BCSR[Strategy] vs INav[Benchmark]

3 Dec, 2024 - 29 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	15.36%	14.88%
CAGR﹪	10.72%	10.4%
Sharpe	0.26	0.25
Prob. Sharpe Ratio	25.08%	24.66%
Smart Sharpe	0.24	0.23
Sortino	0.41	0.4
Smart Sortino	0.38	0.37
Sortino/√2	0.29	0.28
Smart Sortino/√2	0.27	0.26
Omega	1.05	1.05
Max Drawdown	-21.51%	-21.0%
Longest DD Days	435	427
Volatility (ann.)	23.3%	22.94%
R^2	0.63	0.63
Information Ratio	0.0	0.0
Calmar	0.5	0.5
Skew	0.86	1.2
Kurtosis	3.97	5.91
Expected Daily	0.04%	0.04%
Expected Monthly	0.84%	0.82%
Expected Yearly	4.88%	4.73%
Kelly Criterion	4.87%	5.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.36%	-2.33%
Expected Shortfall (cVaR)	-2.36%	-2.33%
Max Consecutive Wins	6	8
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.1	0.1
Gain/Pain (1M)	0.61	0.58
Payoff Ratio	1.09	1.14
Profit Factor	1.1	1.1
Common Sense Ratio	1.22	1.24
CPC Index	0.6	0.62
Tail Ratio	1.11	1.12
Outlier Win Ratio	3.74	3.62
Outlier Loss Ratio	2.83	3.1
MTD	-4.03%	-3.99%
3M	-4.85%	-5.03%
6M	6.57%	6.58%
YTD	-2.86%	-3.06%
1Y	-5.65%	-6.9%
3Y (ann.)	10.72%	10.4%
5Y (ann.)	10.72%	10.4%
10Y (ann.)	10.72%	10.4%
All-time (ann.)	10.72%	10.4%
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	-2.86%	-3.06%
Avg. Drawdown	-4.7%	-3.66%
Avg. Drawdown Days	54	44
Recovery Factor	0.71	0.71
Ulcer Index	0.12	0.11
Serenity Index	0.05	0.06
Avg. Up Month	6.01%	6.0%
Avg. Down Month	-3.43%	-3.49%
Win Days	50.45%	49.58%
Win Month	47.06%	47.06%
Win Quarter	57.14%	57.14%
Win Year	66.67%	66.67%
Beta	0.81	-
Alpha	0.03	-
Correlation	79.5%	-
Treynor Ratio	10.35%	-