BCSW[Strategy] vs INav[Benchmark]

16 Apr, 2025 - 18 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	67.0%	67.0%
Cumulative Return	-0.2%	-0.25%
CAGR﹪	-30.3%	-36.47%
Sharpe	-7.14	-12.83
Prob. Sharpe Ratio	-	-
Smart Sharpe	-4.12	-7.41
Sortino	-7.85	-11.17
Smart Sortino	-4.53	-6.45
Sortino/√2	-5.55	-7.9
Smart Sortino/√2	-3.21	-4.56
Omega	0.21	0.21
Max Drawdown	-0.3%	-0.25%
Longest DD Days	1	1
Volatility (ann.)	3.27%	2.15%
R^2	0.93	0.93
Information Ratio	0.2	0.2
Calmar	-102.23	-146.9
Skew	-1.29	-1.72
Kurtosis	-	-
Expected Daily	-0.07%	-0.08%
Expected Monthly	-0.2%	-0.25%
Expected Yearly	-0.2%	-0.25%
Kelly Criterion	-	-
Risk of Ruin	0.04%	1.0%
Daily Value-at-Risk	-0.4%	-0.31%
Expected Shortfall (cVaR)	-0.4%	-0.31%
Max Consecutive Wins	1	0
Max Consecutive Losses	1	2
Gain/Pain Ratio	-0.67	-1.0
Gain/Pain (1M)	-1.0	-1.0
Payoff Ratio	-	-
Profit Factor	0.33	0.0
Common Sense Ratio	0.11	0.0
CPC Index	-	-
Tail Ratio	0.33	0.0
Outlier Win Ratio	0.98	-
Outlier Loss Ratio	0.89	2.12
MTD	-0.2%	-0.25%
3M	-0.2%	-0.25%
6M	-0.2%	-0.25%
YTD	-0.2%	-0.25%
1Y	-0.2%	-0.25%
3Y (ann.)	-30.3%	-36.47%
5Y (ann.)	-30.3%	-36.47%
10Y (ann.)	-30.3%	-36.47%
All-time (ann.)	-30.3%	-36.47%
Best Day	0.1%	0.0%
Worst Day	-0.3%	-0.24%
Best Month	-0.2%	-0.25%
Worst Month	-0.2%	-0.25%
Best Year	-0.2%	-0.25%
Worst Year	-0.2%	-0.25%
Avg. Drawdown	-0.3%	-0.25%
Avg. Drawdown Days	1	1
Recovery Factor	-0.67	-1.0
Ulcer Index	0.0	0.0
Serenity Index	-14.24	-10.23
Avg. Up Month	-	-
Avg. Down Month	-0.2%	-0.25%
Win Days	50.0%	0.0%
Win Month	0.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	1.46	-
Alpha	0.14	-
Correlation	96.21%	-
Treynor Ratio	-4.93%	-