SBRB USD[Strategy] vs ^SP500TR USD[Benchmark]

12 Sep, 2019 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	-6.61%	80.85%
CAGR﹪	-1.47%	13.68%
Sharpe	-3.02	-2.43
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-3.01	-2.42
Sortino	-3.65	-3.03
Smart Sortino	-3.63	-3.02
Sortino/√2	-2.58	-2.15
Smart Sortino/√2	-2.57	-2.14
Omega	0.53	0.53
Max Drawdown	-44.2%	-33.79%
Longest DD Days	850	708
Volatility (ann.)	22.63%	21.97%
R^2	0.06	0.06
Information Ratio	-0.03	-0.03
Calmar	-0.03	0.4
Skew	-1.57	-0.44
Kurtosis	33.62	12.91
Expected Daily	-0.01%	0.05%
Expected Monthly	-0.12%	1.08%
Expected Yearly	-1.13%	10.38%
Kelly Criterion	-7.84%	6.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.34%	-2.21%
Expected Shortfall (cVaR)	-2.34%	-2.21%
Max Consecutive Wins	10	8
Max Consecutive Losses	12	6
Gain/Pain Ratio	0.01	0.15
Gain/Pain (1M)	0.04	0.81
Payoff Ratio	0.8	1.0
Profit Factor	1.01	1.15
Common Sense Ratio	1.01	1.16
CPC Index	0.42	0.62
Tail Ratio	1.0	1.0
Outlier Win Ratio	4.39	3.95
Outlier Loss Ratio	4.54	4.44
MTD	1.29%	-3.85%
3M	-1.45%	4.07%
6M	6.35%	19.76%
YTD	1.95%	6.3%
1Y	-8.19%	23.95%
3Y (ann.)	-1.76%	8.2%
5Y (ann.)	-1.47%	13.68%
10Y (ann.)	-1.47%	13.68%
All-time (ann.)	-1.47%	13.68%
Best Day	11.78%	9.39%
Worst Day	-17.92%	-11.98%
Best Month	22.84%	12.82%
Worst Month	-15.79%	-12.35%
Best Year	17.92%	29.88%
Worst Year	-20.38%	-18.32%
Avg. Drawdown	-5.55%	-1.8%
Avg. Drawdown Days	84	17
Recovery Factor	-0.15	2.39
Ulcer Index	0.22	0.1
Serenity Index	-0.19	-0.15
Avg. Up Month	3.63%	4.81%
Avg. Down Month	-6.53%	-4.24%
Win Days	52.14%	53.32%
Win Month	50.91%	63.64%
Win Quarter	50.0%	65.0%
Win Year	66.67%	83.33%
Beta	0.24	-
Alpha	-0.03	-
Correlation	23.52%	-
Treynor Ratio	-440.02%	-