TRAI[Strategy] vs INav[Benchmark]

23 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	95.0%
Cumulative Return	-37.77%	-31.33%
CAGR﹪	-21.66%	-17.6%
Sharpe	-0.53	-0.94
Prob. Sharpe Ratio	2.32%	1.08%
Smart Sharpe	-0.52	-0.93
Sortino	-0.62	-1.22
Smart Sortino	-0.61	-1.2
Sortino/√2	-0.44	-0.86
Smart Sortino/√2	-0.43	-0.85
Omega	0.89	0.89
Max Drawdown	-54.06%	-41.47%
Longest DD Days	708	708
Volatility (ann.)	46.56%	28.33%
R^2	0.21	0.21
Information Ratio	0.0	0.0
Calmar	-0.4	-0.42
Skew	-5.0	-0.6
Kurtosis	51.76	3.52
Expected Daily	-0.12%	-0.09%
Expected Monthly	-2.13%	-1.69%
Expected Yearly	-14.62%	-11.78%
Kelly Criterion	-4.0%	-6.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.89%	-3.01%
Expected Shortfall (cVaR)	-4.89%	-3.01%
Max Consecutive Wins	5	6
Max Consecutive Losses	6	7
Gain/Pain Ratio	-0.08	-0.12
Gain/Pain (1M)	-0.21	-0.4
Payoff Ratio	0.96	0.88
Profit Factor	0.92	0.88
Common Sense Ratio	1.06	0.9
CPC Index	0.43	0.39
Tail Ratio	1.16	1.02
Outlier Win Ratio	2.9	4.06
Outlier Loss Ratio	2.7	3.32
MTD	-22.81%	4.4%
3M	-36.08%	-12.98%
6M	-13.29%	1.37%
YTD	3.69%	10.12%
1Y	20.32%	9.21%
3Y (ann.)	-21.66%	-17.6%
5Y (ann.)	-21.66%	-17.6%
10Y (ann.)	-21.66%	-17.6%
All-time (ann.)	-21.66%	-17.6%
Best Day	8.89%	6.03%
Worst Day	-32.96%	-10.3%
Best Month	31.55%	11.77%
Worst Month	-34.08%	-13.51%
Best Year	3.69%	10.12%
Worst Year	-39.28%	-36.86%
Avg. Drawdown	-54.06%	-41.47%
Avg. Drawdown Days	708	708
Recovery Factor	-0.7	-0.76
Ulcer Index	0.32	0.28
Serenity Index	-0.07	-0.06
Avg. Up Month	9.73%	5.17%
Avg. Down Month	-13.28%	-7.89%
Win Days	49.09%	50.13%
Win Month	59.09%	40.91%
Win Quarter	55.56%	33.33%
Win Year	33.33%	33.33%
Beta	0.76	-
Alpha	-0.03	-
Correlation	46.26%	-
Treynor Ratio	-58.89%	-