SBBY[Strategy] vs INav[Benchmark]

3 Aug, 2023 - 21 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	11.43%	11.37%
CAGR﹪	3.42%	3.4%
Sharpe	-0.12	-0.12
Prob. Sharpe Ratio	6.75%	6.7%
Smart Sharpe	-0.12	-0.12
Sortino	-0.18	-0.18
Smart Sortino	-0.17	-0.17
Sortino/√2	-0.12	-0.12
Smart Sortino/√2	-0.12	-0.12
Omega	0.98	0.98
Max Drawdown	-18.59%	-18.63%
Longest DD Days	638	628
Volatility (ann.)	16.67%	16.71%
R^2	0.78	0.78
Information Ratio	0.0	0.0
Calmar	0.18	0.18
Skew	0.18	0.28
Kurtosis	2.58	4.19
Expected Daily	0.01%	0.01%
Expected Monthly	0.28%	0.28%
Expected Yearly	2.74%	2.73%
Kelly Criterion	1.73%	3.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.71%	-1.71%
Expected Shortfall (cVaR)	-1.71%	-1.71%
Max Consecutive Wins	9	9
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.05	0.05
Gain/Pain (1M)	0.32	0.3
Payoff Ratio	1.08	1.02
Profit Factor	1.05	1.05
Common Sense Ratio	1.07	1.09
CPC Index	0.56	0.55
Tail Ratio	1.02	1.04
Outlier Win Ratio	3.34	3.51
Outlier Loss Ratio	3.94	3.83
MTD	0.03%	-1.13%
3M	5.97%	6.19%
6M	12.48%	12.6%
YTD	11.81%	10.64%
1Y	12.15%	11.5%
3Y (ann.)	5.77%	5.78%
5Y (ann.)	3.42%	3.4%
10Y (ann.)	3.42%	3.4%
All-time (ann.)	3.42%	3.4%
Best Day	6.08%	7.13%
Worst Day	-3.69%	-4.22%
Best Month	10.99%	10.45%
Worst Month	-6.68%	-6.87%
Best Year	17.66%	15.56%
Worst Year	-11.94%	-9.69%
Avg. Drawdown	-5.82%	-5.91%
Avg. Drawdown Days	128	114
Recovery Factor	0.62	0.61
Ulcer Index	0.11	0.11
Serenity Index	0.02	0.02
Avg. Up Month	3.12%	3.35%
Avg. Down Month	-2.7%	-2.89%
Win Days	49.01%	51.47%
Win Month	53.85%	51.28%
Win Quarter	64.29%	57.14%
Win Year	50.0%	50.0%
Beta	0.88	-
Alpha	0.01	-
Correlation	88.16%	-
Treynor Ratio	5.04%	-