SBPS[Strategy] vs INav[Benchmark]

25 Jun, 2021 - 10 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	100.0%
Cumulative Return	-71.25%	-71.3%
CAGR﹪	-22.22%	-22.24%
Sharpe	-0.78	-0.55
Prob. Sharpe Ratio	0.0%	0.01%
Smart Sharpe	-0.55	-0.38
Sortino	-0.8	-0.56
Smart Sortino	-0.57	-0.39
Sortino/√2	-0.57	-0.4
Smart Sortino/√2	-0.4	-0.28
Omega	0.7	0.7
Max Drawdown	-79.84%	-80.24%
Longest DD Days	1701	1566
Volatility (ann.)	42.39%	44.83%
R^2	0.37	0.37
Information Ratio	-0.01	-0.01
Calmar	-0.28	-0.28
Skew	-16.56	-24.54
Kurtosis	320.22	660.38
Expected Daily	-0.16%	-0.16%
Expected Monthly	-3.07%	-3.07%
Expected Yearly	-18.76%	-18.78%
Kelly Criterion	-19.18%	-14.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.5%	-4.72%
Expected Shortfall (cVaR)	-4.5%	-4.72%
Max Consecutive Wins	8	9
Max Consecutive Losses	8	14
Gain/Pain Ratio	-0.24	-0.19
Gain/Pain (1M)	-0.6	-0.48
Payoff Ratio	0.68	0.72
Profit Factor	0.76	0.81
Common Sense Ratio	0.76	0.81
CPC Index	0.27	0.3
Tail Ratio	1.0	1.0
Outlier Win Ratio	3.75	3.76
Outlier Loss Ratio	2.21	2.77
MTD	-0.34%	-0.73%
3M	-5.25%	-5.34%
6M	0.0%	0.11%
YTD	-2.03%	-2.01%
1Y	10.1%	9.65%
3Y (ann.)	-41.14%	-42.45%
5Y (ann.)	-22.83%	-22.8%
10Y (ann.)	-22.22%	-22.24%
All-time (ann.)	-22.22%	-22.24%
Best Day	9.28%	6.02%
Worst Day	-55.92%	-75.93%
Best Month	10.02%	10.32%
Worst Month	-74.58%	-75.97%
Best Year	14.34%	13.57%
Worst Year	-74.58%	-75.97%
Avg. Drawdown	-7.52%	-8.99%
Avg. Drawdown Days	148	162
Recovery Factor	-0.89	-0.89
Ulcer Index	0.67	0.68
Serenity Index	-0.03	-0.03
Avg. Up Month	2.63%	2.6%
Avg. Down Month	-7.15%	-7.2%
Win Days	51.86%	51.9%
Win Month	55.0%	57.5%
Win Quarter	53.33%	66.67%
Win Year	33.33%	50.0%
Beta	0.57	-
Alpha	-0.16	-
Correlation	60.59%	-
Treynor Ratio	-136.59%	-