PSMM[Strategy] vs INav[Benchmark]

6 Jun, 2024 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	44.31%	44.27%
CAGR﹪	18.32%	18.3%
Sharpe	7.89	13.24
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	4.98	8.36
Sortino	18.0	174.37
Smart Sortino	11.37	110.1
Sortino/√2	12.73	123.3
Smart Sortino/√2	8.04	77.85
Omega	4.29	4.29
Max Drawdown	-0.24%	-0.02%
Longest DD Days	4	1
Volatility (ann.)	1.26%	0.75%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	75.32	1142.71
Skew	0.63	2.08
Kurtosis	5.0	5.99
Expected Daily	0.07%	0.07%
Expected Monthly	1.37%	1.37%
Expected Yearly	13.0%	12.99%
Kelly Criterion	79.59%	99.57%
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	9.79	1609.26
Gain/Pain (1M)	-	-
Payoff Ratio	2.31	5.9
Profit Factor	10.79	1610.26
Common Sense Ratio	45.78	8888.74
CPC Index	21.34	9464.96
Tail Ratio	4.24	5.52
Outlier Win Ratio	2.92	3.73
Outlier Loss Ratio	1.22	5.21
MTD	0.25%	0.4%
3M	3.54%	3.61%
6M	7.09%	7.17%
YTD	8.7%	9.04%
1Y	15.86%	16.16%
3Y (ann.)	18.32%	18.3%
5Y (ann.)	18.32%	18.3%
10Y (ann.)	18.32%	18.3%
All-time (ann.)	18.32%	18.3%
Best Day	0.58%	0.39%
Worst Day	-0.24%	-0.02%
Best Month	2.41%	2.0%
Worst Month	0.25%	0.4%
Best Year	20.77%	20.81%
Worst Year	8.7%	9.04%
Avg. Drawdown	-0.05%	-0.01%
Avg. Drawdown Days	1	1
Recovery Factor	182.22	2764.17
Ulcer Index	0.0	0.0
Serenity Index	2005.71	1893235.79
Avg. Up Month	1.37%	1.37%
Avg. Down Month	-	-
Win Days	85.77%	99.64%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.11	-
Alpha	0.15	-
Correlation	6.61%	-
Treynor Ratio	335.38%	-