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

17 Jun, 2021 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	-9.77%	26.28%
CAGR﹪	-3.53%	8.5%
Sharpe	-2.61	-2.4
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.82	-1.67
Sortino	-3.27	-3.69
Smart Sortino	-2.28	-2.57
Sortino/√2	-2.32	-2.61
Smart Sortino/√2	-1.61	-1.82
Omega	0.45	0.45
Max Drawdown	-29.41%	-10.4%
Longest DD Days	912	723
Volatility (ann.)	28.88%	18.54%
R^2	0.01	0.01
Information Ratio	-0.06	-0.06
Calmar	-0.12	0.82
Skew	-1.71	4.62
Kurtosis	66.83	49.49
Expected Daily	-0.04%	0.09%
Expected Monthly	-0.73%	1.68%
Expected Yearly	-2.54%	6.01%
Kelly Criterion	-14.88%	2.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.02%	-1.82%
Expected Shortfall (cVaR)	-3.02%	-1.82%
Max Consecutive Wins	8	7
Max Consecutive Losses	6	6
Gain/Pain Ratio	-0.06	0.32
Gain/Pain (1M)	-0.28	1.54
Payoff Ratio	0.65	0.85
Profit Factor	0.94	1.32
Common Sense Ratio	0.75	1.25
CPC Index	0.34	0.62
Tail Ratio	0.8	0.94
Outlier Win Ratio	2.96	2.74
Outlier Loss Ratio	2.9	3.71
MTD	1.2%	-2.87%
3M	0.78%	4.58%
6M	3.99%	20.45%
YTD	9.74%	7.38%
1Y	3.99%	20.45%
3Y (ann.)	-3.53%	8.5%
5Y (ann.)	-3.53%	8.5%
10Y (ann.)	-3.53%	8.5%
All-time (ann.)	-3.53%	8.5%
Best Day	15.39%	12.48%
Worst Day	-18.84%	-2.43%
Best Month	8.26%	12.16%
Worst Month	-9.12%	-5.42%
Best Year	9.74%	14.0%
Worst Year	-12.31%	-8.04%
Avg. Drawdown	-3.85%	-1.44%
Avg. Drawdown Days	101	26
Recovery Factor	-0.33	2.53
Ulcer Index	0.11	0.03
Serenity Index	-0.9	-5.4
Avg. Up Month	3.14%	3.74%
Avg. Down Month	-5.72%	-2.96%
Win Days	54.58%	54.98%
Win Month	42.86%	64.29%
Win Quarter	42.86%	71.43%
Win Year	25.0%	75.0%
Beta	0.12	-
Alpha	-0.09	-
Correlation	7.83%	-
Treynor Ratio	-900.26%	-