TRAI[Strategy] vs INav[Benchmark]

27 Apr, 2023 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	99.0%
Cumulative Return	-15.81%	17.63%
CAGR﹪	-28.28%	36.83%
Sharpe	-0.67	1.07
Prob. Sharpe Ratio	9.88%	56.52%
Smart Sharpe	-0.63	1.02
Sortino	-0.74	1.62
Smart Sortino	-0.71	1.54
Sortino/√2	-0.53	1.15
Smart Sortino/√2	-0.5	1.09
Omega	0.85	0.85
Max Drawdown	-36.89%	-18.65%
Longest DD Days	57	57
Volatility (ann.)	43.31%	25.43%
R^2	0.1	0.1
Information Ratio	-0.08	-0.08
Calmar	-0.77	1.97
Skew	-5.72	0.18
Kurtosis	51.35	0.73
Expected Daily	-0.13%	0.12%
Expected Monthly	-2.13%	2.05%
Expected Yearly	-15.81%	17.63%
Kelly Criterion	5.98%	8.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.58%	-2.5%
Expected Shortfall (cVaR)	-4.58%	-2.5%
Max Consecutive Wins	5	8
Max Consecutive Losses	5	7
Gain/Pain Ratio	-0.11	0.25
Gain/Pain (1M)	-0.27	1.06
Payoff Ratio	1.01	0.94
Profit Factor	0.89	1.25
Common Sense Ratio	0.89	1.26
CPC Index	0.47	0.66
Tail Ratio	1.0	1.01
Outlier Win Ratio	3.04	3.15
Outlier Loss Ratio	2.05	2.91
MTD	-22.81%	4.16%
3M	-36.08%	-12.19%
6M	-13.29%	17.47%
YTD	-15.81%	17.63%
1Y	-15.81%	17.63%
3Y (ann.)	-28.28%	36.83%
5Y (ann.)	-28.28%	36.83%
10Y (ann.)	-28.28%	36.83%
All-time (ann.)	-28.28%	36.83%
Best Day	3.94%	5.65%
Worst Day	-24.87%	-4.17%
Best Month	16.53%	17.79%
Worst Month	-22.81%	-12.7%
Best Year	-15.81%	17.63%
Worst Year	-15.81%	17.63%
Avg. Drawdown	-4.69%	-3.01%
Avg. Drawdown Days	9	8
Recovery Factor	-0.43	0.95
Ulcer Index	0.07	0.06
Serenity Index	-0.75	0.25
Avg. Up Month	7.96%	7.83%
Avg. Down Month	-8.68%	-8.25%
Win Days	52.8%	55.73%
Win Month	50.0%	75.0%
Win Quarter	66.67%	66.67%
Win Year	0.0%	100.0%
Beta	0.54	-
Alpha	-0.41	-
Correlation	31.84%	-
Treynor Ratio	-42.07%	-