
R^2	0.35	0.35
Information Ratio	0.01	0.01
Calmar	0.36	0.37
Skew	-1.83	-9.89
Kurtosis	71.43	198.69
Expected Daily	0.09%	0.1%
Expected Monthly	1.79%	1.9%
Expected Yearly	16.87%	17.99%
Kelly Criterion	12.43%	9.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.04%	-4.13%
Expected Shortfall (cVaR)	-6.04%	-4.13%
Max Consecutive Wins	8	12
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.22	0.22
Gain/Pain (1M)	1.61	1.33
Payoff Ratio	1.14	0.87
Profit Factor	1.22	1.22
Common Sense Ratio	1.51	1.37
CPC Index	0.74	0.61
Tail Ratio	1.24	1.12
Outlier Win Ratio	3.13	4.12
Outlier Loss Ratio	3.43	3.92
MTD	1.11%	6.18%
3M	-5.71%	-2.23%
6M	37.63%	44.67%
YTD	100.37%	106.74%
1Y	108.81%	122.29%
3Y (ann.)	5.38%	7.48%
5Y (ann.)	21.43%	22.89%
10Y (ann.)	21.43%	22.89%
All-time (ann.)	21.43%	22.89%
Best Day	32.07%	7.59%
Worst Day	-53.07%	-52.53%
Best Month	22.61%	21.32%
Worst Month	-52.11%	-52.4%
Best Year	100.37%	106.74%
Worst Year	-53.26%	-53.3%
Avg. Drawdown	-6.07%	-5.48%
Avg. Drawdown Days	37	33
Recovery Factor	1.96	2.1
Ulcer Index	0.23	0.22
Serenity Index	0.43	0.33
Avg. Up Month	7.52%	7.58%
Avg. Down Month	-8.51%	-8.14%
Win Days	53.32%	57.9%
Win Month	68.18%	68.18%
Win Quarter	75.0%	81.25%
Win Year	80.0%	80.0%
Beta	0.86	-
Alpha	0.13	-
Correlation	59.22%	-
Treynor Ratio	128.98%	-