BCSB[Strategy] vs INav[Benchmark]

24 Mar, 2021 - 29 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	74.0%
Cumulative Return	62.07%	62.53%
CAGR﹪	9.93%	9.99%
Sharpe	0.25	0.39
Prob. Sharpe Ratio	13.69%	55.52%
Smart Sharpe	0.14	0.22
Sortino	0.35	0.48
Smart Sortino	0.2	0.27
Sortino/√2	0.25	0.34
Smart Sortino/√2	0.14	0.19
Omega	1.09	1.09
Max Drawdown	-29.99%	-19.38%
Longest DD Days	253	234
Volatility (ann.)	18.88%	8.33%
R^2	0.64	0.64
Information Ratio	0.01	0.01
Calmar	0.33	0.52
Skew	0.9	-10.3
Kurtosis	302.48	334.71
Expected Daily	0.04%	0.04%
Expected Monthly	0.79%	0.8%
Expected Yearly	8.38%	8.43%
Kelly Criterion	-1.53%	20.45%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.91%	-0.82%
Expected Shortfall (cVaR)	-1.91%	-0.82%
Max Consecutive Wins	9	21
Max Consecutive Losses	9	11
Gain/Pain Ratio	0.22	0.56
Gain/Pain (1M)	2.98	1.85
Payoff Ratio	0.8	0.71
Profit Factor	1.22	1.56
Common Sense Ratio	1.42	1.87
CPC Index	0.54	0.74
Tail Ratio	1.16	1.19
Outlier Win Ratio	3.29	9.86
Outlier Loss Ratio	2.98	4.87
MTD	1.41%	1.44%
3M	6.53%	5.87%
6M	8.6%	7.99%
YTD	6.89%	6.64%
1Y	24.37%	24.58%
3Y (ann.)	12.32%	12.7%
5Y (ann.)	10.01%	10.14%
10Y (ann.)	9.93%	9.99%
All-time (ann.)	9.93%	9.99%
Best Day	25.56%	7.45%
Worst Day	-24.07%	-12.97%
Best Month	6.35%	6.44%
Worst Month	-9.42%	-10.6%
Best Year	26.31%	26.01%
Worst Year	2.97%	2.81%
Avg. Drawdown	-1.04%	-0.91%
Avg. Drawdown Days	13	18
Recovery Factor	2.07	3.23
Ulcer Index	0.03	0.03
Serenity Index	2.81	1.99
Avg. Up Month	1.82%	1.8%
Avg. Down Month	-2.25%	-2.43%
Win Days	54.91%	67.03%
Win Month	75.41%	76.67%
Win Quarter	77.27%	81.82%
Win Year	100.0%	100.0%
Beta	1.81	-
Alpha	-0.07	-
Correlation	79.94%	-
Treynor Ratio	30.39%	-