TBRU[Strategy] vs INav[Benchmark]

20 Jul, 2021 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	85.0%	96.0%
Cumulative Return	26.3%	27.56%
CAGR﹪	6.5%	6.78%
Sharpe	0.03	0.03
Prob. Sharpe Ratio	18.21%	33.94%
Smart Sharpe	0.03	0.02
Sortino	0.05	0.04
Smart Sortino	0.04	0.03
Sortino/√2	0.03	0.03
Smart Sortino/√2	0.03	0.02
Omega	1.01	1.01
Max Drawdown	-22.71%	-18.18%
Longest DD Days	358	328
Volatility (ann.)	12.54%	8.44%
R^2	0.79	0.79
Information Ratio	0.0	0.0
Calmar	0.29	0.37
Skew	-5.36	-9.21
Kurtosis	255.98	242.38
Expected Daily	0.03%	0.03%
Expected Monthly	0.51%	0.53%
Expected Yearly	4.78%	4.99%
Kelly Criterion	4.09%	13.32%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.27%	-0.85%
Expected Shortfall (cVaR)	-1.27%	-0.85%
Max Consecutive Wins	12	14
Max Consecutive Losses	9	7
Gain/Pain Ratio	0.22	0.35
Gain/Pain (1M)	1.04	0.94
Payoff Ratio	0.82	0.72
Profit Factor	1.22	1.35
Common Sense Ratio	1.5	1.57
CPC Index	0.57	0.62
Tail Ratio	1.23	1.16
Outlier Win Ratio	5.26	7.84
Outlier Loss Ratio	2.69	4.08
MTD	-0.78%	-0.11%
3M	4.81%	5.7%
6M	7.67%	8.07%
YTD	5.33%	6.12%
1Y	8.78%	9.36%
3Y (ann.)	11.17%	11.97%
5Y (ann.)	6.5%	6.78%
10Y (ann.)	6.5%	6.78%
All-time (ann.)	6.5%	6.78%
Best Day	12.33%	6.16%
Worst Day	-16.17%	-11.25%
Best Month	6.64%	7.02%
Worst Month	-10.09%	-10.15%
Best Year	7.6%	7.99%
Worst Year	-0.44%	0.18%
Avg. Drawdown	-1.02%	-0.7%
Avg. Drawdown Days	18	16
Recovery Factor	1.16	1.52
Ulcer Index	0.03	0.03
Serenity Index	0.82	0.68
Avg. Up Month	1.74%	1.73%
Avg. Down Month	-2.0%	-2.06%
Win Days	56.76%	63.58%
Win Month	67.39%	69.57%
Win Quarter	75.0%	75.0%
Win Year	80.0%	100.0%
Beta	1.32	-
Alpha	-0.02	-
Correlation	89.12%	-
Treynor Ratio	14.58%	-