SBSC[Strategy] vs INav[Benchmark]

23 Oct, 2023 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	-31.43%	-31.28%
CAGR﹪	-17.39%	-17.3%
Sharpe	-0.93	-0.95
Prob. Sharpe Ratio	0.66%	0.63%
Smart Sharpe	-0.87	-0.89
Sortino	-1.26	-1.31
Smart Sortino	-1.18	-1.23
Sortino/√2	-0.89	-0.92
Smart Sortino/√2	-0.84	-0.87
Omega	0.85	0.85
Max Drawdown	-39.78%	-38.77%
Longest DD Days	543	511
Volatility (ann.)	24.39%	23.84%
R^2	0.93	0.93
Information Ratio	0.0	0.0
Calmar	-0.44	-0.45
Skew	0.19	0.36
Kurtosis	2.98	2.97
Expected Daily	-0.07%	-0.07%
Expected Monthly	-1.5%	-1.49%
Expected Yearly	-11.82%	-11.75%
Kelly Criterion	-7.96%	-4.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.59%	-2.53%
Expected Shortfall (cVaR)	-2.59%	-2.53%
Max Consecutive Wins	10	10
Max Consecutive Losses	9	9
Gain/Pain Ratio	-0.11	-0.11
Gain/Pain (1M)	-0.35	-0.35
Payoff Ratio	0.9	0.92
Profit Factor	0.89	0.89
Common Sense Ratio	0.78	0.76
CPC Index	0.39	0.41
Tail Ratio	0.87	0.85
Outlier Win Ratio	3.57	3.74
Outlier Loss Ratio	3.34	3.36
MTD	-6.3%	-6.3%
3M	-4.9%	-4.88%
6M	-10.63%	-10.51%
YTD	-14.29%	-14.53%
1Y	-12.86%	-12.72%
3Y (ann.)	-17.39%	-17.3%
5Y (ann.)	-17.39%	-17.3%
10Y (ann.)	-17.39%	-17.3%
All-time (ann.)	-17.39%	-17.3%
Best Day	8.73%	8.86%
Worst Day	-5.58%	-5.42%
Best Month	13.07%	13.05%
Worst Month	-14.0%	-13.97%
Best Year	-8.28%	-8.12%
Worst Year	-14.29%	-14.53%
Avg. Drawdown	-11.15%	-8.06%
Avg. Drawdown Days	141	88
Recovery Factor	-0.79	-0.81
Ulcer Index	0.23	0.22
Serenity Index	-0.06	-0.07
Avg. Up Month	5.26%	5.23%
Avg. Down Month	-6.39%	-6.35%
Win Days	48.91%	49.9%
Win Month	44.0%	44.0%
Win Quarter	22.22%	22.22%
Win Year	0.0%	0.0%
Beta	0.99	-
Alpha	-0.0	-
Correlation	96.43%	-
Treynor Ratio	-38.96%	-