BCSR[Strategy] vs INav[Benchmark]

3 Dec, 2024 - 18 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	100.0%
Cumulative Return	20.21%	19.17%
CAGR﹪	34.44%	32.58%
Sharpe	0.95	0.92
Prob. Sharpe Ratio	52.6%	52.08%
Smart Sharpe	0.9	0.87
Sortino	1.52	1.54
Smart Sortino	1.44	1.46
Sortino/√2	1.08	1.09
Smart Sortino/√2	1.02	1.03
Omega	1.18	1.18
Max Drawdown	-18.69%	-19.0%
Longest DD Days	150	142
Volatility (ann.)	27.86%	26.84%
R^2	0.53	0.53
Information Ratio	0.01	0.01
Calmar	1.84	1.72
Skew	0.77	1.19
Kurtosis	2.84	4.94
Expected Daily	0.12%	0.11%
Expected Monthly	2.33%	2.22%
Expected Yearly	9.64%	9.17%
Kelly Criterion	9.54%	12.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.75%	-2.66%
Expected Shortfall (cVaR)	-2.75%	-2.66%
Max Consecutive Wins	6	8
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.23	0.23
Gain/Pain (1M)	1.89	1.93
Payoff Ratio	1.1	1.17
Profit Factor	1.23	1.23
Common Sense Ratio	1.43	1.34
CPC Index	0.71	0.76
Tail Ratio	1.17	1.1
Outlier Win Ratio	3.71	3.79
Outlier Loss Ratio	2.52	2.79
MTD	1.75%	0.85%
3M	1.22%	2.31%
6M	0.78%	0.42%
YTD	3.46%	3.18%
1Y	20.21%	19.17%
3Y (ann.)	34.44%	32.58%
5Y (ann.)	34.44%	32.58%
10Y (ann.)	34.44%	32.58%
All-time (ann.)	34.44%	32.58%
Best Day	8.43%	9.19%
Worst Day	-4.2%	-3.32%
Best Month	16.19%	15.5%
Worst Month	-6.46%	-5.72%
Best Year	16.19%	15.5%
Worst Year	3.46%	3.18%
Avg. Drawdown	-4.38%	-3.48%
Avg. Drawdown Days	22	18
Recovery Factor	1.08	1.01
Ulcer Index	0.1	0.1
Serenity Index	0.13	0.12
Avg. Up Month	6.39%	6.02%
Avg. Down Month	-3.86%	-3.61%
Win Days	52.67%	52.87%
Win Month	62.5%	62.5%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	0.75	-
Alpha	0.09	-
Correlation	72.51%	-
Treynor Ratio	17.55%	-