RSHU[Strategy] vs INav[Benchmark]

6 Nov, 2023 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	14.5%	13.52%
CAGR﹪	9.42%	8.8%
Sharpe	0.2	0.18
Prob. Sharpe Ratio	23.3%	21.0%
Smart Sharpe	0.2	0.18
Sortino	0.32	0.28
Smart Sortino	0.31	0.27
Sortino/√2	0.23	0.2
Smart Sortino/√2	0.22	0.19
Omega	1.04	1.04
Max Drawdown	-14.69%	-17.45%
Longest DD Days	205	116
Volatility (ann.)	21.0%	24.26%
R^2	0.42	0.42
Information Ratio	-0.0	-0.0
Calmar	0.64	0.5
Skew	0.77	0.69
Kurtosis	3.1	5.75
Expected Daily	0.04%	0.03%
Expected Monthly	0.72%	0.67%
Expected Yearly	4.62%	4.32%
Kelly Criterion	7.32%	5.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.13%	-2.47%
Expected Shortfall (cVaR)	-2.13%	-2.47%
Max Consecutive Wins	7	7
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.11	0.1
Gain/Pain (1M)	0.72	0.75
Payoff Ratio	1.22	1.1
Profit Factor	1.11	1.1
Common Sense Ratio	1.4	1.27
CPC Index	0.66	0.61
Tail Ratio	1.27	1.16
Outlier Win Ratio	4.69	4.38
Outlier Loss Ratio	4.87	4.28
MTD	-0.12%	4.76%
3M	-6.5%	-6.62%
6M	7.47%	2.08%
YTD	-11.24%	-9.59%
1Y	8.52%	7.67%
3Y (ann.)	9.42%	8.8%
5Y (ann.)	9.42%	8.8%
10Y (ann.)	9.42%	8.8%
All-time (ann.)	9.42%	8.8%
Best Day	5.69%	9.32%
Worst Day	-3.97%	-5.35%
Best Month	18.88%	11.08%
Worst Month	-6.28%	-6.3%
Best Year	25.52%	22.65%
Worst Year	-11.24%	-9.59%
Avg. Drawdown	-3.18%	-2.84%
Avg. Drawdown Days	30	17
Recovery Factor	0.99	0.78
Ulcer Index	0.06	0.06
Serenity Index	0.17	0.16
Avg. Up Month	4.45%	3.24%
Avg. Down Month	-3.35%	-3.9%
Win Days	49.08%	50.39%
Win Month	52.63%	57.89%
Win Quarter	57.14%	57.14%
Win Year	66.67%	66.67%
Beta	0.56	-
Alpha	0.05	-
Correlation	64.47%	-
Treynor Ratio	13.44%	-