SBCS[Strategy] vs INav[Benchmark]

21 Jun, 2021 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	98.0%
Cumulative Return	55.55%	55.96%
CAGR﹪	11.22%	11.29%
Sharpe	0.38	3.22
Prob. Sharpe Ratio	35.31%	100.0%
Smart Sharpe	0.35	2.99
Sortino	0.61	7.13
Smart Sortino	0.57	6.61
Sortino/√2	0.43	5.04
Smart Sortino/√2	0.4	4.68
Omega	1.27	1.27
Max Drawdown	-14.95%	-1.26%
Longest DD Days	264	104
Volatility (ann.)	12.36%	1.26%
R^2	0.2	0.2
Information Ratio	0.0	0.0
Calmar	0.75	8.97
Skew	6.47	5.48
Kurtosis	382.42	90.86
Expected Daily	0.04%	0.04%
Expected Monthly	0.87%	0.88%
Expected Yearly	9.24%	9.3%
Kelly Criterion	44.17%	74.18%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-0.09%
Expected Shortfall (cVaR)	-1.23%	-0.09%
Max Consecutive Wins	10	95
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.79	7.07
Gain/Pain (1M)	3.32	46.42
Payoff Ratio	1.54	1.27
Profit Factor	1.79	8.07
Common Sense Ratio	2.75	33.25
CPC Index	1.82	8.74
Tail Ratio	1.54	4.12
Outlier Win Ratio	2.52	6.63
Outlier Loss Ratio	1.58	6.88
MTD	0.87%	0.75%
3M	5.07%	5.06%
6M	10.02%	10.25%
YTD	12.88%	13.09%
1Y	20.35%	20.25%
3Y (ann.)	12.35%	12.45%
5Y (ann.)	11.22%	11.29%
10Y (ann.)	11.22%	11.29%
All-time (ann.)	11.22%	11.29%
Best Day	18.08%	1.4%
Worst Day	-13.96%	-0.48%
Best Month	17.8%	1.81%
Worst Month	-13.68%	-0.56%
Best Year	15.93%	15.68%
Worst Year	2.77%	2.97%
Avg. Drawdown	-0.28%	-0.06%
Avg. Drawdown Days	6	4
Recovery Factor	3.72	44.44
Ulcer Index	0.02	0.0
Serenity Index	8.57	47.35
Avg. Up Month	1.27%	0.94%
Avg. Down Month	-0.31%	-0.48%
Win Days	66.14%	85.57%
Win Month	94.12%	96.08%
Win Quarter	94.44%	94.44%
Win Year	100.0%	100.0%
Beta	4.4	-
Alpha	-0.36	-
Correlation	44.81%	-
Treynor Ratio	11.03%	-