TCBR[Strategy] vs INav[Benchmark]

10 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	95.0%
Cumulative Return	-16.84%	-19.29%
CAGR﹪	-8.9%	-10.27%
Sharpe	-0.14	-0.61
Prob. Sharpe Ratio	8.02%	3.04%
Smart Sharpe	-0.13	-0.55
Sortino	-0.18	-0.82
Smart Sortino	-0.16	-0.74
Sortino/√2	-0.12	-0.58
Smart Sortino/√2	-0.11	-0.52
Omega	0.97	0.97
Max Drawdown	-48.59%	-34.26%
Longest DD Days	608	721
Volatility (ann.)	46.12%	26.87%
R^2	0.28	0.28
Information Ratio	0.02	0.02
Calmar	-0.18	-0.3
Skew	-3.73	-0.45
Kurtosis	43.4	3.12
Expected Daily	-0.05%	-0.05%
Expected Monthly	-0.83%	-0.97%
Expected Yearly	-5.96%	-6.89%
Kelly Criterion	-1.2%	-4.92%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.78%	-2.82%
Expected Shortfall (cVaR)	-4.78%	-2.82%
Max Consecutive Wins	8	7
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.0	-0.06
Gain/Pain (1M)	0.0	-0.28
Payoff Ratio	0.91	0.93
Profit Factor	1.0	0.94
Common Sense Ratio	1.08	0.99
CPC Index	0.47	0.43
Tail Ratio	1.08	1.06
Outlier Win Ratio	2.89	4.02
Outlier Loss Ratio	2.73	3.67
MTD	-18.52%	1.33%
3M	-20.72%	-2.66%
6M	6.3%	17.79%
YTD	20.55%	17.95%
1Y	31.62%	9.65%
3Y (ann.)	-8.9%	-10.27%
5Y (ann.)	-8.9%	-10.27%
10Y (ann.)	-8.9%	-10.27%
All-time (ann.)	-8.9%	-10.27%
Best Day	13.17%	6.15%
Worst Day	-32.26%	-9.13%
Best Month	22.05%	12.32%
Worst Month	-34.26%	-11.02%
Best Year	20.55%	17.95%
Worst Year	-30.92%	-27.91%
Avg. Drawdown	-12.56%	-34.26%
Avg. Drawdown Days	87	721
Recovery Factor	-0.35	-0.56
Ulcer Index	0.27	0.24
Serenity Index	-0.05	-0.05
Avg. Up Month	8.73%	3.75%
Avg. Down Month	-10.75%	-6.02%
Win Days	51.88%	49.48%
Win Month	59.09%	50.0%
Win Quarter	66.67%	33.33%
Win Year	33.33%	33.33%
Beta	0.9	-
Alpha	0.09	-
Correlation	52.69%	-
Treynor Ratio	-26.35%	-