SIPO[Strategy] vs INav[Benchmark]

31 Jul, 2024 - 11 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	-23.05%	-22.59%
CAGR﹪	-15.7%	-15.37%
Sharpe	-0.92	-0.95
Prob. Sharpe Ratio	1.69%	1.53%
Smart Sharpe	-0.83	-0.87
Sortino	-1.3	-1.31
Smart Sortino	-1.18	-1.19
Sortino/√2	-0.92	-0.93
Smart Sortino/√2	-0.83	-0.84
Omega	0.85	0.85
Max Drawdown	-31.79%	-31.56%
Longest DD Days	558	558
Volatility (ann.)	23.05%	21.97%
R^2	0.86	0.86
Information Ratio	-0.0	-0.0
Calmar	-0.49	-0.49
Skew	0.63	0.38
Kurtosis	3.98	3.85
Expected Daily	-0.07%	-0.07%
Expected Monthly	-1.3%	-1.27%
Expected Yearly	-8.36%	-8.18%
Kelly Criterion	-5.86%	-4.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-2.33%
Expected Shortfall (cVaR)	-2.45%	-2.33%
Max Consecutive Wins	7	8
Max Consecutive Losses	8	8
Gain/Pain Ratio	-0.1	-0.11
Gain/Pain (1M)	-0.35	-0.34
Payoff Ratio	1.01	0.97
Profit Factor	0.9	0.89
Common Sense Ratio	0.79	0.74
CPC Index	0.43	0.42
Tail Ratio	0.88	0.82
Outlier Win Ratio	3.75	4.05
Outlier Loss Ratio	3.49	3.57
MTD	0.04%	1.13%
3M	7.54%	7.7%
6M	-7.1%	-7.38%
YTD	6.51%	7.02%
1Y	-12.86%	-12.62%
3Y (ann.)	-15.7%	-15.37%
5Y (ann.)	-15.7%	-15.37%
10Y (ann.)	-15.7%	-15.37%
All-time (ann.)	-15.7%	-15.37%
Best Day	8.63%	8.21%
Worst Day	-5.04%	-4.9%
Best Month	13.45%	12.76%
Worst Month	-14.74%	-14.77%
Best Year	6.51%	7.02%
Worst Year	-16.15%	-16.28%
Avg. Drawdown	-31.79%	-31.56%
Avg. Drawdown Days	558	558
Recovery Factor	-0.72	-0.72
Ulcer Index	0.21	0.2
Serenity Index	-0.07	-0.06
Avg. Up Month	3.73%	3.78%
Avg. Down Month	-7.77%	-7.78%
Win Days	46.74%	48.71%
Win Month	57.89%	57.89%
Win Quarter	28.57%	28.57%
Win Year	33.33%	33.33%
Beta	0.97	-
Alpha	-0.01	-
Correlation	92.55%	-
Treynor Ratio	-30.94%	-