SCFT[Strategy] vs INav[Benchmark]

18 Feb, 2022 - 17 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	92.0%
Cumulative Return	-59.17%	-59.28%
CAGR﹪	-18.07%	-18.12%
Sharpe	-0.48	-0.51
Prob. Sharpe Ratio	0.09%	0.05%
Smart Sharpe	-0.47	-0.5
Sortino	-0.54	-0.55
Smart Sortino	-0.53	-0.54
Sortino/√2	-0.38	-0.39
Smart Sortino/√2	-0.38	-0.38
Omega	0.88	0.88
Max Drawdown	-66.63%	-66.89%
Longest DD Days	1634	1300
Volatility (ann.)	40.63%	39.18%
R^2	0.91	0.91
Information Ratio	0.0	0.0
Calmar	-0.27	-0.27
Skew	-14.16	-17.19
Kurtosis	340.78	431.73
Expected Daily	-0.1%	-0.1%
Expected Monthly	-1.97%	-1.98%
Expected Yearly	-16.4%	-16.45%
Kelly Criterion	-7.39%	-5.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.26%	-4.11%
Expected Shortfall (cVaR)	-4.26%	-4.11%
Max Consecutive Wins	8	10
Max Consecutive Losses	7	14
Gain/Pain Ratio	-0.08	-0.09
Gain/Pain (1M)	-0.29	-0.3
Payoff Ratio	0.85	0.82
Profit Factor	0.92	0.91
Common Sense Ratio	0.84	0.8
CPC Index	0.39	0.39
Tail Ratio	0.92	0.88
Outlier Win Ratio	3.73	4.57
Outlier Loss Ratio	3.08	3.16
MTD	-5.15%	-5.3%
3M	-14.52%	-14.38%
6M	-21.75%	-21.87%
YTD	-18.74%	-19.01%
1Y	-26.87%	-27.18%
3Y (ann.)	-11.31%	-11.25%
5Y (ann.)	-18.07%	-18.12%
10Y (ann.)	-18.07%	-18.12%
All-time (ann.)	-18.07%	-18.12%
Best Day	14.97%	8.23%
Worst Day	-60.33%	-61.76%
Best Month	13.92%	13.64%
Worst Month	-59.18%	-60.56%
Best Year	4.64%	7.9%
Worst Year	-46.59%	-48.48%
Avg. Drawdown	-66.63%	-66.89%
Avg. Drawdown Days	1634	1300
Recovery Factor	-0.89	-0.89
Ulcer Index	0.53	0.52
Serenity Index	-0.05	-0.05
Avg. Up Month	4.5%	4.63%
Avg. Down Month	-7.88%	-8.05%
Win Days	50.68%	52.28%
Win Month	53.33%	54.55%
Win Quarter	43.75%	43.75%
Win Year	20.0%	20.0%
Beta	0.99	-
Alpha	0.0	-
Correlation	95.15%	-
Treynor Ratio	-67.07%	-