BCSD[Strategy] vs INav[Benchmark]

6 Aug, 2024 - 27 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	97.0%
Cumulative Return	42.14%	42.18%
CAGR﹪	18.64%	18.65%
Sharpe	13.75	11.37
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	11.46	9.48
Sortino	79.7	117.47
Smart Sortino	66.45	97.94
Sortino/√2	56.35	83.06
Smart Sortino/√2	46.99	69.25
Omega	18.39	18.39
Max Drawdown	-0.03%	-0.0%
Longest DD Days	1	3
Volatility (ann.)	0.74%	0.9%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	694.84	8551.78
Skew	1.03	4.26
Kurtosis	0.77	33.56
Expected Daily	0.07%	0.07%
Expected Monthly	1.42%	1.42%
Expected Yearly	12.44%	12.45%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.01%	-0.03%
Expected Shortfall (cVaR)	-0.01%	-0.03%
Max Consecutive Wins	127	94
Max Consecutive Losses	1	1
Gain/Pain Ratio	244.49	4147.73
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	245.49	4148.73
Common Sense Ratio	5339.42	21006.31
CPC Index	-	-
Tail Ratio	21.75	5.06
Outlier Win Ratio	2.79	2.83
Outlier Loss Ratio	0.29	2.47
MTD	0.91%	0.98%
3M	3.51%	3.51%
6M	7.14%	7.14%
YTD	9.52%	9.75%
1Y	16.09%	16.04%
3Y (ann.)	18.64%	18.65%
5Y (ann.)	18.64%	18.65%
10Y (ann.)	18.64%	18.65%
All-time (ann.)	18.64%	18.65%
Best Day	0.25%	0.65%
Worst Day	-0.03%	-0.0%
Best Month	1.81%	1.94%
Worst Month	0.91%	0.98%
Best Year	20.55%	20.66%
Worst Year	7.66%	7.37%
Avg. Drawdown	-0.01%	-0.0%
Avg. Drawdown Days	1	1
Recovery Factor	1571.03	19337.18
Ulcer Index	0.0	0.0
Serenity Index	189302.05	38948739.23
Avg. Up Month	1.42%	1.42%
Avg. Down Month	-	-
Win Days	98.03%	99.01%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.04	-
Alpha	0.18	-
Correlation	-5.02%	-
Treynor Ratio	-847.98%	-