SBGB USD[Strategy] vs ^SP500TR USD[Benchmark]

7 Feb, 2019 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	-17.31%	102.17%
CAGR﹪	-3.59%	14.5%
Sharpe	-2.8	-2.49
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.5	-2.22
Sortino	-3.47	-3.1
Smart Sortino	-3.1	-2.77
Sortino/√2	-2.45	-2.19
Smart Sortino/√2	-2.19	-1.96
Omega	0.53	0.53
Max Drawdown	-50.56%	-33.79%
Longest DD Days	860	708
Volatility (ann.)	25.0%	21.23%
R^2	0.05	0.05
Information Ratio	-0.04	-0.04
Calmar	-0.07	0.43
Skew	-0.71	-0.41
Kurtosis	55.7	13.44
Expected Daily	-0.02%	0.06%
Expected Monthly	-0.3%	1.12%
Expected Yearly	-3.12%	12.45%
Kelly Criterion	-8.63%	5.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.59%	-2.13%
Expected Shortfall (cVaR)	-2.59%	-2.13%
Max Consecutive Wins	8	8
Max Consecutive Losses	9	6
Gain/Pain Ratio	-0.01	0.16
Gain/Pain (1M)	-0.02	0.84
Payoff Ratio	0.84	0.95
Profit Factor	0.99	1.16
Common Sense Ratio	0.98	1.15
CPC Index	0.42	0.6
Tail Ratio	0.98	0.99
Outlier Win Ratio	4.23	4.18
Outlier Loss Ratio	4.3	4.29
MTD	-1.84%	-4.57%
3M	-7.87%	6.13%
6M	4.1%	15.47%
YTD	-6.52%	5.5%
1Y	-16.63%	22.61%
3Y (ann.)	-8.72%	8.24%
5Y (ann.)	-4.69%	13.96%
10Y (ann.)	-3.59%	14.5%
All-time (ann.)	-3.59%	14.5%
Best Day	20.8%	9.39%
Worst Day	-20.82%	-11.98%
Best Month	27.99%	12.82%
Worst Month	-15.69%	-12.35%
Best Year	23.23%	29.88%
Worst Year	-22.76%	-18.32%
Avg. Drawdown	-5.26%	-1.72%
Avg. Drawdown Days	69	16
Recovery Factor	-0.34	3.02
Ulcer Index	0.24	0.09
Serenity Index	-0.18	0.02
Avg. Up Month	4.05%	4.31%
Avg. Down Month	-5.86%	-4.43%
Win Days	50.28%	53.95%
Win Month	42.86%	66.67%
Win Quarter	45.45%	72.73%
Win Year	33.33%	83.33%
Beta	0.25	-
Alpha	-0.05	-
Correlation	21.61%	-
Treynor Ratio	-460.93%	-