SBCN[Strategy] vs INav[Benchmark]

20 Jan, 2023 - 23 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	19.12%	18.14%
CAGR﹪	5.52%	5.25%
Sharpe	-0.02	-0.03
Prob. Sharpe Ratio	10.64%	10.21%
Smart Sharpe	-0.02	-0.03
Sortino	-0.02	-0.05
Smart Sortino	-0.02	-0.05
Sortino/√2	-0.02	-0.03
Smart Sortino/√2	-0.02	-0.03
Omega	1.0	1.0
Max Drawdown	-27.72%	-27.94%
Longest DD Days	510	510
Volatility (ann.)	15.36%	15.19%
R^2	0.81	0.81
Information Ratio	0.0	0.0
Calmar	0.2	0.19
Skew	0.18	0.13
Kurtosis	3.49	4.28
Expected Daily	0.02%	0.02%
Expected Monthly	0.44%	0.42%
Expected Yearly	4.47%	4.26%
Kelly Criterion	2.98%	3.66%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.57%	-1.55%
Expected Shortfall (cVaR)	-1.57%	-1.55%
Max Consecutive Wins	10	8
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.08	0.08
Gain/Pain (1M)	0.37	0.34
Payoff Ratio	1.01	0.97
Profit Factor	1.08	1.08
Common Sense Ratio	1.12	1.11
CPC Index	0.56	0.55
Tail Ratio	1.03	1.03
Outlier Win Ratio	3.65	3.7
Outlier Loss Ratio	3.79	3.72
MTD	-4.55%	-5.68%
3M	4.42%	3.64%
6M	-0.89%	-1.37%
YTD	1.11%	-0.0%
1Y	0.63%	0.32%
3Y (ann.)	2.14%	1.87%
5Y (ann.)	5.52%	5.25%
10Y (ann.)	5.52%	5.25%
All-time (ann.)	5.52%	5.25%
Best Day	5.06%	6.46%
Worst Day	-4.23%	-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	50	39
Recovery Factor	0.69	0.65
Ulcer Index	0.15	0.15
Serenity Index	0.03	0.03
Avg. Up Month	3.43%	3.49%
Avg. Down Month	-3.6%	-3.75%
Win Days	51.35%	52.61%
Win Month	57.5%	60.0%
Win Quarter	57.14%	57.14%
Win Year	75.0%	50.0%
Beta	0.91	-
Alpha	0.01	-
Correlation	90.21%	-
Treynor Ratio	13.29%	-