BCSD[Strategy] vs INav[Benchmark]

6 Aug, 2024 - 16 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	97.0%
Cumulative Return	16.25%	16.18%
CAGR﹪	21.44%	21.34%
Sharpe	15.94	11.98
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	13.8	10.37
Sortino	112.37	142.1
Smart Sortino	97.25	122.98
Sortino/√2	79.46	100.48
Smart Sortino/√2	68.76	86.96
Omega	37.86	37.86
Max Drawdown	-0.03%	-0.0%
Longest DD Days	1	1
Volatility (ann.)	0.77%	1.02%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	799.31	21514.82
Skew	0.97	4.36
Kurtosis	0.31	32.54
Expected Daily	0.08%	0.08%
Expected Monthly	1.52%	1.51%
Expected Yearly	7.82%	7.79%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.0%	-0.03%
Expected Shortfall (cVaR)	-0.0%	-0.03%
Max Consecutive Wins	127	94
Max Consecutive Losses	1	1
Gain/Pain Ratio	243.43	15129.61
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	244.43	15130.61
Common Sense Ratio	1564.82	98090.66
CPC Index	-	-
Tail Ratio	6.4	6.48
Outlier Win Ratio	3.16	3.22
Outlier Loss Ratio	0.42	8.77
MTD	0.92%	0.9%
3M	5.34%	5.33%
6M	10.76%	10.79%
YTD	7.98%	8.21%
1Y	16.25%	16.18%
3Y (ann.)	21.44%	21.34%
5Y (ann.)	21.44%	21.34%
10Y (ann.)	21.44%	21.34%
All-time (ann.)	21.44%	21.34%
Best Day	0.22%	0.65%
Worst Day	-0.03%	-0.0%
Best Month	1.81%	1.94%
Worst Month	0.92%	0.9%
Best Year	7.98%	8.21%
Worst Year	7.66%	7.37%
Avg. Drawdown	-0.02%	-0.0%
Avg. Drawdown Days	1	1
Recovery Factor	605.99	16312.62
Ulcer Index	0.0	0.0
Serenity Index	38120.07	69488775.84
Avg. Up Month	1.52%	1.51%
Avg. Down Month	-	-
Win Days	98.47%	99.48%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.05	-
Alpha	0.2	-
Correlation	-7.26%	-
Treynor Ratio	-168.53%	-