BCSR[Strategy] vs INav[Benchmark]

3 Dec, 2024 - 15 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	9.48%	9.25%
CAGR﹪	11.03%	10.76%
Sharpe	0.27	0.26
Prob. Sharpe Ratio	29.03%	28.83%
Smart Sharpe	0.25	0.24
Sortino	0.41	0.4
Smart Sortino	0.38	0.37
Sortino/√2	0.29	0.29
Smart Sortino/√2	0.27	0.26
Omega	1.05	1.05
Max Drawdown	-19.22%	-19.0%
Longest DD Days	239	231
Volatility (ann.)	25.89%	25.22%
R^2	0.55	0.55
Information Ratio	0.0	0.0
Calmar	0.57	0.57
Skew	0.74	1.1
Kurtosis	3.0	4.85
Expected Daily	0.04%	0.04%
Expected Monthly	0.83%	0.81%
Expected Yearly	4.63%	4.52%
Kelly Criterion	4.07%	6.44%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.63%	-2.56%
Expected Shortfall (cVaR)	-2.63%	-2.56%
Max Consecutive Wins	6	8
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.09	0.09
Gain/Pain (1M)	0.51	0.5
Payoff Ratio	1.03	1.08
Profit Factor	1.09	1.09
Common Sense Ratio	1.24	1.2
CPC Index	0.58	0.61
Tail Ratio	1.13	1.1
Outlier Win Ratio	3.41	3.44
Outlier Loss Ratio	2.6	2.83
MTD	-4.75%	-4.56%
3M	-4.92%	-3.79%
6M	-4.84%	-4.77%
YTD	-5.77%	-5.41%
1Y	9.48%	9.25%
3Y (ann.)	11.03%	10.76%
5Y (ann.)	11.03%	10.76%
10Y (ann.)	11.03%	10.76%
All-time (ann.)	11.03%	10.76%
Best Day	8.43%	9.19%
Worst Day	-4.2%	-3.52%
Best Month	16.19%	15.5%
Worst Month	-7.55%	-7.54%
Best Year	16.19%	15.5%
Worst Year	-5.77%	-5.41%
Avg. Drawdown	-4.44%	-3.48%
Avg. Drawdown Days	32	26
Recovery Factor	0.49	0.49
Ulcer Index	0.11	0.1
Serenity Index	0.02	0.02
Avg. Up Month	7.15%	7.0%
Avg. Down Month	-4.02%	-3.97%
Win Days	51.42%	51.36%
Win Month	45.45%	45.45%
Win Quarter	40.0%	40.0%
Win Year	50.0%	50.0%
Beta	0.76	-
Alpha	0.04	-
Correlation	74.39%	-
Treynor Ratio	3.25%	-