AKGD[Strategy] vs RUB Inflation[Benchmark]

21 Dec, 2021 - 3 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	91.88%	36.64%
CAGR﹪	21.94%	9.97%
Sharpe	1.02	4.07
Prob. Sharpe Ratio	96.71%	100.0%
Smart Sharpe	1.02	4.04
Sortino	1.5	110.4
Smart Sortino	1.49	109.52
Sortino/√2	1.06	78.06
Smart Sortino/√2	1.05	77.44
Omega	1.2	1.2
Max Drawdown	-42.54%	-1.25%
Longest DD Days	379	209
Volatility (ann.)	22.1%	2.38%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.52	7.95
Skew	0.06	15.8
Kurtosis	4.57	254.71
Expected Daily	0.08%	0.04%
Expected Monthly	1.6%	0.76%
Expected Yearly	13.92%	6.44%
Kelly Criterion	-11.85%	88.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.2%	-0.21%
Expected Shortfall (cVaR)	-2.2%	-0.21%
Max Consecutive Wins	15	660
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.2	24.8
Gain/Pain (1M)	0.9	24.8
Payoff Ratio	0.68	2.32
Profit Factor	1.2	25.8
Common Sense Ratio	1.17	93.79
CPC Index	0.45	55.09
Tail Ratio	0.98	3.64
Outlier Win Ratio	1.9	41.92
Outlier Loss Ratio	1.96	100.48
MTD	-1.23%	0.12%
3M	-1.73%	3.04%
6M	3.73%	6.62%
YTD	-1.73%	3.04%
1Y	21.72%	10.65%
3Y (ann.)	24.98%	6.9%
5Y (ann.)	21.94%	9.97%
10Y (ann.)	21.94%	9.97%
All-time (ann.)	21.94%	9.97%
Best Day	9.01%	2.47%
Worst Day	-6.62%	-0.02%
Best Month	17.11%	7.61%
Worst Month	-18.31%	-0.52%
Best Year	43.19%	11.92%
Worst Year	-4.66%	0.72%
Avg. Drawdown	-4.42%	-1.25%
Avg. Drawdown Days	40	209
Recovery Factor	2.16	29.2
Ulcer Index	0.17	0.0
Serenity Index	0.23	21.72
Avg. Up Month	5.66%	0.94%
Avg. Down Month	-7.98%	-0.43%
Win Days	54.75%	92.0%
Win Month	63.41%	92.68%
Win Quarter	73.33%	93.33%
Win Year	60.0%	100.0%
Beta	0.58	-
Alpha	0.17	-
Correlation	6.3%	-
Treynor Ratio	157.29%	-