OPNB[Strategy] vs INav[Benchmark]

21 Sep, 2021 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	98.0%
Cumulative Return	-6.99%	-6.76%
CAGR﹪	-2.78%	-2.68%
Sharpe	-12.84	-30.17
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-11.89	-27.92
Sortino	-11.49	-14.11
Smart Sortino	-10.63	-13.05
Sortino/√2	-8.12	-9.97
Smart Sortino/√2	-7.52	-9.23
Omega	0.05	0.05
Max Drawdown	-25.38%	-11.27%
Longest DD Days	617	589
Volatility (ann.)	16.38%	7.01%
R^2	0.22	0.22
Information Ratio	0.0	0.0
Calmar	-0.11	-0.24
Skew	3.12	-2.92
Kurtosis	148.5	31.27
Expected Daily	-0.01%	-0.01%
Expected Monthly	-0.23%	-0.23%
Expected Yearly	-1.8%	-1.73%
Kelly Criterion	-3.8%	-4.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.7%	-0.74%
Expected Shortfall (cVaR)	-1.7%	-0.74%
Max Consecutive Wins	13	17
Max Consecutive Losses	10	13
Gain/Pain Ratio	-0.03	-0.08
Gain/Pain (1M)	-0.07	-0.18
Payoff Ratio	1.02	0.98
Profit Factor	0.97	0.92
Common Sense Ratio	0.88	1.04
CPC Index	0.47	0.44
Tail Ratio	0.91	1.13
Outlier Win Ratio	3.57	6.06
Outlier Loss Ratio	3.72	5.89
MTD	-0.9%	-0.56%
3M	-4.41%	-4.18%
6M	-1.13%	-0.77%
YTD	-5.11%	-4.43%
1Y	-5.31%	-5.11%
3Y (ann.)	-2.78%	-2.68%
5Y (ann.)	-2.78%	-2.68%
10Y (ann.)	-2.78%	-2.68%
All-time (ann.)	-2.78%	-2.68%
Best Day	16.67%	2.2%
Worst Day	-12.11%	-4.83%
Best Month	24.19%	6.25%
Worst Month	-22.9%	-9.26%
Best Year	-0.33%	-0.56%
Worst Year	-5.11%	-4.43%
Avg. Drawdown	-5.61%	-4.26%
Avg. Drawdown Days	131	153
Recovery Factor	-0.28	-0.6
Ulcer Index	0.06	0.05
Serenity Index	-13.59	-6.5
Avg. Up Month	3.56%	2.18%
Avg. Down Month	-3.4%	-2.38%
Win Days	47.7%	48.37%
Win Month	48.39%	48.39%
Win Quarter	41.67%	41.67%
Win Year	0.0%	0.0%
Beta	1.1	-
Alpha	0.01	-
Correlation	46.94%	-
Treynor Ratio	-644.17%	-