RCMM[Strategy] vs INav[Benchmark]

24 Aug, 2021 - 24 Aug, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	94.0%
Cumulative Return	13.26%	14.26%
CAGR﹪	6.42%	6.89%
Sharpe	-0.15	0.12
Prob. Sharpe Ratio	99.73%	99.53%
Smart Sharpe	-0.13	0.1
Sortino	-0.25	0.61
Smart Sortino	-0.2	0.5
Sortino/√2	-0.18	0.43
Smart Sortino/√2	-0.14	0.35
Omega	0.93	0.93
Max Drawdown	-1.47%	-0.15%
Longest DD Days	120	149
Volatility (ann.)	1.9%	1.22%
R^2	0.38	0.38
Information Ratio	-0.02	-0.02
Calmar	4.37	46.77
Skew	3.7	17.43
Kurtosis	97.49	350.61
Expected Daily	0.03%	0.03%
Expected Monthly	0.5%	0.53%
Expected Yearly	4.24%	4.54%
Kelly Criterion	71.5%	77.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.17%	-0.1%
Expected Shortfall (cVaR)	-0.17%	-0.1%
Max Consecutive Wins	322	104
Max Consecutive Losses	16	19
Gain/Pain Ratio	3.94	88.27
Gain/Pain (1M)	11.4	94.64
Payoff Ratio	0.79	25.35
Profit Factor	4.94	89.27
Common Sense Ratio	222.83	3875.07
CPC Index	3.43	1778.69
Tail Ratio	45.06	43.41
Outlier Win Ratio	5.1	5.38
Outlier Loss Ratio	0.49	17.04
MTD	-0.86%	-0.02%
3M	-0.92%	-0.08%
6M	-0.51%	0.42%
YTD	0.5%	1.38%
1Y	2.93%	3.84%
3Y (ann.)	6.42%	6.89%
5Y (ann.)	6.42%	6.89%
10Y (ann.)	6.42%	6.89%
All-time (ann.)	6.42%	6.89%
Best Day	1.6%	1.59%
Worst Day	-1.07%	-0.0%
Best Month	1.75%	1.69%
Worst Month	-0.86%	-0.03%
Best Year	10.09%	10.18%
Worst Year	0.5%	1.38%
Avg. Drawdown	-0.23%	-0.07%
Avg. Drawdown Days	19	76
Recovery Factor	9.01	96.75
Ulcer Index	0.0	0.0
Serenity Index	12.11	153.71
Avg. Up Month	0.68%	0.68%
Avg. Down Month	-0.22%	-0.03%
Win Days	87.39%	78.59%
Win Month	80.0%	80.0%
Win Quarter	77.78%	77.78%
Win Year	100.0%	100.0%
Beta	0.95	-
Alpha	-0.0	-
Correlation	61.35%	-
Treynor Ratio	6.56%	-