AKGD[Strategy] vs RUB Inflation[Benchmark]

21 Dec, 2021 - 23 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	57.16%	23.85%
CAGR﹪	21.32%	9.57%
Sharpe	0.97	3.34
Prob. Sharpe Ratio	92.86%	100.0%
Smart Sharpe	0.97	3.33
Sortino	1.42	90.37
Smart Sortino	1.42	90.14
Sortino/√2	1.01	63.9
Smart Sortino/√2	1.0	63.74
Omega	1.2	1.2
Max Drawdown	-42.54%	-1.25%
Longest DD Days	379	209
Volatility (ann.)	23.28%	2.84%
R^2	0.01	0.01
Information Ratio	0.04	0.04
Calmar	0.5	7.63
Skew	0.09	13.34
Kurtosis	5.0	180.08
Expected Daily	0.08%	0.04%
Expected Monthly	1.57%	0.74%
Expected Yearly	11.97%	5.49%
Kelly Criterion	-10.63%	83.98%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.32%	-0.26%
Expected Shortfall (cVaR)	-2.32%	-0.26%
Max Consecutive Wins	11	418
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.2	17.01
Gain/Pain (1M)	0.81	17.01
Payoff Ratio	0.69	2.47
Profit Factor	1.2	18.01
Common Sense Ratio	1.17	71.39
CPC Index	0.45	39.44
Tail Ratio	0.98	3.96
Outlier Win Ratio	1.88	41.17
Outlier Loss Ratio	2.04	108.24
MTD	1.69%	0.33%
3M	19.03%	1.7%
6M	14.25%	4.44%
YTD	15.05%	2.28%
1Y	30.57%	7.74%
3Y (ann.)	21.32%	9.57%
5Y (ann.)	21.32%	9.57%
10Y (ann.)	21.32%	9.57%
All-time (ann.)	21.32%	9.57%
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	-4.79%	-1.25%
Avg. Drawdown Days	43	209
Recovery Factor	1.34	19.0
Ulcer Index	0.2	0.0
Serenity Index	0.11	11.71
Avg. Up Month	5.68%	0.96%
Avg. Down Month	-7.98%	-0.43%
Win Days	54.74%	88.6%
Win Month	65.52%	89.66%
Win Quarter	90.91%	90.91%
Win Year	75.0%	100.0%
Beta	0.6	-
Alpha	0.17	-
Correlation	7.33%	-
Treynor Ratio	95.14%	-