SBRB[Strategy] vs INav[Benchmark]

23 Sep, 2019 - 2 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	47.68%	48.2%
CAGR﹪	7.31%	7.37%
Sharpe	0.09	0.12
Prob. Sharpe Ratio	35.05%	81.11%
Smart Sharpe	0.06	0.08
Sortino	0.12	0.16
Smart Sortino	0.08	0.11
Sortino/√2	0.08	0.11
Smart Sortino/√2	0.06	0.08
Omega	1.03	1.03
Max Drawdown	-14.75%	-9.19%
Longest DD Days	193	188
Volatility (ann.)	8.19%	4.58%
R^2	0.59	0.59
Information Ratio	0.0	0.0
Calmar	0.5	0.8
Skew	-3.9	-4.29
Kurtosis	227.15	100.52
Expected Daily	0.03%	0.03%
Expected Monthly	0.58%	0.59%
Expected Yearly	5.73%	5.78%
Kelly Criterion	7.9%	18.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.82%	-0.45%
Expected Shortfall (cVaR)	-0.82%	-0.45%
Max Consecutive Wins	8	11
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.29	0.53
Gain/Pain (1M)	2.2	2.19
Payoff Ratio	0.94	0.91
Profit Factor	1.29	1.53
Common Sense Ratio	1.56	2.01
CPC Index	0.67	0.85
Tail Ratio	1.21	1.32
Outlier Win Ratio	3.58	6.12
Outlier Loss Ratio	3.13	5.2
MTD	0.08%	0.1%
3M	7.73%	8.24%
6M	11.37%	10.94%
YTD	7.73%	8.24%
1Y	11.98%	12.09%
3Y (ann.)	10.64%	10.72%
5Y (ann.)	7.1%	7.15%
10Y (ann.)	7.31%	7.37%
All-time (ann.)	7.31%	7.37%
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	10.37%	10.17%
Worst Year	1.48%	1.24%
Avg. Drawdown	-0.52%	-0.32%
Avg. Drawdown Days	11	10
Recovery Factor	3.23	5.24
Ulcer Index	0.01	0.01
Serenity Index	5.25	3.7
Avg. Up Month	1.29%	1.25%
Avg. Down Month	-1.11%	-1.06%
Win Days	55.37%	61.19%
Win Month	71.64%	71.64%
Win Quarter	83.33%	83.33%
Win Year	100.0%	100.0%
Beta	1.37	-
Alpha	-0.03	-
Correlation	76.65%	-
Treynor Ratio	29.64%	-