SBCN[Strategy] vs INav[Benchmark]

20 Jan, 2023 - 2 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	18.14%	18.64%
CAGR﹪	5.5%	5.64%
Sharpe	-0.02	-0.01
Prob. Sharpe Ratio	11.37%	11.7%
Smart Sharpe	-0.02	-0.01
Sortino	-0.03	-0.02
Smart Sortino	-0.03	-0.02
Sortino/√2	-0.02	-0.01
Smart Sortino/√2	-0.02	-0.01
Omega	1.0	1.0
Max Drawdown	-27.72%	-27.94%
Longest DD Days	458	458
Volatility (ann.)	14.99%	15.0%
R^2	0.81	0.81
Information Ratio	-0.0	-0.0
Calmar	0.2	0.2
Skew	0.26	0.18
Kurtosis	3.65	4.59
Expected Daily	0.02%	0.02%
Expected Monthly	0.43%	0.44%
Expected Yearly	4.26%	4.36%
Kelly Criterion	3.0%	3.87%
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)	0.38	0.38
Payoff Ratio	0.99	0.95
Profit Factor	1.08	1.08
Common Sense Ratio	1.12	1.08
CPC Index	0.55	0.55
Tail Ratio	1.04	1.0
Outlier Win Ratio	3.72	3.74
Outlier Loss Ratio	3.76	3.67
MTD	-0.89%	0.39%
3M	2.52%	2.85%
6M	-0.39%	0.2%
YTD	0.28%	0.42%
1Y	-8.55%	-7.66%
3Y (ann.)	2.09%	2.26%
5Y (ann.)	5.5%	5.64%
10Y (ann.)	5.5%	5.64%
All-time (ann.)	5.5%	5.64%
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	48	37
Recovery Factor	0.65	0.67
Ulcer Index	0.15	0.15
Serenity Index	0.03	0.03
Avg. Up Month	3.37%	3.38%
Avg. Down Month	-3.53%	-3.62%
Win Days	51.86%	53.11%
Win Month	56.41%	61.54%
Win Quarter	61.54%	61.54%
Win Year	75.0%	75.0%
Beta	0.9	-
Alpha	0.01	-
Correlation	89.84%	-
Treynor Ratio	12.41%	-