SBGB[Strategy] vs INav[Benchmark]

5 Feb, 2019 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	100.0%
Cumulative Return	17.54%	17.57%
CAGR﹪	3.16%	3.16%
Sharpe	-15.52	-22.85
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-9.33	-13.74
Sortino	-12.26	-13.25
Smart Sortino	-7.37	-7.97
Sortino/√2	-8.67	-9.37
Smart Sortino/√2	-5.21	-5.64
Omega	0.04	0.04
Max Drawdown	-27.13%	-26.55%
Longest DD Days	1226	1226
Volatility (ann.)	13.19%	8.98%
R^2	0.56	0.56
Information Ratio	0.0	0.0
Calmar	0.12	0.12
Skew	2.15	-10.73
Kurtosis	237.76	282.32
Expected Daily	0.01%	0.01%
Expected Monthly	0.26%	0.26%
Expected Yearly	2.73%	2.73%
Kelly Criterion	3.82%	6.32%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.35%	-0.92%
Expected Shortfall (cVaR)	-1.35%	-0.92%
Max Consecutive Wins	9	16
Max Consecutive Losses	10	15
Gain/Pain Ratio	0.11	0.13
Gain/Pain (1M)	0.5	0.37
Payoff Ratio	0.95	0.9
Profit Factor	1.11	1.13
Common Sense Ratio	1.27	1.31
CPC Index	0.56	0.57
Tail Ratio	1.14	1.15
Outlier Win Ratio	4.23	5.97
Outlier Loss Ratio	4.23	5.7
MTD	-0.16%	-0.42%
3M	-2.86%	-3.1%
6M	-0.08%	0.3%
YTD	-2.98%	-2.88%
1Y	-3.95%	-3.78%
3Y (ann.)	-0.92%	-0.94%
5Y (ann.)	2.76%	2.79%
10Y (ann.)	3.16%	3.16%
All-time (ann.)	3.16%	3.16%
Best Day	17.61%	4.33%
Worst Day	-14.34%	-13.79%
Best Month	9.16%	8.57%
Worst Month	-5.81%	-15.22%
Best Year	15.78%	15.77%
Worst Year	-5.45%	-5.68%
Avg. Drawdown	-1.44%	-1.08%
Avg. Drawdown Days	44	39
Recovery Factor	0.65	0.66
Ulcer Index	0.04	0.04
Serenity Index	-16.72	-11.41
Avg. Up Month	1.95%	1.89%
Avg. Down Month	-1.43%	-1.77%
Win Days	53.16%	55.72%
Win Month	52.38%	53.97%
Win Quarter	59.09%	59.09%
Win Year	50.0%	66.67%
Beta	1.1	-
Alpha	0.0	-
Correlation	75.11%	-
Treynor Ratio	-618.42%	-