SBCB USD[Strategy] vs [Benchmark] RUEU10 USD

23 Sep, 2019 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	37.0%	97.0%
Cumulative Return	-26.36%	-52.13%
CAGR﹪	-4.32%	-10.08%
Sharpe	-0.49	-0.68
Prob. Sharpe Ratio	0.15%	0.0%
Smart Sharpe	-0.44	-0.6
Sortino	-0.66	-0.71
Smart Sortino	-0.59	-0.63
Sortino/√2	-0.47	-0.5
Smart Sortino/√2	-0.42	-0.44
Omega	0.79	0.79
Max Drawdown	-34.64%	-63.89%
Longest DD Days	2409	1803
Volatility (ann.)	20.88%	24.33%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	-0.12	-0.16
Skew	-2.13	-26.41
Kurtosis	76.82	856.28
Expected Daily	-0.02%	-0.06%
Expected Monthly	-0.46%	-1.11%
Expected Yearly	-3.75%	-8.8%
Kelly Criterion	-11.45%	-81.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.18%	-2.56%
Expected Shortfall (cVaR)	-2.18%	-2.56%
Max Consecutive Wins	6	11
Max Consecutive Losses	5	12
Gain/Pain Ratio	-0.08	-0.18
Gain/Pain (1M)	-0.39	-0.51
Payoff Ratio	0.88	0.35
Profit Factor	0.92	0.82
Common Sense Ratio	0.82	0.86
CPC Index	0.39	0.15
Tail Ratio	0.9	1.06
Outlier Win Ratio	15.44	9.57
Outlier Loss Ratio	3.43	6.74
MTD	0.0%	-0.21%
3M	0.0%	-1.78%
6M	0.0%	0.92%
YTD	0.0%	0.23%
1Y	0.0%	1.85%
3Y (ann.)	0.0%	5.07%
5Y (ann.)	-5.73%	-15.11%
10Y (ann.)	-4.32%	-10.08%
All-time (ann.)	-4.32%	-10.08%
Best Day	14.52%	6.62%
Worst Day	-20.11%	-50.05%
Best Month	7.45%	7.5%
Worst Month	-21.37%	-48.47%
Best Year	5.48%	11.08%
Worst Year	-23.86%	-60.53%
Avg. Drawdown	-13.05%	-1.56%
Avg. Drawdown Days	501	46
Recovery Factor	-0.76	-0.82
Ulcer Index	0.22	0.43
Serenity Index	-0.05	-0.03
Avg. Up Month	1.97%	1.13%
Avg. Down Month	-3.12%	-2.58%
Win Days	47.93%	52.96%
Win Month	43.33%	56.06%
Win Quarter	45.45%	58.33%
Win Year	25.0%	75.0%
Beta	0.07	-
Alpha	-0.03	-
Correlation	7.76%	-
Treynor Ratio	-501.29%	-