SBCN[Strategy] vs INav[Benchmark]

20 Jan, 2023 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	17.8%	18.14%
CAGR﹪	5.72%	5.82%
Sharpe	-0.01	-0.0
Prob. Sharpe Ratio	12.29%	12.56%
Smart Sharpe	-0.01	-0.0
Sortino	-0.01	-0.0
Smart Sortino	-0.01	-0.0
Sortino/√2	-0.01	-0.0
Smart Sortino/√2	-0.01	-0.0
Omega	1.0	1.0
Max Drawdown	-27.72%	-27.94%
Longest DD Days	396	396
Volatility (ann.)	15.05%	15.02%
R^2	0.81	0.81
Information Ratio	-0.0	-0.0
Calmar	0.21	0.21
Skew	0.24	0.16
Kurtosis	3.76	4.79
Expected Daily	0.02%	0.02%
Expected Monthly	0.46%	0.46%
Expected Yearly	5.61%	5.71%
Kelly Criterion	3.34%	3.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.53%	-1.53%
Expected Shortfall (cVaR)	-1.53%	-1.53%
Max Consecutive Wins	10	8
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.08	0.08
Gain/Pain (1M)	0.4	0.4
Payoff Ratio	0.97	0.94
Profit Factor	1.08	1.08
Common Sense Ratio	1.09	1.08
CPC Index	0.55	0.54
Tail Ratio	1.0	0.99
Outlier Win Ratio	3.73	3.74
Outlier Loss Ratio	3.76	3.72
MTD	1.56%	2.73%
3M	-2.56%	-2.85%
6M	2.0%	2.26%
YTD	-18.9%	-18.53%
1Y	-18.27%	-18.66%
3Y (ann.)	5.16%	5.33%
5Y (ann.)	5.72%	5.82%
10Y (ann.)	5.72%	5.82%
All-time (ann.)	5.72%	5.82%
Best Day	5.06%	6.46%
Worst Day	-4.13%	-4.02%
Best Month	13.51%	12.86%
Worst Month	-9.03%	-9.28%
Best Year	24.53%	24.58%
Worst Year	-18.9%	-18.53%
Avg. Drawdown	-3.66%	-2.73%
Avg. Drawdown Days	45	35
Recovery Factor	0.64	0.65
Ulcer Index	0.14	0.14
Serenity Index	0.03	0.03
Avg. Up Month	3.31%	3.33%
Avg. Down Month	-3.55%	-3.59%
Win Days	52.49%	53.33%
Win Month	58.33%	61.11%
Win Quarter	58.33%	58.33%
Win Year	66.67%	66.67%
Beta	0.9	-
Alpha	0.01	-
Correlation	89.79%	-
Treynor Ratio	12.01%	-