SCLI[Strategy] vs INav[Benchmark]

31 Jul, 2024 - 3 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	98.0%
Cumulative Return	39.25%	39.15%
CAGR﹪	18.79%	18.74%
Sharpe	10.92	11.24
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.62	8.86
Sortino	26.98	142.49
Smart Sortino	21.28	112.4
Sortino/√2	19.08	100.75
Smart Sortino/√2	15.05	79.48
Omega	11.24	11.24
Max Drawdown	-0.47%	-
Longest DD Days	-	-
Volatility (ann.)	0.95%	0.92%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	39.88	-
Skew	-0.08	4.66
Kurtosis	18.74	38.7
Expected Daily	0.07%	0.07%
Expected Monthly	1.33%	1.33%
Expected Yearly	11.67%	11.64%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.03%
Expected Shortfall (cVaR)	-0.03%	-0.03%
Max Consecutive Wins	213	108
Max Consecutive Losses	1	0
Gain/Pain Ratio	56.11	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	57.11	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	4.74
Outlier Win Ratio	2.86	2.99
Outlier Loss Ratio	0.08	-
MTD	0.19%	0.11%
3M	3.59%	3.51%
6M	7.33%	7.46%
YTD	7.33%	7.46%
1Y	16.81%	16.62%
3Y (ann.)	18.79%	18.74%
5Y (ann.)	18.79%	18.74%
10Y (ann.)	18.79%	18.74%
All-time (ann.)	18.79%	18.74%
Best Day	0.5%	0.69%
Worst Day	-0.47%	0.0%
Best Month	1.8%	1.88%
Worst Month	0.0%	0.0%
Best Year	20.2%	20.26%
Worst Year	7.33%	7.46%
Avg. Drawdown	-0.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	83.32	-
Ulcer Index	0.0	0.0
Serenity Index	768.0	-
Avg. Up Month	1.39%	1.39%
Avg. Down Month	-	-
Win Days	97.67%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.09	-
Alpha	0.16	-
Correlation	8.95%	-
Treynor Ratio	349.0%	-