SBGD[Strategy] vs INav[Benchmark]

16 Sep, 2022 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	283.34%	295.37%
CAGR﹪	47.05%	48.36%
Sharpe	1.6	1.77
Prob. Sharpe Ratio	92.12%	96.67%
Smart Sharpe	1.4	1.55
Sortino	2.35	2.67
Smart Sortino	2.05	2.33
Sortino/√2	1.66	1.89
Smart Sortino/√2	1.45	1.65
Omega	1.32	1.32
Max Drawdown	-12.87%	-12.51%
Longest DD Days	278	180
Volatility (ann.)	21.18%	19.38%
R^2	0.76	0.76
Information Ratio	-0.0	-0.0
Calmar	3.66	3.87
Skew	-0.88	-0.3
Kurtosis	10.69	6.38
Expected Daily	0.15%	0.16%
Expected Monthly	3.17%	3.25%
Expected Yearly	30.83%	31.64%
Kelly Criterion	13.6%	17.47%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.03%	-1.84%
Expected Shortfall (cVaR)	-2.03%	-1.84%
Max Consecutive Wins	11	11
Max Consecutive Losses	6	8
Gain/Pain Ratio	0.4	0.46
Gain/Pain (1M)	5.09	5.33
Payoff Ratio	1.01	1.04
Profit Factor	1.4	1.46
Common Sense Ratio	1.95	1.62
CPC Index	0.8	0.88
Tail Ratio	1.39	1.11
Outlier Win Ratio	3.42	3.81
Outlier Loss Ratio	3.56	3.93
MTD	0.57%	1.22%
3M	23.01%	25.04%
6M	31.0%	33.55%
YTD	17.63%	19.87%
1Y	56.17%	59.53%
3Y (ann.)	35.51%	36.94%
5Y (ann.)	47.05%	48.36%
10Y (ann.)	47.05%	48.36%
All-time (ann.)	47.05%	48.36%
Best Day	5.4%	7.16%
Worst Day	-12.71%	-9.23%
Best Month	20.57%	16.41%
Worst Month	-6.2%	-7.55%
Best Year	45.34%	46.23%
Worst Year	17.63%	19.87%
Avg. Drawdown	-2.47%	-2.14%
Avg. Drawdown Days	20	16
Recovery Factor	22.02	23.61
Ulcer Index	0.05	0.04
Serenity Index	9.13	9.68
Avg. Up Month	5.57%	5.49%
Avg. Down Month	-2.46%	-2.53%
Win Days	56.61%	58.0%
Win Month	72.09%	74.42%
Win Quarter	73.33%	73.33%
Win Year	100.0%	100.0%
Beta	0.95	-
Alpha	0.02	-
Correlation	86.9%	-
Treynor Ratio	290.93%	-