BCSR[Strategy] vs INav[Benchmark]

3 Dec, 2024 - 16 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	100.0%
Cumulative Return	16.49%	16.0%
CAGR﹪	40.47%	39.13%
Sharpe	1.05	1.04
Prob. Sharpe Ratio	54.44%	54.64%
Smart Sharpe	1.01	1.0
Sortino	1.7	1.82
Smart Sortino	1.64	1.75
Sortino/√2	1.2	1.29
Smart Sortino/√2	1.16	1.24
Omega	1.2	1.2
Max Drawdown	-18.69%	-19.0%
Longest DD Days	87	79
Volatility (ann.)	30.01%	28.91%
R^2	0.49	0.49
Information Ratio	0.0	0.0
Calmar	2.17	2.06
Skew	0.79	1.34
Kurtosis	2.73	4.95
Expected Daily	0.13%	0.13%
Expected Monthly	2.58%	2.5%
Expected Yearly	7.93%	7.7%
Kelly Criterion	12.12%	11.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.96%	-2.85%
Expected Shortfall (cVaR)	-2.96%	-2.85%
Max Consecutive Wins	6	5
Max Consecutive Losses	5	14
Gain/Pain Ratio	0.24	0.25
Gain/Pain (1M)	1.59	1.68
Payoff Ratio	1.14	1.29
Profit Factor	1.24	1.25
Common Sense Ratio	1.45	1.46
CPC Index	0.75	0.81
Tail Ratio	1.16	1.17
Outlier Win Ratio	3.95	3.88
Outlier Loss Ratio	2.56	3.03
MTD	-2.92%	-2.48%
3M	-10.17%	-9.47%
6M	16.49%	16.0%
YTD	0.27%	0.43%
1Y	16.49%	16.0%
3Y (ann.)	40.47%	39.13%
5Y (ann.)	40.47%	39.13%
10Y (ann.)	40.47%	39.13%
All-time (ann.)	40.47%	39.13%
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	0.27%	0.43%
Avg. Drawdown	-4.38%	-3.48%
Avg. Drawdown Days	15	13
Recovery Factor	0.88	0.84
Ulcer Index	0.08	0.07
Serenity Index	0.16	0.16
Avg. Up Month	9.51%	8.99%
Avg. Down Month	-3.77%	-3.47%
Win Days	53.21%	50.44%
Win Month	50.0%	50.0%
Win Quarter	66.67%	66.67%
Win Year	100.0%	100.0%
Beta	0.73	-
Alpha	0.11	-
Correlation	70.24%	-
Treynor Ratio	13.02%	-