SBRB[Strategy] vs INav[Benchmark]

23 Sep, 2019 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	97.0%	100.0%
Cumulative Return	32.23%	32.77%
CAGR﹪	6.3%	6.39%
Sharpe	-23.96	-45.03
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-15.41	-28.96
Sortino	-13.68	-14.99
Smart Sortino	-8.8	-9.64
Sortino/√2	-9.67	-10.6
Smart Sortino/√2	-6.22	-6.82
Omega	0.01	0.01
Max Drawdown	-14.75%	-9.19%
Longest DD Days	193	188
Volatility (ann.)	8.44%	4.49%
R^2	0.6	0.6
Information Ratio	0.0	0.0
Calmar	0.43	0.7
Skew	-4.6	-6.66
Kurtosis	243.91	119.23
Expected Daily	0.02%	0.03%
Expected Monthly	0.51%	0.52%
Expected Yearly	4.77%	4.84%
Kelly Criterion	6.63%	16.44%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.85%	-0.44%
Expected Shortfall (cVaR)	-0.85%	-0.44%
Max Consecutive Wins	8	11
Max Consecutive Losses	5	9
Gain/Pain Ratio	0.27	0.49
Gain/Pain (1M)	1.86	1.93
Payoff Ratio	0.89	0.85
Profit Factor	1.27	1.49
Common Sense Ratio	1.49	2.18
CPC Index	0.63	0.78
Tail Ratio	1.17	1.46
Outlier Win Ratio	3.7	6.35
Outlier Loss Ratio	3.35	5.63
MTD	0.45%	0.4%
3M	2.13%	2.5%
6M	4.07%	4.66%
YTD	3.56%	3.86%
1Y	3.89%	4.27%
3Y (ann.)	6.06%	6.13%
5Y (ann.)	6.3%	6.39%
10Y (ann.)	6.3%	6.39%
All-time (ann.)	6.3%	6.39%
Best Day	8.83%	2.09%
Worst Day	-11.2%	-5.2%
Best Month	4.76%	4.92%
Worst Month	-6.05%	-5.88%
Best Year	10.37%	10.17%
Worst Year	1.48%	1.24%
Avg. Drawdown	-0.47%	-0.29%
Avg. Drawdown Days	10	9
Recovery Factor	2.19	3.57
Ulcer Index	0.01	0.01
Serenity Index	-91.39	-61.16
Avg. Up Month	1.17%	1.11%
Avg. Down Month	-1.25%	-1.14%
Win Days	55.91%	61.5%
Win Month	72.73%	74.55%
Win Quarter	85.0%	85.0%
Win Year	100.0%	100.0%
Beta	1.46	-
Alpha	-0.03	-
Correlation	77.63%	-
Treynor Ratio	-458.18%	-