AKME[Strategy] vs RUB Inflation[Benchmark]

18 Dec, 2020 - 2 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	47.12%	27.07%
CAGR﹪	14.85%	8.97%
Sharpe	0.68	2.77
Prob. Sharpe Ratio	85.09%	100.0%
Smart Sharpe	0.67	2.76
Sortino	0.86	92.62
Smart Sortino	0.85	92.32
Sortino/√2	0.6	65.49
Smart Sortino/√2	0.6	65.28
Omega	1.14	1.14
Max Drawdown	-51.24%	-1.25%
Longest DD Days	678	209
Volatility (ann.)	26.42%	3.2%
R^2	0.04	0.04
Information Ratio	0.02	0.02
Calmar	0.29	7.15
Skew	-3.02	18.11
Kurtosis	32.11	331.0
Expected Daily	0.06%	0.04%
Expected Monthly	1.11%	0.69%
Expected Yearly	10.13%	6.17%
Kelly Criterion	10.42%	86.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.67%	-0.3%
Expected Shortfall (cVaR)	-2.67%	-0.3%
Max Consecutive Wins	11	342
Max Consecutive Losses	8	65
Gain/Pain Ratio	0.14	19.08
Gain/Pain (1M)	0.6	19.08
Payoff Ratio	0.94	2.55
Profit Factor	1.14	20.08
Common Sense Ratio	1.14	69.78
CPC Index	0.61	46.35
Tail Ratio	1.0	3.47
Outlier Win Ratio	1.8	43.26
Outlier Loss Ratio	1.91	111.97
MTD	0.22%	0.01%
3M	23.2%	1.18%
6M	47.29%	2.26%
YTD	65.44%	3.97%
1Y	107.11%	5.36%
3Y (ann.)	14.85%	8.97%
5Y (ann.)	14.85%	8.97%
10Y (ann.)	14.85%	8.97%
All-time (ann.)	14.85%	8.97%
Best Day	7.68%	3.74%
Worst Day	-19.31%	-0.02%
Best Month	19.14%	7.61%
Worst Month	-27.94%	-0.52%
Best Year	65.44%	11.92%
Worst Year	-33.04%	0.74%
Avg. Drawdown	-3.22%	-1.25%
Avg. Drawdown Days	32	209
Recovery Factor	0.92	21.57
Ulcer Index	0.26	0.0
Serenity Index	0.06	18.04
Avg. Up Month	5.5%	0.85%
Avg. Down Month	-3.95%	-0.37%
Win Days	56.51%	90.48%
Win Month	68.57%	91.43%
Win Quarter	69.23%	92.31%
Win Year	75.0%	100.0%
Beta	1.71	-
Alpha	0.03	-
Correlation	20.71%	-
Treynor Ratio	27.59%	-