OPNB[Strategy] vs INav[Benchmark]

21 Sep, 2021 - 24 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	99.0%
Cumulative Return	6.55%	6.28%
CAGR﹪	1.56%	1.5%
Sharpe	-0.29	-0.6
Prob. Sharpe Ratio	2.91%	3.76%
Smart Sharpe	-0.28	-0.58
Sortino	-0.43	-0.84
Smart Sortino	-0.42	-0.82
Sortino/√2	-0.3	-0.59
Smart Sortino/√2	-0.3	-0.58
Omega	0.93	0.93
Max Drawdown	-25.38%	-21.58%
Longest DD Days	1055	1024
Volatility (ann.)	14.47%	8.24%
R^2	0.31	0.31
Information Ratio	0.0	0.0
Calmar	0.06	0.07
Skew	2.97	0.11
Kurtosis	150.91	18.25
Expected Daily	0.01%	0.01%
Expected Monthly	0.13%	0.12%
Expected Yearly	1.28%	1.23%
Kelly Criterion	2.09%	4.23%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.49%	-0.85%
Expected Shortfall (cVaR)	-1.49%	-0.85%
Max Consecutive Wins	13	17
Max Consecutive Losses	10	13
Gain/Pain Ratio	0.05	0.05
Gain/Pain (1M)	0.14	0.13
Payoff Ratio	1.11	1.15
Profit Factor	1.05	1.05
Common Sense Ratio	1.06	1.12
CPC Index	0.56	0.59
Tail Ratio	1.01	1.07
Outlier Win Ratio	3.51	4.75
Outlier Loss Ratio	3.23	4.44
MTD	0.4%	0.19%
3M	-0.49%	-0.9%
6M	10.72%	10.49%
YTD	15.21%	15.02%
1Y	27.41%	26.82%
3Y (ann.)	3.08%	2.97%
5Y (ann.)	1.56%	1.5%
10Y (ann.)	1.56%	1.5%
All-time (ann.)	1.56%	1.5%
Best Day	16.67%	4.23%
Worst Day	-12.11%	-4.83%
Best Month	24.19%	9.74%
Worst Month	-22.9%	-9.26%
Best Year	15.21%	15.02%
Worst Year	-5.64%	-5.29%
Avg. Drawdown	-3.68%	-3.21%
Avg. Drawdown Days	90	103
Recovery Factor	0.26	0.29
Ulcer Index	0.09	0.09
Serenity Index	-0.0	-0.0
Avg. Up Month	3.56%	2.71%
Avg. Down Month	-3.35%	-2.67%
Win Days	48.53%	48.8%
Win Month	51.02%	55.1%
Win Quarter	55.56%	55.56%
Win Year	20.0%	20.0%
Beta	0.98	-
Alpha	0.01	-
Correlation	56.01%	-
Treynor Ratio	-0.45%	-