TBRU[Strategy] vs INav[Benchmark]

20 Jul, 2021 - 17 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	87.0%	95.0%
Cumulative Return	16.11%	16.95%
CAGR﹪	5.59%	5.87%
Sharpe	-14.32	-21.47
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-10.97	-16.45
Sortino	-11.5	-13.06
Smart Sortino	-8.81	-10.01
Sortino/√2	-8.13	-9.24
Smart Sortino/√2	-6.23	-7.08
Omega	0.04	0.04
Max Drawdown	-22.71%	-18.18%
Longest DD Days	358	328
Volatility (ann.)	14.12%	9.43%
R^2	0.83	0.83
Information Ratio	0.0	0.0
Calmar	0.25	0.32
Skew	-5.18	-9.11
Kurtosis	217.58	212.39
Expected Daily	0.02%	0.02%
Expected Monthly	0.44%	0.46%
Expected Yearly	3.8%	3.99%
Kelly Criterion	-3.43%	9.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.44%	-0.95%
Expected Shortfall (cVaR)	-1.44%	-0.95%
Max Consecutive Wins	10	14
Max Consecutive Losses	9	6
Gain/Pain Ratio	0.2	0.31
Gain/Pain (1M)	0.88	0.8
Payoff Ratio	0.69	0.59
Profit Factor	1.2	1.31
Common Sense Ratio	1.38	1.64
CPC Index	0.48	0.52
Tail Ratio	1.15	1.25
Outlier Win Ratio	5.0	7.94
Outlier Loss Ratio	2.82	3.93
MTD	-0.34%	0.48%
3M	1.4%	2.28%
6M	4.68%	5.16%
YTD	2.11%	3.19%
1Y	7.24%	8.02%
3Y (ann.)	5.59%	5.87%
5Y (ann.)	5.59%	5.87%
10Y (ann.)	5.59%	5.87%
All-time (ann.)	5.59%	5.87%
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	-1.0%	-0.66%
Avg. Drawdown Days	18	15
Recovery Factor	0.71	0.93
Ulcer Index	0.03	0.03
Serenity Index	-26.55	-20.62
Avg. Up Month	1.66%	1.6%
Avg. Down Month	-2.26%	-2.4%
Win Days	57.8%	66.4%
Win Month	67.65%	73.53%
Win Quarter	75.0%	83.33%
Win Year	75.0%	100.0%
Beta	1.36	-
Alpha	-0.02	-
Correlation	90.89%	-
Treynor Ratio	-502.52%	-