TMON[Strategy] vs INav[Benchmark]

24 Jul, 2023 - 26 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	59.11%	59.21%
CAGR﹪	17.2%	17.23%
Sharpe	5.99	13.99
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	3.87	9.05
Sortino	11.81	225.5
Smart Sortino	7.64	145.87
Sortino/√2	8.35	159.45
Smart Sortino/√2	5.4	103.15
Omega	2.89	2.89
Max Drawdown	-0.28%	-
Longest DD Days	-	-
Volatility (ann.)	1.5%	0.64%
R^2	0.01	0.01
Information Ratio	-0.0	-0.0
Calmar	61.41	-
Skew	0.12	1.66
Kurtosis	1.16	1.98
Expected Daily	0.06%	0.06%
Expected Monthly	1.3%	1.3%
Expected Yearly	12.31%	12.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.09%	-0.0%
Expected Shortfall (cVaR)	-0.09%	-0.0%
Max Consecutive Wins	35	414
Max Consecutive Losses	2	0
Gain/Pain Ratio	5.16	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	6.16	-
Common Sense Ratio	15.57	-
CPC Index	-	-
Tail Ratio	2.53	5.3
Outlier Win Ratio	2.66	3.86
Outlier Loss Ratio	1.18	-
MTD	0.97%	0.99%
3M	3.42%	3.39%
6M	7.13%	7.11%
YTD	6.68%	6.9%
1Y	15.81%	16.08%
3Y (ann.)	17.25%	17.25%
5Y (ann.)	17.2%	17.23%
10Y (ann.)	17.2%	17.23%
All-time (ann.)	17.2%	17.23%
Best Day	0.38%	0.25%
Worst Day	-0.28%	0.0%
Best Month	1.85%	1.78%
Worst Month	0.05%	0.17%
Best Year	19.38%	19.5%
Worst Year	5.67%	5.5%
Avg. Drawdown	-0.07%	-
Avg. Drawdown Days	-	-
Recovery Factor	211.02	-
Ulcer Index	0.0	0.0
Serenity Index	1413.53	-
Avg. Up Month	1.3%	1.3%
Avg. Down Month	-	-
Win Days	81.48%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.22	-
Alpha	0.19	-
Correlation	-9.37%	-
Treynor Ratio	-238.45%	-