TMON[Strategy] vs INav[Benchmark]

24 Jul, 2023 - 21 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	44.62%	44.74%
CAGR﹪	17.85%	17.89%
Sharpe	5.72	14.45
Prob. Sharpe Ratio	100.0%	-
Smart Sharpe	3.69	9.34
Sortino	11.09	208.23
Smart Sortino	7.17	134.57
Sortino/√2	7.84	147.24
Smart Sortino/√2	5.07	95.16
Omega	2.65	2.65
Max Drawdown	-0.28%	-
Longest DD Days	-	-
Volatility (ann.)	1.65%	0.65%
R^2	0.01	0.01
Information Ratio	-0.0	-0.0
Calmar	63.71	-
Skew	0.06	1.57
Kurtosis	0.6	1.5
Expected Daily	0.06%	0.06%
Expected Monthly	1.33%	1.33%
Expected Yearly	13.09%	13.12%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.11%	-0.0%
Expected Shortfall (cVaR)	-0.11%	-0.0%
Max Consecutive Wins	25	257
Max Consecutive Losses	2	0
Gain/Pain Ratio	4.25	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.25	-
Common Sense Ratio	12.31	-
CPC Index	-	-
Tail Ratio	2.35	5.42
Outlier Win Ratio	2.45	3.84
Outlier Loss Ratio	1.28	-
MTD	0.73%	0.88%
3M	3.86%	4.31%
6M	9.11%	9.41%
YTD	15.76%	16.13%
1Y	20.55%	20.72%
3Y (ann.)	17.85%	17.89%
5Y (ann.)	17.85%	17.89%
10Y (ann.)	17.85%	17.89%
All-time (ann.)	17.85%	17.89%
Best Day	0.38%	0.22%
Worst Day	-0.28%	0.0%
Best Month	1.85%	1.78%
Worst Month	0.05%	0.17%
Best Year	18.23%	18.14%
Worst Year	5.67%	5.5%
Avg. Drawdown	-0.08%	-
Avg. Drawdown Days	-	-
Recovery Factor	159.29	-
Ulcer Index	0.0	0.0
Serenity Index	880.39	-
Avg. Up Month	1.33%	1.33%
Avg. Down Month	-	-
Win Days	77.84%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.27	-
Alpha	0.21	-
Correlation	-10.65%	-
Treynor Ratio	-140.12%	-