AKVG RUB[Strategy] vs RCHY RUB[Benchmark]

26 Nov, 2021 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	92.0%
Cumulative Return	0.03%	16.47%
CAGR﹪	0.02%	8.98%
Sharpe	0.25	0.27
Prob. Sharpe Ratio	19.39%	26.78%
Smart Sharpe	0.24	0.26
Sortino	0.3	0.38
Smart Sortino	0.29	0.36
Sortino/√2	0.21	0.27
Smart Sortino/√2	0.2	0.26
Omega	1.06	1.06
Max Drawdown	-59.07%	-20.51%
Longest DD Days	591	149
Volatility (ann.)	59.78%	20.75%
R^2	0.02	0.02
Information Ratio	0.01	0.01
Calmar	0.0	0.44
Skew	-5.28	-0.23
Kurtosis	69.19	91.85
Expected Daily	0.0%	0.04%
Expected Monthly	0.0%	0.73%
Expected Yearly	0.01%	5.21%
Kelly Criterion	7.64%	13.7%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.11%	-2.1%
Expected Shortfall (cVaR)	-6.11%	-2.1%
Max Consecutive Wins	7	13
Max Consecutive Losses	6	5
Gain/Pain Ratio	0.09	0.22
Gain/Pain (1M)	0.35	1.92
Payoff Ratio	1.0	1.07
Profit Factor	1.09	1.22
Common Sense Ratio	1.16	1.39
CPC Index	0.59	0.72
Tail Ratio	1.07	1.14
Outlier Win Ratio	2.38	10.34
Outlier Loss Ratio	2.14	8.51
MTD	-6.03%	0.04%
3M	19.45%	2.16%
6M	54.17%	2.84%
YTD	84.91%	4.41%
1Y	90.62%	9.03%
3Y (ann.)	0.02%	8.98%
5Y (ann.)	0.02%	8.98%
10Y (ann.)	0.02%	8.98%
All-time (ann.)	0.02%	8.98%
Best Day	17.17%	14.94%
Worst Day	-47.31%	-15.05%
Best Month	30.74%	5.32%
Worst Month	-40.86%	-6.34%
Best Year	84.91%	9.3%
Worst Year	-43.58%	2.06%
Avg. Drawdown	-41.42%	-1.14%
Avg. Drawdown Days	318	10
Recovery Factor	0.0	0.8
Ulcer Index	0.39	0.02
Serenity Index	-0.01	1.88
Avg. Up Month	11.59%	1.4%
Avg. Down Month	-9.99%	-2.02%
Win Days	53.74%	55.49%
Win Month	61.9%	76.19%
Win Quarter	62.5%	75.0%
Win Year	33.33%	100.0%
Beta	-0.4	-
Alpha	0.27	-
Correlation	-13.95%	-
Treynor Ratio	17.35%	-