AKAI RUB[Strategy] vs Deposit RUB[Benchmark]

16 Oct, 2024 - 22 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	97.0%
Cumulative Return	-1.86%	3.31%
CAGR﹪	-16.92%	37.87%
Sharpe	-0.93	67.35
Prob. Sharpe Ratio	38.04%	99.75%
Smart Sharpe	-0.93	66.82
Sortino	-1.3	-
Smart Sortino	-1.29	-
Sortino/√2	-0.92	-
Smart Sortino/√2	-0.92	-
Omega	0.86	0.86
Max Drawdown	-4.63%	-
Longest DD Days	-	-
Volatility (ann.)	16.69%	0.44%
R^2	0.02	0.02
Information Ratio	-0.17	-0.17
Calmar	-3.66	-
Skew	0.11	-2.82
Kurtosis	-0.48	11.87
Expected Daily	-0.07%	0.12%
Expected Monthly	-0.94%	1.64%
Expected Yearly	-1.86%	3.31%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.79%	-0.07%
Expected Shortfall (cVaR)	-1.79%	-0.07%
Max Consecutive Wins	6	27
Max Consecutive Losses	8	0
Gain/Pain Ratio	-0.14	-
Gain/Pain (1M)	-0.39	-
Payoff Ratio	-	-
Profit Factor	0.86	-
Common Sense Ratio	0.9	-
CPC Index	-	-
Tail Ratio	1.05	1.29
Outlier Win Ratio	1.14	8.58
Outlier Loss Ratio	1.26	-
MTD	2.63%	1.74%
3M	-1.86%	3.31%
6M	-1.86%	3.31%
YTD	-1.86%	3.31%
1Y	-1.86%	3.31%
3Y (ann.)	-16.92%	37.87%
5Y (ann.)	-16.92%	37.87%
10Y (ann.)	-16.92%	37.87%
All-time (ann.)	-16.92%	37.87%
Best Day	1.88%	0.14%
Worst Day	-2.04%	0.0%
Best Month	2.63%	1.74%
Worst Month	-4.38%	1.54%
Best Year	-1.86%	3.31%
Worst Year	-1.86%	3.31%
Avg. Drawdown	-4.16%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.4	-
Ulcer Index	0.03	0.0
Serenity Index	-0.17	-
Avg. Up Month	2.63%	1.74%
Avg. Down Month	-	-
Win Days	40.74%	100.0%
Win Month	50.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-6.06	-
Alpha	1.62	-
Correlation	-15.8%	-
Treynor Ratio	0.31%	-