OPNR[Strategy] vs INav[Benchmark]

22 Sep, 2021 - 15 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	-1.22%	-0.88%
CAGR﹪	-0.3%	-0.22%
Sharpe	-0.1	-0.07
Prob. Sharpe Ratio	2.63%	3.06%
Smart Sharpe	-0.07	-0.05
Sortino	-0.13	-0.09
Smart Sortino	-0.09	-0.07
Sortino/√2	-0.09	-0.06
Smart Sortino/√2	-0.07	-0.05
Omega	0.98	0.98
Max Drawdown	-51.95%	-51.37%
Longest DD Days	1218	1215
Volatility (ann.)	29.07%	29.87%
R^2	0.76	0.76
Information Ratio	-0.0	-0.0
Calmar	-0.01	-0.0
Skew	-1.14	-4.6
Kurtosis	40.47	106.8
Expected Daily	-0.0%	-0.0%
Expected Monthly	-0.02%	-0.02%
Expected Yearly	-0.24%	-0.18%
Kelly Criterion	0.21%	1.89%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.0%	-3.08%
Expected Shortfall (cVaR)	-3.0%	-3.08%
Max Consecutive Wins	9	12
Max Consecutive Losses	9	8
Gain/Pain Ratio	0.03	0.04
Gain/Pain (1M)	0.13	0.14
Payoff Ratio	0.91	0.89
Profit Factor	1.03	1.04
Common Sense Ratio	1.05	1.04
CPC Index	0.49	0.49
Tail Ratio	1.02	1.0
Outlier Win Ratio	3.42	3.66
Outlier Loss Ratio	3.9	4.0
MTD	-4.55%	-4.79%
3M	-1.88%	-1.06%
6M	2.56%	1.77%
YTD	7.05%	6.75%
1Y	14.52%	14.17%
3Y (ann.)	18.14%	18.09%
5Y (ann.)	-0.3%	-0.22%
10Y (ann.)	-0.3%	-0.22%
All-time (ann.)	-0.3%	-0.22%
Best Day	20.38%	19.55%
Worst Day	-21.92%	-33.06%
Best Month	13.61%	15.23%
Worst Month	-18.68%	-29.7%
Best Year	57.86%	59.1%
Worst Year	-37.05%	-37.05%
Avg. Drawdown	-8.95%	-8.4%
Avg. Drawdown Days	163	146
Recovery Factor	-0.02	-0.02
Ulcer Index	0.24	0.24
Serenity Index	-0.01	-0.01
Avg. Up Month	4.83%	4.86%
Avg. Down Month	-5.73%	-6.34%
Win Days	52.55%	53.88%
Win Month	56.0%	58.0%
Win Quarter	55.56%	55.56%
Win Year	40.0%	40.0%
Beta	0.85	-
Alpha	0.0	-
Correlation	86.97%	-
Treynor Ratio	-9.71%	-