TOFZ[Strategy] vs INav[Benchmark]

24 Dec, 2024 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	100.0%
Cumulative Return	29.36%	29.51%
CAGR﹪	14.94%	15.01%
Sharpe	0.72	1.04
Prob. Sharpe Ratio	63.54%	89.34%
Smart Sharpe	0.61	0.87
Sortino	1.1	1.66
Smart Sortino	0.92	1.4
Sortino/√2	0.78	1.17
Smart Sortino/√2	0.65	0.99
Omega	1.13	1.13
Max Drawdown	-7.74%	-6.82%
Longest DD Days	136	144
Volatility (ann.)	10.55%	7.11%
R^2	0.27	0.27
Information Ratio	0.0	0.0
Calmar	1.93	2.2
Skew	0.14	0.75
Kurtosis	1.61	5.17
Expected Daily	0.05%	0.06%
Expected Monthly	1.13%	1.13%
Expected Yearly	8.96%	9.0%
Kelly Criterion	6.08%	18.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-0.68%
Expected Shortfall (cVaR)	-1.04%	-0.68%
Max Consecutive Wins	6	10
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.26	0.45
Gain/Pain (1M)	2.17	2.43
Payoff Ratio	1.21	1.24
Profit Factor	1.26	1.45
Common Sense Ratio	1.55	1.66
CPC Index	0.74	0.99
Tail Ratio	1.23	1.15
Outlier Win Ratio	2.84	4.59
Outlier Loss Ratio	2.91	4.65
MTD	2.26%	1.92%
3M	0.29%	-0.68%
6M	-1.41%	-1.55%
YTD	3.24%	3.48%
1Y	7.6%	6.98%
3Y (ann.)	14.94%	15.01%
5Y (ann.)	14.94%	15.01%
10Y (ann.)	14.94%	15.01%
All-time (ann.)	14.94%	15.01%
Best Day	2.64%	2.93%
Worst Day	-2.54%	-1.55%
Best Month	6.65%	5.84%
Worst Month	-4.42%	-4.22%
Best Year	23.81%	24.1%
Worst Year	1.2%	0.85%
Avg. Drawdown	-1.36%	-1.03%
Avg. Drawdown Days	19	19
Recovery Factor	3.8	4.32
Ulcer Index	0.03	0.02
Serenity Index	1.01	0.95
Avg. Up Month	2.6%	2.46%
Avg. Down Month	-1.98%	-1.8%
Win Days	48.64%	54.94%
Win Month	65.22%	73.91%
Win Quarter	88.89%	88.89%
Win Year	100.0%	100.0%
Beta	0.77	-
Alpha	0.04	-
Correlation	51.7%	-
Treynor Ratio	29.16%	-