TRUR[Strategy] vs INav[Benchmark]

18 Dec, 2019 - 3 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	100.0%
Cumulative Return	90.51%	91.21%
CAGR﹪	11.41%	11.48%
Sharpe	0.44	0.47
Prob. Sharpe Ratio	47.55%	52.69%
Smart Sharpe	0.43	0.46
Sortino	0.59	0.62
Smart Sortino	0.58	0.61
Sortino/√2	0.42	0.44
Smart Sortino/√2	0.41	0.43
Omega	1.09	1.09
Max Drawdown	-20.43%	-19.16%
Longest DD Days	521	521
Volatility (ann.)	10.6%	10.05%
R^2	0.83	0.83
Information Ratio	-0.0	-0.0
Calmar	0.56	0.6
Skew	-2.65	-2.98
Kurtosis	48.41	57.03
Expected Daily	0.04%	0.04%
Expected Monthly	0.89%	0.89%
Expected Yearly	9.65%	9.7%
Kelly Criterion	8.33%	10.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.05%	-1.0%
Expected Shortfall (cVaR)	-1.05%	-1.0%
Max Consecutive Wins	11	12
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.24	0.25
Gain/Pain (1M)	1.45	1.53
Payoff Ratio	0.91	0.92
Profit Factor	1.24	1.25
Common Sense Ratio	1.41	1.27
CPC Index	0.64	0.66
Tail Ratio	1.13	1.01
Outlier Win Ratio	4.0	4.0
Outlier Loss Ratio	3.22	3.65
MTD	0.0%	-0.12%
3M	3.1%	3.06%
6M	10.8%	10.44%
YTD	12.35%	12.59%
1Y	17.99%	18.16%
3Y (ann.)	18.95%	18.82%
5Y (ann.)	10.27%	10.37%
10Y (ann.)	11.41%	11.48%
All-time (ann.)	11.41%	11.48%
Best Day	4.59%	3.89%
Worst Day	-10.6%	-10.54%
Best Month	9.22%	6.52%
Worst Month	-9.74%	-9.94%
Best Year	27.37%	27.26%
Worst Year	-5.83%	-5.53%
Avg. Drawdown	-1.54%	-1.38%
Avg. Drawdown Days	26	24
Recovery Factor	4.43	4.76
Ulcer Index	0.05	0.05
Serenity Index	1.0	1.02
Avg. Up Month	2.35%	2.29%
Avg. Down Month	-2.33%	-2.2%
Win Days	56.29%	57.3%
Win Month	70.42%	69.86%
Win Quarter	76.0%	76.0%
Win Year	85.71%	85.71%
Beta	0.96	-
Alpha	0.0	-
Correlation	91.32%	-
Treynor Ratio	86.71%	-