SCLI[Strategy] vs INav[Benchmark]

31 Jul, 2024 - 21 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	98.0%
Cumulative Return	41.82%	41.72%
CAGR﹪	18.51%	18.47%
Sharpe	10.8	11.19
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.47	8.78
Sortino	26.98	143.77
Smart Sortino	21.16	112.77
Sortino/√2	19.08	101.66
Smart Sortino/√2	14.96	79.74
Omega	10.85	10.85
Max Drawdown	-0.47%	-
Longest DD Days	-	-
Volatility (ann.)	0.93%	0.9%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	39.28	-
Skew	-0.03	4.7
Kurtosis	18.55	39.78
Expected Daily	0.07%	0.07%
Expected Monthly	1.35%	1.35%
Expected Yearly	12.35%	12.33%
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	57.14	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	58.14	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	-	4.73
Outlier Win Ratio	2.8	2.93
Outlier Loss Ratio	0.09	-
MTD	0.77%	0.77%
3M	3.63%	3.52%
6M	7.11%	7.12%
YTD	9.31%	9.45%
1Y	16.1%	15.95%
3Y (ann.)	18.51%	18.47%
5Y (ann.)	18.51%	18.47%
10Y (ann.)	18.51%	18.47%
All-time (ann.)	18.51%	18.47%
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	7.94%	7.68%
Avg. Drawdown	-0.04%	-
Avg. Drawdown Days	-	-
Recovery Factor	88.76	-
Ulcer Index	0.0	0.0
Serenity Index	876.52	-
Avg. Up Month	1.41%	1.4%
Avg. Down Month	-	-
Win Days	97.23%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.09	-
Alpha	0.15	-
Correlation	8.86%	-
Treynor Ratio	378.27%	-