RCUS[Strategy] vs INav[Benchmark]

30 Dec, 2022 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	18.32%	41.44%
CAGR﹪	28.1%	66.57%
Sharpe	0.82	1.83
Prob. Sharpe Ratio	48.74%	79.91%
Smart Sharpe	0.79	1.77
Sortino	1.05	2.97
Smart Sortino	1.01	2.88
Sortino/√2	0.74	2.1
Smart Sortino/√2	0.72	2.03
Omega	1.16	1.16
Max Drawdown	-21.36%	-10.91%
Longest DD Days	45	46
Volatility (ann.)	26.5%	26.15%
R^2	0.09	0.09
Information Ratio	-0.05	-0.05
Calmar	1.32	6.1
Skew	-1.79	1.55
Kurtosis	8.22	26.9
Expected Daily	0.1%	0.2%
Expected Monthly	1.7%	3.53%
Expected Yearly	8.78%	18.93%
Kelly Criterion	7.32%	32.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.63%	-2.49%
Expected Shortfall (cVaR)	-2.63%	-2.49%
Max Consecutive Wins	8	10
Max Consecutive Losses	4	6
Gain/Pain Ratio	0.22	0.6
Gain/Pain (1M)	1.14	27.24
Payoff Ratio	0.81	1.39
Profit Factor	1.22	1.6
Common Sense Ratio	1.5	1.92
CPC Index	0.58	1.35
Tail Ratio	1.23	1.2
Outlier Win Ratio	2.97	3.29
Outlier Loss Ratio	3.6	5.12
MTD	-6.16%	-0.12%
3M	-6.67%	8.6%
6M	3.17%	21.24%
YTD	18.32%	41.44%
1Y	18.32%	41.44%
3Y (ann.)	28.1%	66.57%
5Y (ann.)	28.1%	66.57%
10Y (ann.)	28.1%	66.57%
All-time (ann.)	28.1%	66.57%
Best Day	3.88%	13.03%
Worst Day	-9.59%	-9.25%
Best Month	11.86%	12.01%
Worst Month	-10.82%	-1.26%
Best Year	18.32%	41.44%
Worst Year	0.0%	0.0%
Avg. Drawdown	-3.22%	-2.33%
Avg. Drawdown Days	10	9
Recovery Factor	0.86	3.8
Ulcer Index	0.04	0.03
Serenity Index	0.72	4.51
Avg. Up Month	5.13%	5.35%
Avg. Down Month	-8.49%	-0.69%
Win Days	58.54%	60.59%
Win Month	77.78%	77.78%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	0.3	-
Alpha	0.12	-
Correlation	29.82%	-
Treynor Ratio	37.46%	-