TPAY[Strategy] vs INav[Benchmark]

23 Aug, 2024 - 16 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	0.08%	0.13%
CAGR﹪	0.06%	0.1%
Sharpe	-1.15	-1.08
Prob. Sharpe Ratio	10.25%	10.45%
Smart Sharpe	-1.08	-1.02
Sortino	-1.27	-1.15
Smart Sortino	-1.2	-1.09
Sortino/√2	-0.89	-0.82
Smart Sortino/√2	-0.85	-0.77
Omega	0.77	0.77
Max Drawdown	-8.5%	-7.93%
Longest DD Days	473	473
Volatility (ann.)	5.71%	5.99%
R^2	0.9	0.9
Information Ratio	-0.0	-0.0
Calmar	0.01	0.01
Skew	-2.74	-3.36
Kurtosis	9.7	12.54
Expected Daily	0.0%	0.0%
Expected Monthly	0.0%	0.01%
Expected Yearly	0.03%	0.04%
Kelly Criterion	-23.82%	-4.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.59%	-0.62%
Expected Shortfall (cVaR)	-0.59%	-0.62%
Max Consecutive Wins	14	15
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.01	0.01
Gain/Pain (1M)	0.04	0.06
Payoff Ratio	0.39	0.34
Profit Factor	1.01	1.01
Common Sense Ratio	0.57	0.55
CPC Index	0.26	0.25
Tail Ratio	0.57	0.54
Outlier Win Ratio	3.48	4.1
Outlier Loss Ratio	5.38	4.49
MTD	0.61%	0.75%
3M	0.6%	0.37%
6M	1.43%	1.49%
YTD	0.61%	0.75%
1Y	3.68%	3.6%
3Y (ann.)	0.06%	0.1%
5Y (ann.)	0.06%	0.1%
10Y (ann.)	0.06%	0.1%
All-time (ann.)	0.06%	0.1%
Best Day	0.74%	0.77%
Worst Day	-1.92%	-2.02%
Best Month	2.17%	2.02%
Worst Month	-3.01%	-2.82%
Best Year	4.63%	4.48%
Worst Year	-4.92%	-4.87%
Avg. Drawdown	-2.91%	-2.68%
Avg. Drawdown Days	159	159
Recovery Factor	0.01	0.02
Ulcer Index	0.04	0.04
Serenity Index	-0.08	-0.1
Avg. Up Month	0.71%	0.7%
Avg. Down Month	-1.01%	-0.94%
Win Days	65.12%	73.45%
Win Month	61.11%	55.56%
Win Quarter	71.43%	42.86%
Win Year	66.67%	66.67%
Beta	0.9	-
Alpha	-0.0	-
Correlation	94.82%	-
Treynor Ratio	-7.67%	-