OPNR USD[Strategy] vs ^SP500TR USD[Benchmark]

10 Sep, 2021 - 19 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	-17.87%	16.09%
CAGR﹪	-7.27%	5.89%
Sharpe	-1.69	-3.3
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.46	-2.84
Sortino	-2.09	-4.01
Smart Sortino	-1.8	-3.46
Sortino/√2	-1.48	-2.83
Smart Sortino/√2	-1.28	-2.45
Omega	0.69	0.69
Max Drawdown	-51.71%	-24.49%
Longest DD Days	906	708
Volatility (ann.)	40.74%	18.67%
R^2	0.02	0.02
Information Ratio	-0.01	-0.01
Calmar	-0.14	0.24
Skew	-1.39	-0.0
Kurtosis	35.5	2.24
Expected Daily	-0.03%	0.02%
Expected Monthly	-0.61%	0.47%
Expected Yearly	-4.8%	3.8%
Kelly Criterion	-8.0%	6.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.22%	-1.9%
Expected Shortfall (cVaR)	-4.22%	-1.9%
Max Consecutive Wins	10	8
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.0	0.07
Gain/Pain (1M)	0.01	0.3
Payoff Ratio	0.78	1.13
Profit Factor	1.0	1.07
Common Sense Ratio	1.03	1.14
CPC Index	0.41	0.61
Tail Ratio	1.03	1.06
Outlier Win Ratio	2.73	4.4
Outlier Loss Ratio	3.44	6.56
MTD	3.37%	-5.4%
3M	-0.58%	4.28%
6M	7.44%	16.02%
YTD	4.98%	4.58%
1Y	18.79%	21.44%
3Y (ann.)	-7.27%	5.89%
5Y (ann.)	-7.27%	5.89%
10Y (ann.)	-7.27%	5.89%
All-time (ann.)	-7.27%	5.89%
Best Day	23.64%	5.55%
Worst Day	-27.83%	-4.55%
Best Month	13.35%	9.22%
Worst Month	-23.49%	-9.21%
Best Year	22.12%	26.29%
Worst Year	-32.75%	-18.32%
Avg. Drawdown	-7.72%	-2.06%
Avg. Drawdown Days	117	31
Recovery Factor	-0.35	0.66
Ulcer Index	0.32	0.11
Serenity Index	-0.19	-0.43
Avg. Up Month	5.4%	4.26%
Avg. Down Month	-11.26%	-4.44%
Win Days	52.52%	50.08%
Win Month	56.25%	56.25%
Win Quarter	58.33%	50.0%
Win Year	50.0%	75.0%
Beta	0.28	-
Alpha	-0.02	-
Correlation	12.69%	-
Treynor Ratio	-425.57%	-