SCIP[Strategy] vs INav[Benchmark]

12 May, 2020 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	98.0%
Cumulative Return	29.16%	30.17%
CAGR﹪	15.35%	15.85%
Sharpe	0.52	0.55
Prob. Sharpe Ratio	32.48%	34.77%
Smart Sharpe	0.45	0.49
Sortino	0.72	0.77
Smart Sortino	0.63	0.68
Sortino/√2	0.51	0.55
Smart Sortino/√2	0.45	0.48
Omega	1.09	1.09
Max Drawdown	-31.6%	-26.67%
Longest DD Days	133	132
Volatility (ann.)	33.24%	30.53%
R^2	0.59	0.59
Information Ratio	0.0	0.0
Calmar	0.49	0.59
Skew	-0.24	-0.21
Kurtosis	2.39	1.48
Expected Daily	0.07%	0.08%
Expected Monthly	1.17%	1.21%
Expected Yearly	8.9%	9.19%
Kelly Criterion	2.89%	1.99%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.35%	-3.07%
Expected Shortfall (cVaR)	-3.35%	-3.07%
Max Consecutive Wins	10	8
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.13	0.14
Gain/Pain (1M)	0.8	0.86
Payoff Ratio	0.83	0.82
Profit Factor	1.13	1.14
Common Sense Ratio	1.07	0.98
CPC Index	0.53	0.53
Tail Ratio	0.94	0.85
Outlier Win Ratio	3.43	3.73
Outlier Loss Ratio	3.31	3.54
MTD	-3.37%	-4.68%
3M	-21.41%	-19.53%
6M	-20.34%	-19.62%
YTD	-17.77%	-16.32%
1Y	-7.96%	-6.39%
3Y (ann.)	15.35%	15.85%
5Y (ann.)	15.35%	15.85%
10Y (ann.)	15.35%	15.85%
All-time (ann.)	15.35%	15.85%
Best Day	8.8%	6.61%
Worst Day	-8.02%	-7.15%
Best Month	12.23%	10.57%
Worst Month	-14.9%	-12.21%
Best Year	36.59%	36.47%
Worst Year	-17.77%	-16.32%
Avg. Drawdown	-4.2%	-4.01%
Avg. Drawdown Days	19	18
Recovery Factor	0.92	1.13
Ulcer Index	0.07	0.07
Serenity Index	0.45	0.47
Avg. Up Month	6.72%	6.45%
Avg. Down Month	-4.41%	-4.01%
Win Days	55.91%	55.72%
Win Month	54.55%	50.0%
Win Quarter	75.0%	75.0%
Win Year	66.67%	66.67%
Beta	0.84	-
Alpha	0.04	-
Correlation	76.98%	-
Treynor Ratio	26.45%	-