RCGL[Strategy] vs INav[Benchmark]

12 Sep, 2022 - 26 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	130.2%	135.08%
CAGR﹪	50.46%	52.01%
Sharpe	1.83	2.29
Prob. Sharpe Ratio	93.39%	98.88%
Smart Sharpe	1.75	2.19
Sortino	2.77	3.57
Smart Sortino	2.65	3.41
Sortino/√2	1.96	2.53
Smart Sortino/√2	1.87	2.41
Omega	1.36	1.36
Max Drawdown	-12.41%	-11.9%
Longest DD Days	204	180
Volatility (ann.)	19.56%	15.77%
R^2	0.61	0.61
Information Ratio	-0.0	-0.0
Calmar	4.07	4.37
Skew	-0.14	-0.08
Kurtosis	1.43	1.09
Expected Daily	0.16%	0.17%
Expected Monthly	3.39%	3.48%
Expected Yearly	32.04%	32.96%
Kelly Criterion	14.74%	19.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.86%	-1.46%
Expected Shortfall (cVaR)	-1.86%	-1.46%
Max Consecutive Wins	10	11
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.44	0.57
Gain/Pain (1M)	8.13	6.91
Payoff Ratio	0.94	1.04
Profit Factor	1.44	1.57
Common Sense Ratio	1.66	1.84
CPC Index	0.79	0.96
Tail Ratio	1.16	1.17
Outlier Win Ratio	3.16	3.76
Outlier Loss Ratio	2.79	3.67
MTD	10.0%	10.47%
3M	21.58%	22.46%
6M	20.78%	22.69%
YTD	33.67%	35.41%
1Y	34.97%	36.25%
3Y (ann.)	50.46%	52.01%
5Y (ann.)	50.46%	52.01%
10Y (ann.)	50.46%	52.01%
All-time (ann.)	50.46%	52.01%
Best Day	5.06%	3.54%
Worst Day	-5.0%	-3.74%
Best Month	17.22%	17.43%
Worst Month	-2.65%	-3.2%
Best Year	44.49%	43.61%
Worst Year	19.19%	20.88%
Avg. Drawdown	-2.57%	-1.79%
Avg. Drawdown Days	17	14
Recovery Factor	10.49	11.35
Ulcer Index	0.04	0.04
Serenity Index	4.41	4.01
Avg. Up Month	5.85%	6.08%
Avg. Down Month	-1.46%	-1.66%
Win Days	58.71%	58.91%
Win Month	68.0%	68.0%
Win Quarter	77.78%	77.78%
Win Year	100.0%	100.0%
Beta	0.97	-
Alpha	0.01	-
Correlation	78.38%	-
Treynor Ratio	126.79%	-