SPAY[Strategy] vs INav[Benchmark]

17 Jul, 2025 - 3 Sep, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	0.75%	0.94%
CAGR﹪	5.81%	7.36%
Sharpe	-0.41	-0.0
Prob. Sharpe Ratio	55.95%	62.34%
Smart Sharpe	-0.4	-0.0
Sortino	-0.43	-0.0
Smart Sortino	-0.41	-0.0
Sortino/√2	-0.31	-0.0
Smart Sortino/√2	-0.29	-0.0
Omega	0.85	0.85
Max Drawdown	-1.15%	-1.01%
Longest DD Days	5	5
Volatility (ann.)	3.3%	2.94%
R^2	0.89	0.89
Information Ratio	-0.08	-0.08
Calmar	5.04	7.31
Skew	-5.58	-5.39
Kurtosis	32.32	30.95
Expected Daily	0.02%	0.03%
Expected Monthly	0.25%	0.31%
Expected Yearly	0.75%	0.94%
Kelly Criterion	-18.7%	-7.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.32%	-0.28%
Expected Shortfall (cVaR)	-0.32%	-0.28%
Max Consecutive Wins	26	26
Max Consecutive Losses	1	1
Gain/Pain Ratio	0.65	0.93
Gain/Pain (1M)	33.4	-
Payoff Ratio	0.05	0.06
Profit Factor	1.65	1.93
Common Sense Ratio	77.23	152.5
CPC Index	0.08	0.11
Tail Ratio	46.94	79.12
Outlier Win Ratio	2.53	2.48
Outlier Loss Ratio	1.23	1.41
MTD	0.15%	0.22%
3M	0.75%	0.94%
6M	0.75%	0.94%
YTD	0.75%	0.94%
1Y	0.75%	0.94%
3Y (ann.)	5.81%	7.36%
5Y (ann.)	5.81%	7.36%
10Y (ann.)	5.81%	7.36%
All-time (ann.)	5.81%	7.36%
Best Day	0.15%	0.15%
Worst Day	-1.15%	-1.01%
Best Month	0.63%	0.51%
Worst Month	-0.03%	0.21%
Best Year	0.75%	0.94%
Worst Year	0.75%	0.94%
Avg. Drawdown	-0.58%	-0.51%
Avg. Drawdown Days	3	3
Recovery Factor	0.65	0.93
Ulcer Index	0.0	0.0
Serenity Index	-5.13	-6.54
Avg. Up Month	0.39%	0.37%
Avg. Down Month	-	-
Win Days	94.12%	94.12%
Win Month	66.67%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.06	-
Alpha	-0.02	-
Correlation	94.6%	-
Treynor Ratio	-5.88%	-