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

15 Jul, 2019 - 3 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	36.0%	99.0%
Cumulative Return	11.45%	150.66%
CAGR﹪	1.65%	14.85%
Sharpe	-0.22	0.45
Prob. Sharpe Ratio	0.96%	20.05%
Smart Sharpe	-0.19	0.39
Sortino	-0.28	0.62
Smart Sortino	-0.24	0.54
Sortino/√2	-0.2	0.44
Smart Sortino/√2	-0.17	0.38
Omega	0.93	0.93
Max Drawdown	-33.99%	-33.79%
Longest DD Days	1519	708
Volatility (ann.)	16.81%	20.15%
R^2	0.04	0.04
Information Ratio	-0.03	-0.03
Calmar	0.05	0.44
Skew	-4.11	-0.34
Kurtosis	90.14	14.62
Expected Daily	0.01%	0.05%
Expected Monthly	0.13%	1.14%
Expected Yearly	1.36%	12.17%
Kelly Criterion	6.34%	4.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.73%	-2.03%
Expected Shortfall (cVaR)	-1.73%	-2.03%
Max Consecutive Wins	8	9
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.07	0.16
Gain/Pain (1M)	0.31	1.02
Payoff Ratio	0.91	0.89
Profit Factor	1.07	1.16
Common Sense Ratio	1.21	1.11
CPC Index	0.54	0.57
Tail Ratio	1.14	0.95
Outlier Win Ratio	12.94	3.7
Outlier Loss Ratio	2.98	3.9
MTD	0.0%	-0.89%
3M	0.0%	0.11%
6M	0.0%	6.89%
YTD	0.0%	-0.22%
1Y	0.0%	15.95%
3Y (ann.)	0.0%	20.61%
5Y (ann.)	-3.71%	12.99%
10Y (ann.)	1.65%	14.85%
All-time (ann.)	1.65%	14.85%
Best Day	10.58%	9.52%
Worst Day	-19.48%	-11.98%
Best Month	10.66%	12.82%
Worst Month	-24.3%	-12.35%
Best Year	29.06%	28.71%
Worst Year	-29.74%	-18.11%
Avg. Drawdown	-2.47%	-1.77%
Avg. Drawdown Days	38	16
Recovery Factor	0.34	4.46
Ulcer Index	0.24	0.08
Serenity Index	0.0	1.39
Avg. Up Month	4.21%	4.51%
Avg. Down Month	-7.66%	-4.73%
Win Days	55.35%	55.01%
Win Month	71.88%	64.2%
Win Quarter	72.73%	70.37%
Win Year	75.0%	75.0%
Beta	0.16	-
Alpha	0.01	-
Correlation	19.6%	-
Treynor Ratio	27.21%	-