RUMM[Strategy] vs INav[Benchmark]

9 Aug, 2022 - 4 Jul, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	62.0%	64.0%
Cumulative Return	0.59%	0.6%
CAGR﹪	0.65%	0.67%
Sharpe	-1.6	-3.03
Prob. Sharpe Ratio	22.32%	26.73%
Smart Sharpe	-1.32	-2.5
Sortino	-2.18	-4.54
Smart Sortino	-1.81	-3.75
Sortino/√2	-1.54	-3.21
Smart Sortino/√2	-1.28	-2.65
Omega	0.58	0.58
Max Drawdown	-2.43%	-1.59%
Longest DD Days	313	320
Volatility (ann.)	3.69%	1.97%
R^2	0.13	0.13
Information Ratio	0.0	0.0
Calmar	0.27	0.42
Skew	-0.32	2.26
Kurtosis	19.45	23.63
Expected Daily	0.0%	0.0%
Expected Monthly	0.05%	0.05%
Expected Yearly	0.29%	0.3%
Kelly Criterion	1.84%	5.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.38%	-0.2%
Expected Shortfall (cVaR)	-0.38%	-0.2%
Max Consecutive Wins	10	22
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.1	0.19
Gain/Pain (1M)	0.39	0.37
Payoff Ratio	1.48	2.51
Profit Factor	1.1	1.19
Common Sense Ratio	2.15	1.29
CPC Index	0.68	0.97
Tail Ratio	1.96	1.09
Outlier Win Ratio	12.95	20.57
Outlier Loss Ratio	7.38	16.82
MTD	-0.01%	-0.01%
3M	0.21%	0.22%
6M	1.39%	1.37%
YTD	1.39%	1.37%
1Y	0.59%	0.6%
3Y (ann.)	0.65%	0.67%
5Y (ann.)	0.65%	0.67%
10Y (ann.)	0.65%	0.67%
All-time (ann.)	0.65%	0.67%
Best Day	1.3%	0.88%
Worst Day	-1.33%	-0.56%
Best Month	1.06%	0.98%
Worst Month	-0.95%	-0.92%
Best Year	1.39%	1.37%
Worst Year	-0.79%	-0.75%
Avg. Drawdown	-1.24%	-1.01%
Avg. Drawdown Days	108	163
Recovery Factor	0.24	0.38
Ulcer Index	0.02	0.01
Serenity Index	-0.38	-0.64
Avg. Up Month	0.46%	0.45%
Avg. Down Month	-0.24%	-0.23%
Win Days	41.38%	32.5%
Win Month	41.67%	41.67%
Win Quarter	60.0%	60.0%
Win Year	50.0%	50.0%
Beta	0.68	-
Alpha	0.0	-
Correlation	36.41%	-
Treynor Ratio	-9.37%	-