SBMX USD[Strategy] vs ^GSPC USD[Benchmark]

24 Sep, 2018 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	36.93%	73.72%
CAGR﹪	5.79%	10.39%
Sharpe	-1.95	-2.68
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.76	-2.42
Sortino	-2.34	-3.3
Smart Sortino	-2.12	-2.99
Sortino/√2	-1.66	-2.34
Smart Sortino/√2	-1.5	-2.11
Omega	0.69	0.69
Max Drawdown	-51.91%	-33.92%
Longest DD Days	910	745
Volatility (ann.)	30.21%	21.17%
R^2	0.13	0.13
Information Ratio	-0.0	-0.0
Calmar	0.11	0.31
Skew	-1.59	-0.42
Kurtosis	13.57	12.57
Expected Daily	0.02%	0.04%
Expected Monthly	0.46%	0.82%
Expected Yearly	4.59%	8.21%
Kelly Criterion	-5.09%	2.82%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.09%	-2.14%
Expected Shortfall (cVaR)	-3.09%	-2.14%
Max Consecutive Wins	12	8
Max Consecutive Losses	8	6
Gain/Pain Ratio	0.07	0.12
Gain/Pain (1M)	0.3	0.58
Payoff Ratio	0.78	0.92
Profit Factor	1.07	1.12
Common Sense Ratio	1.04	1.08
CPC Index	0.45	0.55
Tail Ratio	0.97	0.97
Outlier Win Ratio	3.42	4.72
Outlier Loss Ratio	3.73	5.53
MTD	4.15%	-3.48%
3M	3.98%	4.26%
6M	9.71%	20.27%
YTD	9.33%	6.33%
1Y	22.01%	22.7%
3Y (ann.)	-4.16%	7.06%
5Y (ann.)	4.25%	12.64%
10Y (ann.)	5.79%	10.39%
All-time (ann.)	5.79%	10.39%
Best Day	9.82%	9.38%
Worst Day	-18.9%	-11.98%
Best Month	20.0%	12.68%
Worst Month	-31.93%	-12.51%
Best Year	55.01%	29.59%
Worst Year	-34.78%	-19.65%
Avg. Drawdown	-4.51%	-2.21%
Avg. Drawdown Days	47	22
Recovery Factor	0.71	2.17
Ulcer Index	0.27	0.1
Serenity Index	-0.09	-0.2
Avg. Up Month	5.51%	4.22%
Avg. Down Month	-10.4%	-5.25%
Win Days	53.97%	53.37%
Win Month	64.71%	64.71%
Win Quarter	66.67%	66.67%
Win Year	57.14%	71.43%
Beta	0.52	-
Alpha	0.04	-
Correlation	36.6%	-
Treynor Ratio	-120.76%	-