SBBY[Strategy] vs INav[Benchmark]

3 Aug, 2023 - 8 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	-1.51%	-1.54%
CAGR﹪	-0.86%	-0.88%
Sharpe	-0.35	-0.36
Prob. Sharpe Ratio	7.57%	7.5%
Smart Sharpe	-0.32	-0.33
Sortino	-0.5	-0.51
Smart Sortino	-0.46	-0.47
Sortino/√2	-0.35	-0.36
Smart Sortino/√2	-0.33	-0.33
Omega	0.94	0.94
Max Drawdown	-18.59%	-18.63%
Longest DD Days	362	404
Volatility (ann.)	17.41%	17.15%
R^2	0.79	0.79
Information Ratio	0.0	0.0
Calmar	-0.05	-0.05
Skew	0.34	0.46
Kurtosis	3.54	6.21
Expected Daily	-0.0%	-0.0%
Expected Monthly	-0.07%	-0.07%
Expected Yearly	-0.5%	-0.52%
Kelly Criterion	0.26%	1.02%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.8%	-1.77%
Expected Shortfall (cVaR)	-1.8%	-1.77%
Max Consecutive Wins	8	9
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.01	0.01
Gain/Pain (1M)	0.04	0.04
Payoff Ratio	1.03	0.95
Profit Factor	1.01	1.01
Common Sense Ratio	0.93	0.83
CPC Index	0.51	0.49
Tail Ratio	0.93	0.82
Outlier Win Ratio	3.5	3.77
Outlier Loss Ratio	3.94	3.92
MTD	1.3%	1.46%
3M	-9.71%	-9.92%
6M	-5.46%	-5.68%
YTD	-12.98%	-11.67%
1Y	1.58%	1.47%
3Y (ann.)	-0.86%	-0.88%
5Y (ann.)	-0.86%	-0.88%
10Y (ann.)	-0.86%	-0.88%
All-time (ann.)	-0.86%	-0.88%
Best Day	6.08%	7.13%
Worst Day	-3.56%	-4.22%
Best Month	10.99%	9.98%
Worst Month	-6.68%	-6.87%
Best Year	17.66%	15.56%
Worst Year	-12.98%	-11.67%
Avg. Drawdown	-6.02%	-7.52%
Avg. Drawdown Days	78	104
Recovery Factor	-0.08	-0.08
Ulcer Index	0.09	0.09
Serenity Index	-0.07	-0.07
Avg. Up Month	2.78%	2.79%
Avg. Down Month	-2.76%	-2.78%
Win Days	49.44%	51.78%
Win Month	50.0%	50.0%
Win Quarter	50.0%	50.0%
Win Year	33.33%	33.33%
Beta	0.9	-
Alpha	0.0	-
Correlation	88.86%	-
Treynor Ratio	-9.43%	-