TEUR[Strategy] vs INav[Benchmark]

31 Oct, 2024 - 21 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	67.0%	100.0%
Cumulative Return	37.28%	36.83%
CAGR﹪	17.42%	17.23%
Sharpe	2.48	5.26
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	1.77	3.76
Sortino	4.05	10.69
Smart Sortino	2.89	7.63
Sortino/√2	2.86	7.56
Smart Sortino/√2	2.04	5.39
Omega	1.54	1.54
Max Drawdown	-1.54%	-0.71%
Longest DD Days	22	20
Volatility (ann.)	3.74%	1.72%
R^2	0.13	0.13
Information Ratio	0.0	0.0
Calmar	11.29	24.25
Skew	0.14	1.7
Kurtosis	3.92	17.41
Expected Daily	0.06%	0.06%
Expected Monthly	1.28%	1.26%
Expected Yearly	11.14%	11.02%
Kelly Criterion	29.51%	68.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.32%	-0.12%
Expected Shortfall (cVaR)	-0.32%	-0.12%
Max Consecutive Wins	5	37
Max Consecutive Losses	2	4
Gain/Pain Ratio	1.2	5.89
Gain/Pain (1M)	-	-
Payoff Ratio	0.9	1.06
Profit Factor	2.2	6.89
Common Sense Ratio	3.0	19.77
CPC Index	1.32	6.14
Tail Ratio	1.37	2.87
Outlier Win Ratio	3.99	6.83
Outlier Loss Ratio	1.54	5.6
MTD	0.58%	0.71%
3M	3.26%	3.23%
6M	6.1%	6.58%
YTD	11.72%	11.96%
1Y	15.04%	15.36%
3Y (ann.)	17.42%	17.23%
5Y (ann.)	17.42%	17.23%
10Y (ann.)	17.42%	17.23%
All-time (ann.)	17.42%	17.23%
Best Day	1.39%	0.85%
Worst Day	-1.2%	-0.55%
Best Month	3.7%	3.69%
Worst Month	0.0%	0.0%
Best Year	17.11%	16.67%
Worst Year	4.93%	4.75%
Avg. Drawdown	-0.26%	-0.08%
Avg. Drawdown Days	4	3
Recovery Factor	24.15	51.84
Ulcer Index	0.0	0.0
Serenity Index	73.52	178.89
Avg. Up Month	1.33%	1.32%
Avg. Down Month	-	-
Win Days	66.67%	83.7%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.77	-
Alpha	0.04	-
Correlation	35.36%	-
Treynor Ratio	39.39%	-