SBGD[Strategy] vs INav[Benchmark]

16 Sep, 2022 - 19 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	188.44%	192.74%
CAGR﹪	32.55%	33.08%
Sharpe	1.09	1.16
Prob. Sharpe Ratio	70.27%	76.76%
Smart Sharpe	0.98	1.05
Sortino	1.56	1.69
Smart Sortino	1.41	1.53
Sortino/√2	1.1	1.2
Smart Sortino/√2	1.0	1.08
Omega	1.21	1.21
Max Drawdown	-28.59%	-29.24%
Longest DD Days	278	180
Volatility (ann.)	21.79%	20.42%
R^2	0.77	0.77
Information Ratio	-0.0	-0.0
Calmar	1.14	1.13
Skew	-0.73	-0.27
Kurtosis	9.1	5.47
Expected Daily	0.11%	0.11%
Expected Monthly	2.33%	2.36%
Expected Yearly	23.6%	23.96%
Kelly Criterion	9.7%	12.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.14%	-1.99%
Expected Shortfall (cVaR)	-2.14%	-1.99%
Max Consecutive Wins	11	11
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.28	0.3
Gain/Pain (1M)	2.11	2.12
Payoff Ratio	0.98	0.99
Profit Factor	1.28	1.3
Common Sense Ratio	1.66	1.31
CPC Index	0.69	0.73
Tail Ratio	1.3	1.01
Outlier Win Ratio	3.49	3.81
Outlier Loss Ratio	3.64	3.91
MTD	-5.77%	-6.06%
3M	-24.47%	-24.67%
6M	-10.59%	-11.12%
YTD	-11.49%	-11.24%
1Y	15.67%	14.58%
3Y (ann.)	19.16%	20.03%
5Y (ann.)	32.55%	33.08%
10Y (ann.)	32.55%	33.08%
All-time (ann.)	32.55%	33.08%
Best Day	6.25%	7.16%
Worst Day	-12.71%	-9.23%
Best Month	20.57%	16.41%
Worst Month	-7.96%	-8.38%
Best Year	45.34%	46.23%
Worst Year	-11.49%	-11.24%
Avg. Drawdown	-2.77%	-2.52%
Avg. Drawdown Days	22	18
Recovery Factor	6.59	6.59
Ulcer Index	0.06	0.06
Serenity Index	3.16	3.07
Avg. Up Month	5.74%	5.63%
Avg. Down Month	-3.6%	-3.71%
Win Days	55.29%	56.47%
Win Month	65.22%	67.39%
Win Quarter	68.75%	68.75%
Win Year	80.0%	80.0%
Beta	0.94	-
Alpha	0.02	-
Correlation	87.61%	-
Treynor Ratio	194.05%	-