TFNX[Strategy] vs INav[Benchmark]

25 Nov, 2021 - 2 Nov, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	97.0%
Cumulative Return	-43.37%	-42.25%
CAGR﹪	-25.44%	-24.68%
Sharpe	-0.62	-1.04
Prob. Sharpe Ratio	1.66%	0.64%
Smart Sharpe	-0.61	-1.02
Sortino	-0.72	-1.32
Smart Sortino	-0.71	-1.29
Sortino/√2	-0.51	-0.93
Smart Sortino/√2	-0.5	-0.91
Omega	0.87	0.87
Max Drawdown	-61.47%	-48.3%
Longest DD Days	706	706
Volatility (ann.)	49.17%	35.39%
R^2	0.44	0.44
Information Ratio	0.01	0.01
Calmar	-0.41	-0.51
Skew	-5.83	-1.43
Kurtosis	72.1	11.47
Expected Daily	-0.15%	-0.15%
Expected Monthly	-2.67%	-2.58%
Expected Yearly	-17.27%	-16.72%
Kelly Criterion	-7.35%	-6.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.19%	-3.79%
Expected Shortfall (cVaR)	-5.19%	-3.79%
Max Consecutive Wins	11	9
Max Consecutive Losses	9	8
Gain/Pain Ratio	-0.1	-0.14
Gain/Pain (1M)	-0.27	-0.47
Payoff Ratio	0.85	0.9
Profit Factor	0.9	0.86
Common Sense Ratio	0.89	0.79
CPC Index	0.39	0.38
Tail Ratio	0.99	0.93
Outlier Win Ratio	3.32	3.88
Outlier Loss Ratio	3.04	3.42
MTD	-13.79%	6.67%
3M	-30.68%	-13.24%
6M	0.2%	2.84%
YTD	12.23%	9.68%
1Y	21.14%	1.49%
3Y (ann.)	-25.44%	-24.68%
5Y (ann.)	-25.44%	-24.68%
10Y (ann.)	-25.44%	-24.68%
All-time (ann.)	-25.44%	-24.68%
Best Day	9.64%	7.53%
Worst Day	-39.7%	-17.91%
Best Month	29.6%	11.9%
Worst Month	-39.7%	-17.91%
Best Year	12.23%	9.68%
Worst Year	-46.24%	-44.02%
Avg. Drawdown	-61.47%	-48.3%
Avg. Drawdown Days	706	706
Recovery Factor	-0.71	-0.87
Ulcer Index	0.41	0.38
Serenity Index	-0.06	-0.05
Avg. Up Month	15.55%	8.91%
Avg. Down Month	-10.67%	-7.67%
Win Days	50.68%	49.86%
Win Month	42.86%	28.57%
Win Quarter	55.56%	33.33%
Win Year	33.33%	33.33%
Beta	0.92	-
Alpha	0.04	-
Correlation	66.22%	-
Treynor Ratio	-54.75%	-