RCGL[Strategy] vs INav[Benchmark]

12 Sep, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	99.16%	100.26%
CAGR﹪	53.04%	53.55%
Sharpe	-8.32	-10.65
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-7.84	-10.04
Sortino	-8.05	-9.41
Smart Sortino	-7.59	-8.87
Sortino/√2	-5.69	-6.65
Smart Sortino/√2	-5.36	-6.27
Omega	0.25	0.25
Max Drawdown	-10.09%	-9.75%
Longest DD Days	204	180
Volatility (ann.)	19.76%	15.47%
R^2	0.59	0.59
Information Ratio	0.0	0.0
Calmar	5.25	5.49
Skew	-0.21	-0.12
Kurtosis	1.72	1.42
Expected Daily	0.17%	0.17%
Expected Monthly	3.5%	3.53%
Expected Yearly	25.82%	26.05%
Kelly Criterion	14.74%	20.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.87%	-1.43%
Expected Shortfall (cVaR)	-1.87%	-1.43%
Max Consecutive Wins	10	11
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.46	0.62
Gain/Pain (1M)	10.02	8.04
Payoff Ratio	0.93	1.06
Profit Factor	1.46	1.62
Common Sense Ratio	1.7	2.12
CPC Index	0.8	1.01
Tail Ratio	1.16	1.3
Outlier Win Ratio	3.07	3.77
Outlier Loss Ratio	2.89	3.99
MTD	1.94%	2.25%
3M	19.71%	18.51%
6M	17.58%	16.96%
YTD	15.65%	15.35%
1Y	29.89%	30.06%
3Y (ann.)	53.04%	53.55%
5Y (ann.)	53.04%	53.55%
10Y (ann.)	53.04%	53.55%
All-time (ann.)	53.04%	53.55%
Best Day	5.06%	3.54%
Worst Day	-5.0%	-3.74%
Best Month	17.22%	17.43%
Worst Month	-2.09%	-3.2%
Best Year	44.49%	43.61%
Worst Year	15.65%	15.35%
Avg. Drawdown	-2.37%	-1.67%
Avg. Drawdown Days	14	12
Recovery Factor	9.82	10.28
Ulcer Index	0.04	0.03
Serenity Index	-30.97	-27.95
Avg. Up Month	5.75%	5.89%
Avg. Down Month	-1.32%	-1.54%
Win Days	58.81%	58.97%
Win Month	70.0%	70.0%
Win Quarter	87.5%	87.5%
Win Year	100.0%	100.0%
Beta	0.98	-
Alpha	0.01	-
Correlation	76.52%	-
Treynor Ratio	-614.63%	-