TOFZ[Strategy] vs INav[Benchmark]

24 Dec, 2024 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	21.51%	21.94%
CAGR﹪	27.06%	27.6%
Sharpe	1.42	2.1
Prob. Sharpe Ratio	77.9%	95.9%
Smart Sharpe	1.2	1.78
Sortino	2.17	3.65
Smart Sortino	1.84	3.1
Sortino/√2	1.53	2.58
Smart Sortino/√2	1.3	2.19
Omega	1.26	1.26
Max Drawdown	-7.57%	-6.33%
Longest DD Days	92	75
Volatility (ann.)	12.43%	8.39%
R^2	0.2	0.2
Information Ratio	-0.0	-0.0
Calmar	3.57	4.36
Skew	-0.05	0.85
Kurtosis	0.92	4.73
Expected Daily	0.09%	0.1%
Expected Monthly	1.79%	1.82%
Expected Yearly	10.23%	10.43%
Kelly Criterion	7.43%	19.87%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.19%	-0.77%
Expected Shortfall (cVaR)	-1.19%	-0.77%
Max Consecutive Wins	6	10
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.38	0.7
Gain/Pain (1M)	4.07	4.9
Payoff Ratio	0.96	1.19
Profit Factor	1.38	1.7
Common Sense Ratio	1.89	2.41
CPC Index	0.72	1.14
Tail Ratio	1.37	1.41
Outlier Win Ratio	2.82	4.21
Outlier Loss Ratio	2.62	4.83
MTD	2.57%	1.91%
3M	1.15%	2.46%
6M	12.19%	13.8%
YTD	20.07%	20.92%
1Y	21.51%	21.94%
3Y (ann.)	27.06%	27.6%
5Y (ann.)	27.06%	27.6%
10Y (ann.)	27.06%	27.6%
All-time (ann.)	27.06%	27.6%
Best Day	2.64%	2.93%
Worst Day	-2.54%	-1.78%
Best Month	6.65%	5.84%
Worst Month	-2.95%	-2.45%
Best Year	20.07%	20.92%
Worst Year	1.2%	0.85%
Avg. Drawdown	-1.45%	-1.14%
Avg. Drawdown Days	13	13
Recovery Factor	2.84	3.47
Ulcer Index	0.03	0.02
Serenity Index	0.63	0.74
Avg. Up Month	3.13%	3.06%
Avg. Down Month	-1.67%	-1.38%
Win Days	54.77%	56.52%
Win Month	72.73%	72.73%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.66	-
Alpha	0.08	-
Correlation	44.59%	-
Treynor Ratio	21.97%	-