PSMM[Strategy] vs INav[Benchmark]

6 Jun, 2024 - 27 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	35.71%	35.53%
CAGR﹪	19.32%	19.23%
Sharpe	8.36	13.56
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	5.23	8.49
Sortino	18.93	176.64
Smart Sortino	11.84	110.53
Sortino/√2	13.38	124.9
Smart Sortino/√2	8.38	78.16
Omega	4.84	4.84
Max Drawdown	-0.24%	-0.02%
Longest DD Days	4	1
Volatility (ann.)	1.29%	0.79%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	79.46	1200.5
Skew	0.62	2.03
Kurtosis	5.71	5.57
Expected Daily	0.07%	0.07%
Expected Monthly	1.46%	1.46%
Expected Yearly	10.72%	10.66%
Kelly Criterion	83.62%	99.47%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.01%
Expected Shortfall (cVaR)	-0.06%	-0.01%
Max Consecutive Wins	78	185
Max Consecutive Losses	2	1
Gain/Pain Ratio	10.4	1334.87
Gain/Pain (1M)	-	-
Payoff Ratio	2.34	6.18
Profit Factor	11.4	1335.87
Common Sense Ratio	48.27	7618.12
CPC Index	23.62	8219.62
Tail Ratio	4.24	5.7
Outlier Win Ratio	3.2	3.94
Outlier Loss Ratio	1.38	7.28
MTD	1.25%	1.17%
3M	3.95%	3.93%
6M	8.26%	8.21%
YTD	2.23%	2.43%
1Y	19.91%	19.87%
3Y (ann.)	19.32%	19.23%
5Y (ann.)	19.32%	19.23%
10Y (ann.)	19.32%	19.23%
All-time (ann.)	19.32%	19.23%
Best Day	0.58%	0.39%
Worst Day	-0.24%	-0.02%
Best Month	2.41%	2.0%
Worst Month	0.79%	0.69%
Best Year	20.77%	20.81%
Worst Year	2.23%	2.43%
Avg. Drawdown	-0.06%	-0.01%
Avg. Drawdown Days	1	1
Recovery Factor	146.88	2218.39
Ulcer Index	0.0	0.0
Serenity Index	1378.24	1204362.24
Avg. Up Month	1.47%	1.46%
Avg. Down Month	-	-
Win Days	88.52%	99.54%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.15	-
Alpha	0.15	-
Correlation	9.27%	-
Treynor Ratio	189.44%	-