BCSB[Strategy] vs INav[Benchmark]

24 Mar, 2021 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	94.0%	67.0%
Cumulative Return	18.49%	20.04%
CAGR﹪	5.64%	6.09%
Sharpe	-8.61	-19.88
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-4.66	-10.76
Sortino	-9.12	-12.79
Smart Sortino	-4.94	-6.92
Sortino/√2	-6.45	-9.04
Smart Sortino/√2	-3.49	-4.9
Omega	0.09	0.09
Max Drawdown	-29.99%	-19.38%
Longest DD Days	253	234
Volatility (ann.)	23.28%	10.17%
R^2	0.7	0.7
Information Ratio	0.01	0.01
Calmar	0.19	0.31
Skew	0.82	-9.52
Kurtosis	218.52	250.17
Expected Daily	0.02%	0.02%
Expected Monthly	0.46%	0.49%
Expected Yearly	4.33%	4.67%
Kelly Criterion	-9.58%	11.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.38%	-1.03%
Expected Shortfall (cVaR)	-2.38%	-1.03%
Max Consecutive Wins	9	16
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.15	0.34
Gain/Pain (1M)	2.06	1.0
Payoff Ratio	0.65	0.55
Profit Factor	1.15	1.34
Common Sense Ratio	1.36	1.79
CPC Index	0.43	0.51
Tail Ratio	1.18	1.34
Outlier Win Ratio	3.86	12.46
Outlier Loss Ratio	3.07	4.46
MTD	0.74%	0.93%
3M	2.14%	2.31%
6M	4.93%	5.36%
YTD	3.01%	3.1%
1Y	4.18%	6.02%
3Y (ann.)	5.52%	6.09%
5Y (ann.)	5.64%	6.09%
10Y (ann.)	5.64%	6.09%
All-time (ann.)	5.64%	6.09%
Best Day	25.56%	7.45%
Worst Day	-24.07%	-12.97%
Best Month	5.46%	6.44%
Worst Month	-9.42%	-10.6%
Best Year	6.54%	7.39%
Worst Year	2.97%	2.81%
Avg. Drawdown	-1.11%	-1.18%
Avg. Drawdown Days	14	22
Recovery Factor	0.62	1.03
Ulcer Index	0.04	0.03
Serenity Index	-30.46	-21.9
Avg. Up Month	1.43%	1.42%
Avg. Down Month	-3.09%	-3.43%
Win Days	56.7%	68.53%
Win Month	75.68%	78.38%
Win Quarter	71.43%	78.57%
Win Year	100.0%	100.0%
Beta	1.92	-
Alpha	-0.04	-
Correlation	83.91%	-
Treynor Ratio	-354.85%	-