SBBY[Strategy] vs INav[Benchmark]

3 Aug, 2023 - 10 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	-2.1%	-2.12%
CAGR﹪	-2.72%	-2.75%
Sharpe	-17.59	-17.27
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-16.2	-15.9
Sortino	-11.9	-11.81
Smart Sortino	-10.96	-10.87
Sortino/√2	-8.42	-8.35
Smart Sortino/√2	-7.75	-7.69
Omega	0.05	0.05
Max Drawdown	-11.63%	-11.7%
Longest DD Days	217	217
Volatility (ann.)	11.98%	12.21%
R^2	0.89	0.89
Information Ratio	-0.0	-0.0
Calmar	-0.23	-0.23
Skew	-0.54	-0.6
Kurtosis	1.27	1.44
Expected Daily	-0.01%	-0.01%
Expected Monthly	-0.21%	-0.21%
Expected Yearly	-1.06%	-1.07%
Kelly Criterion	-2.37%	0.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.25%	-1.27%
Expected Shortfall (cVaR)	-1.25%	-1.27%
Max Consecutive Wins	8	8
Max Consecutive Losses	6	6
Gain/Pain Ratio	-0.03	-0.03
Gain/Pain (1M)	-0.21	-0.19
Payoff Ratio	0.96	0.94
Profit Factor	0.97	0.97
Common Sense Ratio	0.85	0.94
CPC Index	0.47	0.47
Tail Ratio	0.87	0.97
Outlier Win Ratio	2.87	2.89
Outlier Loss Ratio	3.79	3.6
MTD	-0.04%	-0.36%
3M	1.7%	1.53%
6M	1.15%	1.12%
YTD	1.78%	1.47%
1Y	-2.1%	-2.12%
3Y (ann.)	-2.72%	-2.75%
5Y (ann.)	-2.72%	-2.75%
10Y (ann.)	-2.72%	-2.75%
All-time (ann.)	-2.72%	-2.75%
Best Day	1.9%	1.83%
Worst Day	-2.83%	-3.0%
Best Month	2.13%	2.3%
Worst Month	-5.29%	-5.72%
Best Year	1.78%	1.47%
Worst Year	-3.81%	-3.54%
Avg. Drawdown	-4.72%	-6.42%
Avg. Drawdown Days	67	89
Recovery Factor	-0.18	-0.18
Ulcer Index	0.07	0.07
Serenity Index	-6.81	-6.87
Avg. Up Month	0.91%	1.06%
Avg. Down Month	-1.85%	-2.07%
Win Days	49.74%	51.53%
Win Month	60.0%	60.0%
Win Quarter	75.0%	75.0%
Win Year	50.0%	50.0%
Beta	0.93	-
Alpha	-0.0	-
Correlation	94.36%	-
Treynor Ratio	-758.22%	-