PSMM[Strategy] vs INav[Benchmark]

6 Jun, 2024 - 16 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	19.13%	18.85%
CAGR﹪	20.41%	20.11%
Sharpe	11.81	13.3
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	9.65	10.86
Sortino	44.39	165.22
Smart Sortino	36.26	134.95
Sortino/√2	31.39	116.83
Smart Sortino/√2	25.64	95.43
Omega	10.14	10.14
Max Drawdown	-0.07%	-0.02%
Longest DD Days	2	1
Volatility (ann.)	0.98%	0.85%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	293.85	1255.75
Skew	0.75	2.05
Kurtosis	0.6	5.84
Expected Daily	0.07%	0.07%
Expected Monthly	1.47%	1.45%
Expected Yearly	9.15%	9.02%
Kelly Criterion	89.52%	99.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.02%
Expected Shortfall (cVaR)	-0.03%	-0.02%
Max Consecutive Wins	78	185
Max Consecutive Losses	1	1
Gain/Pain Ratio	34.34	758.35
Gain/Pain (1M)	-	-
Payoff Ratio	2.17	6.39
Profit Factor	35.34	759.35
Common Sense Ratio	658.35	4674.47
CPC Index	71.04	4812.49
Tail Ratio	18.63	6.16
Outlier Win Ratio	3.1	3.45
Outlier Loss Ratio	0.84	2.2
MTD	0.93%	0.9%
3M	5.85%	5.81%
6M	11.05%	10.99%
YTD	8.38%	8.52%
1Y	19.13%	18.85%
3Y (ann.)	20.41%	20.11%
5Y (ann.)	20.41%	20.11%
10Y (ann.)	20.41%	20.11%
All-time (ann.)	20.41%	20.11%
Best Day	0.29%	0.39%
Worst Day	-0.07%	-0.02%
Best Month	2.41%	2.0%
Worst Month	0.79%	0.69%
Best Year	9.92%	9.52%
Worst Year	8.38%	8.52%
Avg. Drawdown	-0.03%	-0.01%
Avg. Drawdown Days	1	1
Recovery Factor	275.43	1177.09
Ulcer Index	0.0	0.0
Serenity Index	4677.76	292215.85
Avg. Up Month	1.47%	1.45%
Avg. Down Month	-	-
Win Days	92.83%	99.16%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.06	-
Alpha	0.17	-
Correlation	4.88%	-
Treynor Ratio	216.09%	-