SCLI[Strategy] vs INav[Benchmark]

31 Jul, 2024 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	98.0%
Cumulative Return	22.6%	22.62%
CAGR﹪	20.89%	20.91%
Sharpe	14.74	12.2
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	11.95	9.89
Sortino	112.72	163.66
Smart Sortino	91.38	132.69
Sortino/√2	79.7	115.73
Smart Sortino/√2	64.62	93.82
Omega	22.94	22.94
Max Drawdown	-0.02%	-
Longest DD Days	-	-
Volatility (ann.)	0.81%	0.98%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	1066.62	-
Skew	0.89	4.53
Kurtosis	-0.02	37.13
Expected Daily	0.07%	0.07%
Expected Monthly	1.47%	1.47%
Expected Yearly	10.72%	10.74%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.01%	-0.03%
Expected Shortfall (cVaR)	-0.01%	-0.03%
Max Consecutive Wins	213	108
Max Consecutive Losses	1	0
Gain/Pain Ratio	734.4	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	735.4	-
Common Sense Ratio	14826.18	-
CPC Index	-	-
Tail Ratio	20.16	4.17
Outlier Win Ratio	3.16	3.18
Outlier Loss Ratio	-0.0	-
MTD	1.31%	1.28%
3M	4.86%	4.94%
6M	10.29%	10.21%
YTD	13.58%	13.88%
1Y	21.17%	21.32%
3Y (ann.)	20.89%	20.91%
5Y (ann.)	20.89%	20.91%
10Y (ann.)	20.89%	20.91%
All-time (ann.)	20.89%	20.91%
Best Day	0.22%	0.69%
Worst Day	-0.02%	0.0%
Best Month	1.8%	1.88%
Worst Month	0.0%	0.0%
Best Year	13.58%	13.88%
Worst Year	7.94%	7.68%
Avg. Drawdown	-0.01%	-
Avg. Drawdown Days	-	-
Recovery Factor	1153.85	-
Ulcer Index	0.0	0.0
Serenity Index	281116.04	-
Avg. Up Month	1.58%	1.58%
Avg. Down Month	-	-
Win Days	99.26%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.06	-
Alpha	0.2	-
Correlation	-6.76%	-
Treynor Ratio	-279.39%	-