TOFZ[Strategy] vs INav[Benchmark]

24 Dec, 2024 - 21 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	24.56%	24.9%
CAGR﹪	22.63%	22.94%
Sharpe	1.25	1.83
Prob. Sharpe Ratio	77.29%	96.07%
Smart Sharpe	1.04	1.53
Sortino	1.92	3.14
Smart Sortino	1.6	2.62
Sortino/√2	1.35	2.22
Smart Sortino/√2	1.13	1.85
Omega	1.23	1.23
Max Drawdown	-7.57%	-6.33%
Longest DD Days	92	87
Volatility (ann.)	11.5%	7.75%
R^2	0.2	0.2
Information Ratio	0.0	0.0
Calmar	2.99	3.62
Skew	0.03	0.87
Kurtosis	1.21	5.33
Expected Daily	0.08%	0.08%
Expected Monthly	1.58%	1.6%
Expected Yearly	7.6%	7.69%
Kelly Criterion	9.18%	18.78%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.11%	-0.72%
Expected Shortfall (cVaR)	-1.11%	-0.72%
Max Consecutive Wins	6	10
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.36	0.64
Gain/Pain (1M)	4.1	5.24
Payoff Ratio	1.1	1.28
Profit Factor	1.36	1.64
Common Sense Ratio	2.04	2.29
CPC Index	0.79	1.14
Tail Ratio	1.5	1.4
Outlier Win Ratio	2.72	4.05
Outlier Loss Ratio	2.65	4.75
MTD	-0.59%	-0.2%
3M	2.9%	2.75%
6M	3.21%	4.38%
YTD	-0.59%	-0.2%
1Y	24.33%	24.39%
3Y (ann.)	22.63%	22.94%
5Y (ann.)	22.63%	22.94%
10Y (ann.)	22.63%	22.94%
All-time (ann.)	22.63%	22.94%
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	23.81%	24.1%
Worst Year	-0.59%	-0.2%
Avg. Drawdown	-1.3%	-1.04%
Avg. Drawdown Days	15	15
Recovery Factor	3.24	3.93
Ulcer Index	0.03	0.02
Serenity Index	0.83	0.92
Avg. Up Month	2.81%	2.71%
Avg. Down Month	-1.4%	-1.09%
Win Days	52.33%	54.44%
Win Month	71.43%	71.43%
Win Quarter	83.33%	83.33%
Win Year	66.67%	66.67%
Beta	0.67	-
Alpha	0.07	-
Correlation	45.23%	-
Treynor Ratio	26.17%	-