RSHU[Strategy] vs INav[Benchmark]

6 Nov, 2023 - 22 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	13.03%	12.26%
CAGR﹪	5.1%	4.81%
Sharpe	0.01	0.02
Prob. Sharpe Ratio	11.41%	10.51%
Smart Sharpe	0.01	0.02
Sortino	0.01	0.03
Smart Sortino	0.01	0.03
Sortino/√2	0.01	0.02
Smart Sortino/√2	0.01	0.02
Omega	1.0	1.0
Max Drawdown	-14.69%	-17.45%
Longest DD Days	469	462
Volatility (ann.)	19.73%	22.77%
R^2	0.39	0.39
Information Ratio	-0.0	-0.0
Calmar	0.35	0.28
Skew	0.5	0.54
Kurtosis	3.02	5.27
Expected Daily	0.02%	0.02%
Expected Monthly	0.41%	0.39%
Expected Yearly	3.11%	2.93%
Kelly Criterion	6.36%	3.07%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.02%	-2.33%
Expected Shortfall (cVaR)	-2.02%	-2.33%
Max Consecutive Wins	8	9
Max Consecutive Losses	8	12
Gain/Pain Ratio	0.07	0.06
Gain/Pain (1M)	0.45	0.49
Payoff Ratio	1.12	1.07
Profit Factor	1.07	1.06
Common Sense Ratio	1.1	1.08
CPC Index	0.6	0.57
Tail Ratio	1.03	1.02
Outlier Win Ratio	4.97	4.39
Outlier Loss Ratio	4.49	4.14
MTD	-5.91%	-6.14%
3M	-3.46%	-1.84%
6M	-6.83%	-4.57%
YTD	-4.26%	-3.53%
1Y	-1.5%	0.65%
3Y (ann.)	5.1%	4.81%
5Y (ann.)	5.1%	4.81%
10Y (ann.)	5.1%	4.81%
All-time (ann.)	5.1%	4.81%
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	-8.48%	-7.32%
Avg. Drawdown	-3.18%	-2.84%
Avg. Drawdown Days	52	29
Recovery Factor	0.89	0.7
Ulcer Index	0.07	0.08
Serenity Index	0.08	0.07
Avg. Up Month	3.82%	3.15%
Avg. Down Month	-3.26%	-3.75%
Win Days	50.49%	49.84%
Win Month	50.0%	60.0%
Win Quarter	54.55%	54.55%
Win Year	50.0%	50.0%
Beta	0.54	-
Alpha	0.03	-
Correlation	62.4%	-
Treynor Ratio	11.14%	-