TBRU[Strategy] vs INav[Benchmark]

20 Jul, 2021 - 11 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	84.0%	96.0%
Cumulative Return	65.47%	65.9%
CAGR﹪	11.04%	11.1%
Sharpe	0.4	0.56
Prob. Sharpe Ratio	42.1%	67.95%
Smart Sharpe	0.31	0.44
Sortino	0.52	0.67
Smart Sortino	0.41	0.53
Sortino/√2	0.37	0.48
Smart Sortino/√2	0.29	0.38
Omega	1.14	1.14
Max Drawdown	-22.71%	-18.18%
Longest DD Days	358	328
Volatility (ann.)	11.35%	7.56%
R^2	0.76	0.76
Information Ratio	0.0	0.0
Calmar	0.49	0.61
Skew	-5.62	-9.97
Kurtosis	294.55	292.31
Expected Daily	0.04%	0.04%
Expected Monthly	0.86%	0.86%
Expected Yearly	8.76%	8.8%
Kelly Criterion	10.03%	21.95%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.13%	-0.74%
Expected Shortfall (cVaR)	-1.13%	-0.74%
Max Consecutive Wins	13	17
Max Consecutive Losses	9	7
Gain/Pain Ratio	0.38	0.64
Gain/Pain (1M)	2.16	1.91
Payoff Ratio	0.83	0.76
Profit Factor	1.38	1.64
Common Sense Ratio	1.76	2.14
CPC Index	0.68	0.83
Tail Ratio	1.28	1.3
Outlier Win Ratio	4.52	6.74
Outlier Loss Ratio	2.66	4.33
MTD	0.24%	0.46%
3M	6.29%	6.41%
6M	9.23%	9.41%
YTD	6.84%	6.92%
1Y	26.03%	25.99%
3Y (ann.)	14.8%	14.97%
5Y (ann.)	11.04%	11.1%
10Y (ann.)	11.04%	11.1%
All-time (ann.)	11.04%	11.1%
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	29.17%	29.09%
Worst Year	-0.44%	0.18%
Avg. Drawdown	-0.8%	-0.57%
Avg. Drawdown Days	13	13
Recovery Factor	2.88	3.62
Ulcer Index	0.03	0.03
Serenity Index	2.89	2.28
Avg. Up Month	1.84%	1.82%
Avg. Down Month	-1.96%	-2.05%
Win Days	59.08%	66.23%
Win Month	74.58%	76.27%
Win Quarter	85.0%	85.0%
Win Year	83.33%	100.0%
Beta	1.31	-
Alpha	-0.03	-
Correlation	87.19%	-
Treynor Ratio	44.65%	-