BCSH[Strategy] vs INav[Benchmark]

2 Dec, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	94.0%
Cumulative Return	-13.66%	-10.73%
CAGR﹪	-46.79%	-38.57%
Sharpe	-1.33	-1.62
Prob. Sharpe Ratio	13.7%	11.02%
Smart Sharpe	-0.91	-1.11
Sortino	-1.83	-2.06
Smart Sortino	-1.25	-1.41
Sortino/√2	-1.3	-1.46
Smart Sortino/√2	-0.89	-1.0
Omega	0.76	0.76
Max Drawdown	-15.94%	-17.23%
Longest DD Days	53	58
Volatility (ann.)	44.81%	31.16%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-2.93	-2.24
Skew	-0.05	-0.37
Kurtosis	8.67	0.58
Expected Daily	-0.25%	-0.19%
Expected Monthly	-4.78%	-3.71%
Expected Yearly	-7.08%	-5.52%
Kelly Criterion	-5.85%	-6.49%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.85%	-3.4%
Expected Shortfall (cVaR)	-4.85%	-3.4%
Max Consecutive Wins	3	4
Max Consecutive Losses	7	5
Gain/Pain Ratio	-0.21	-0.2
Gain/Pain (1M)	-0.81	-0.75
Payoff Ratio	1.35	1.05
Profit Factor	0.79	0.8
Common Sense Ratio	0.95	0.68
CPC Index	0.42	0.38
Tail Ratio	1.2	0.85
Outlier Win Ratio	3.14	4.15
Outlier Loss Ratio	3.84	3.91
MTD	-7.28%	-3.61%
3M	-13.66%	-10.73%
6M	-13.66%	-10.73%
YTD	-15.94%	-13.54%
1Y	-13.66%	-10.73%
3Y (ann.)	-46.79%	-38.57%
5Y (ann.)	-46.79%	-38.57%
10Y (ann.)	-46.79%	-38.57%
All-time (ann.)	-46.79%	-38.57%
Best Day	11.05%	4.09%
Worst Day	-12.22%	-5.62%
Best Month	2.71%	3.25%
Worst Month	-9.34%	-10.3%
Best Year	2.71%	3.25%
Worst Year	-15.94%	-13.54%
Avg. Drawdown	-6.27%	-7.78%
Avg. Drawdown Days	19	26
Recovery Factor	-0.86	-0.62
Ulcer Index	0.08	0.08
Serenity Index	-0.53	-0.32
Avg. Up Month	2.71%	3.25%
Avg. Down Month	-8.31%	-6.95%
Win Days	39.29%	45.45%
Win Month	33.33%	33.33%
Win Quarter	50.0%	50.0%
Win Year	50.0%	50.0%
Beta	-0.04	-
Alpha	-0.55	-
Correlation	-2.84%	-
Treynor Ratio	506.59%	-