SBRB[Strategy] vs INav[Benchmark]

23 Sep, 2019 - 29 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	65.37%	65.39%
CAGR﹪	8.84%	8.84%
Sharpe	0.27	0.43
Prob. Sharpe Ratio	50.58%	92.73%
Smart Sharpe	0.19	0.3
Sortino	0.36	0.56
Smart Sortino	0.25	0.38
Sortino/√2	0.25	0.4
Smart Sortino/√2	0.18	0.27
Omega	1.08	1.08
Max Drawdown	-14.75%	-9.19%
Longest DD Days	193	188
Volatility (ann.)	7.97%	4.47%
R^2	0.58	0.58
Information Ratio	0.0	0.0
Calmar	0.6	0.96
Skew	-3.97	-4.33
Kurtosis	236.61	102.73
Expected Daily	0.03%	0.03%
Expected Monthly	0.71%	0.71%
Expected Yearly	7.45%	7.45%
Kelly Criterion	9.77%	22.14%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.79%	-0.43%
Expected Shortfall (cVaR)	-0.79%	-0.43%
Max Consecutive Wins	11	26
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.36	0.65
Gain/Pain (1M)	2.81	2.8
Payoff Ratio	0.93	0.92
Profit Factor	1.36	1.65
Common Sense Ratio	1.66	2.3
CPC Index	0.71	0.95
Tail Ratio	1.22	1.39
Outlier Win Ratio	3.54	5.95
Outlier Loss Ratio	3.15	5.2
MTD	1.5%	1.67%
3M	8.67%	8.16%
6M	15.45%	15.22%
YTD	20.64%	20.79%
1Y	23.56%	23.34%
3Y (ann.)	12.15%	12.05%
5Y (ann.)	8.8%	8.8%
10Y (ann.)	8.84%	8.84%
All-time (ann.)	8.84%	8.84%
Best Day	8.83%	3.09%
Worst Day	-11.2%	-5.2%
Best Month	4.85%	4.92%
Worst Month	-6.05%	-5.88%
Best Year	20.64%	20.79%
Worst Year	1.48%	1.24%
Avg. Drawdown	-0.48%	-0.31%
Avg. Drawdown Days	10	9
Recovery Factor	4.43	7.11
Ulcer Index	0.01	0.01
Serenity Index	7.86	5.51
Avg. Up Month	1.42%	1.37%
Avg. Down Month	-1.11%	-1.06%
Win Days	56.62%	62.78%
Win Month	73.24%	73.24%
Win Quarter	84.0%	84.0%
Win Year	100.0%	100.0%
Beta	1.36	-
Alpha	-0.03	-
Correlation	76.43%	-
Treynor Ratio	42.89%	-