PSMM[Strategy] vs INav[Benchmark]

6 Jun, 2024 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	28.08%	27.86%
CAGR﹪	20.06%	19.91%
Sharpe	8.29	13.73
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.99	8.27
Sortino	18.28	181.1
Smart Sortino	11.01	109.08
Sortino/√2	12.93	128.06
Smart Sortino/√2	7.79	77.13
Omega	4.83	4.83
Max Drawdown	-0.24%	-0.02%
Longest DD Days	4	1
Volatility (ann.)	1.36%	0.81%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	82.51	1243.21
Skew	0.57	2.03
Kurtosis	5.65	5.49
Expected Daily	0.07%	0.07%
Expected Monthly	1.47%	1.46%
Expected Yearly	13.17%	13.07%
Kelly Criterion	83.76%	99.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.07%	-0.01%
Expected Shortfall (cVaR)	-0.07%	-0.01%
Max Consecutive Wins	78	185
Max Consecutive Losses	2	1
Gain/Pain Ratio	9.42	1079.06
Gain/Pain (1M)	-	-
Payoff Ratio	2.4	6.42
Profit Factor	10.42	1080.06
Common Sense Ratio	42.08	6167.41
CPC Index	22.18	6890.43
Tail Ratio	4.04	5.71
Outlier Win Ratio	3.18	3.97
Outlier Loss Ratio	1.52	8.99
MTD	0.51%	0.48%
3M	4.29%	4.43%
6M	9.63%	9.67%
YTD	16.52%	16.74%
1Y	21.45%	21.44%
3Y (ann.)	20.06%	19.91%
5Y (ann.)	20.06%	19.91%
10Y (ann.)	20.06%	19.91%
All-time (ann.)	20.06%	19.91%
Best Day	0.58%	0.39%
Worst Day	-0.24%	-0.02%
Best Month	2.41%	2.0%
Worst Month	0.51%	0.48%
Best Year	16.52%	16.74%
Worst Year	9.92%	9.52%
Avg. Drawdown	-0.07%	-0.01%
Avg. Drawdown Days	1	1
Recovery Factor	115.47	1739.44
Ulcer Index	0.0	0.0
Serenity Index	892.92	710873.55
Avg. Up Month	1.47%	1.46%
Avg. Down Month	-	-
Win Days	88.53%	99.42%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.2	-
Alpha	0.14	-
Correlation	11.9%	-
Treynor Ratio	105.69%	-