TDIV[Strategy] vs INav[Benchmark]

5 Dec, 2023 - 15 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	94.0%	100.0%
Cumulative Return	20.37%	20.54%
CAGR﹪	51.85%	52.34%
Sharpe	-13.81	-16.19
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-12.64	-14.81
Sortino	-10.85	-11.6
Smart Sortino	-9.93	-10.61
Sortino/√2	-7.67	-8.2
Smart Sortino/√2	-7.02	-7.5
Omega	0.09	0.09
Max Drawdown	-5.12%	-4.2%
Longest DD Days	24	21
Volatility (ann.)	12.04%	10.27%
R^2	0.76	0.76
Information Ratio	-0.0	-0.0
Calmar	10.13	12.46
Skew	-0.4	-0.6
Kurtosis	2.96	3.26
Expected Daily	0.17%	0.17%
Expected Monthly	3.14%	3.16%
Expected Yearly	9.71%	9.79%
Kelly Criterion	30.39%	28.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-0.89%
Expected Shortfall (cVaR)	-1.08%	-0.89%
Max Consecutive Wins	8	9
Max Consecutive Losses	3	3
Gain/Pain Ratio	0.89	1.05
Gain/Pain (1M)	-	-
Payoff Ratio	0.92	1.02
Profit Factor	1.89	2.05
Common Sense Ratio	1.98	2.98
CPC Index	1.16	1.34
Tail Ratio	1.05	1.45
Outlier Win Ratio	4.07	4.13
Outlier Loss Ratio	3.34	4.49
MTD	2.8%	2.11%
3M	9.19%	8.86%
6M	20.37%	20.54%
YTD	17.37%	16.98%
1Y	20.37%	20.54%
3Y (ann.)	51.85%	52.34%
5Y (ann.)	51.85%	52.34%
10Y (ann.)	51.85%	52.34%
All-time (ann.)	51.85%	52.34%
Best Day	2.48%	1.97%
Worst Day	-2.4%	-2.49%
Best Month	7.29%	6.72%
Worst Month	0.19%	0.94%
Best Year	17.37%	16.98%
Worst Year	2.56%	3.04%
Avg. Drawdown	-1.05%	-0.9%
Avg. Drawdown Days	7	6
Recovery Factor	3.98	4.89
Ulcer Index	0.01	0.01
Serenity Index	-182.4	-200.15
Avg. Up Month	3.16%	3.18%
Avg. Down Month	-	-
Win Days	66.67%	63.96%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.02	-
Alpha	-0.01	-
Correlation	87.14%	-
Treynor Ratio	-664.92%	-