TBEU[Strategy] vs INav[Benchmark]

28 Aug, 2024 - 13 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	83.0%	100.0%
Cumulative Return	36.9%	35.93%
CAGR﹪	15.92%	15.53%
Sharpe	1.43	3.66
Prob. Sharpe Ratio	98.92%	100.0%
Smart Sharpe	0.91	2.33
Sortino	2.29	6.42
Smart Sortino	1.45	4.07
Sortino/√2	1.62	4.54
Smart Sortino/√2	1.03	2.88
Omega	1.29	1.29
Max Drawdown	-1.83%	-1.03%
Longest DD Days	29	23
Volatility (ann.)	5.62%	2.07%
R^2	0.16	0.16
Information Ratio	0.01	0.01
Calmar	8.7	15.03
Skew	0.55	0.74
Kurtosis	6.41	8.71
Expected Daily	0.06%	0.06%
Expected Monthly	1.17%	1.14%
Expected Yearly	11.04%	10.77%
Kelly Criterion	18.39%	55.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.52%	-0.16%
Expected Shortfall (cVaR)	-0.52%	-0.16%
Max Consecutive Wins	4	29
Max Consecutive Losses	3	4
Gain/Pain Ratio	0.6	2.72
Gain/Pain (1M)	-	-
Payoff Ratio	1.07	1.21
Profit Factor	1.6	3.72
Common Sense Ratio	2.22	6.56
CPC Index	0.99	3.4
Tail Ratio	1.38	1.77
Outlier Win Ratio	2.89	6.75
Outlier Loss Ratio	1.72	5.61
MTD	0.52%	0.39%
3M	3.6%	3.39%
6M	5.99%	6.44%
YTD	11.0%	11.19%
1Y	14.31%	14.71%
3Y (ann.)	15.92%	15.53%
5Y (ann.)	15.92%	15.53%
10Y (ann.)	15.92%	15.53%
All-time (ann.)	15.92%	15.53%
Best Day	2.61%	0.85%
Worst Day	-1.69%	-0.62%
Best Month	4.07%	3.43%
Worst Month	0.12%	0.13%
Best Year	15.88%	15.49%
Worst Year	6.43%	5.85%
Avg. Drawdown	-0.42%	-0.13%
Avg. Drawdown Days	4	4
Recovery Factor	20.17	34.77
Ulcer Index	0.0	0.0
Serenity Index	39.86	91.42
Avg. Up Month	1.17%	1.15%
Avg. Down Month	-	-
Win Days	57.85%	75.51%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.09	-
Alpha	-0.01	-
Correlation	40.3%	-
Treynor Ratio	27.34%	-