TPAY[Strategy] vs INav[Benchmark]

23 Aug, 2024 - 22 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	0.96%	1.37%
CAGR﹪	0.55%	0.78%
Sharpe	-1.14	-1.04
Prob. Sharpe Ratio	9.96%	10.99%
Smart Sharpe	-1.09	-0.99
Sortino	-1.26	-1.11
Smart Sortino	-1.19	-1.05
Sortino/√2	-0.89	-0.78
Smart Sortino/√2	-0.84	-0.74
Omega	0.77	0.77
Max Drawdown	-8.5%	-7.93%
Longest DD Days	599	599
Volatility (ann.)	5.33%	5.61%
R^2	0.9	0.9
Information Ratio	-0.01	-0.01
Calmar	0.06	0.1
Skew	-2.89	-3.51
Kurtosis	10.93	13.88
Expected Daily	0.0%	0.0%
Expected Monthly	0.04%	0.06%
Expected Yearly	0.32%	0.46%
Kelly Criterion	-31.2%	-4.41%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.55%	-0.58%
Expected Shortfall (cVaR)	-0.55%	-0.58%
Max Consecutive Wins	14	18
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.03	0.04
Gain/Pain (1M)	0.15	0.21
Payoff Ratio	0.35	0.31
Profit Factor	1.03	1.04
Common Sense Ratio	0.63	0.54
CPC Index	0.24	0.24
Tail Ratio	0.61	0.52
Outlier Win Ratio	3.64	4.31
Outlier Loss Ratio	5.73	4.46
MTD	0.89%	1.17%
3M	0.92%	1.12%
6M	0.41%	0.79%
YTD	1.5%	2.0%
1Y	4.41%	4.65%
3Y (ann.)	0.55%	0.78%
5Y (ann.)	0.55%	0.78%
10Y (ann.)	0.55%	0.78%
All-time (ann.)	0.55%	0.78%
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	201	201
Recovery Factor	0.11	0.17
Ulcer Index	0.04	0.03
Serenity Index	-0.08	-0.09
Avg. Up Month	0.7%	0.72%
Avg. Down Month	-1.01%	-0.96%
Win Days	65.81%	75.51%
Win Month	63.64%	59.09%
Win Quarter	75.0%	50.0%
Win Year	66.67%	66.67%
Beta	0.9	-
Alpha	-0.0	-
Correlation	94.64%	-
Treynor Ratio	-6.72%	-