Benchmark Comparison Discipline

Benchmark Comparison Discipline runs the benchmark comparison discipline — testing an edge against the naive alternative — as the first tool-form implementation of the concept. It simulates a simple signal and plots Strategy equity against the passive Benchmark, an Exposure-Matched Benchmark scaled by time in market, and the average of Random-Timing Baseline twins that mimic its trade frequency. A dashboard adds returns, Sharpe ratios, drawdowns, exposures, an era breakdown and two verdicts.

How to Trade the Benchmark Comparison Discipline?

• Risk-adjusted verdict row: Sharpe against Sharpe decides the gate — raw return never does.
• Exposure-Matched row: a part-time system is measured against holding its exposure fraction in the benchmark, not an always-invested index.
• Random twins row: barely beating chance-timed twins means the entries contribute little.
• Era breakdown: strategy versus benchmark within bull and bear regimes — one era cannot carry the verdict.

Benchmark Comparison Discipline Settings

• Entry Signal (default MA Cross): the strategy under test; External Signal (default close), long above zero, runs any indicator through the same gate.
• Fast MA Length (default 20) and Slow MA Length (default 50): the EMA pair; the slow one also drives Price vs MA.
• RSI Length (default 14) and RSI Level (default 50): drive RSI Regime.
• Position Mode (default Long / Flat).
• Passive Benchmark (default Chart Buy & Hold) with Benchmark Symbol (default SP:SPX) for Other Symbol mode.
• Risk-Free Rate (Annual %) (default 0): compounds cash and sets the Sharpe excess.
• Exposure-Matched Benchmark (default enabled); Random-Timing Twins (0 = Off) (default 10) with Random Seed (default 1).
• Era Filter MA Length (default 200), Periods Per Year (0 = Auto) (default 0), and Window (default All History) plus Start Date.
• Dashboard and style toggles cover the panel and fill.

Frequently Asked Questions

Why compare against random-timing twins?

Entry timing is what a signal claims credit for; the twins keep its position mode and trade frequency but replace timing with chance. For a full distribution with percentile envelopes, Random Entry Baselines is the dedicated tool.

Which benchmark should I choose?

Buy-and-hold of the chart symbol is the natural bar for a long/flat system. Long/short systems are always exposed, so cash is often the fairer comparison.

Is this a full backtester?

No — it is an accounting layer: positions apply to the next bar's return with no fills, slippage or sizing model, so every side is compared on identical terms.