AKVG RUB[Strategy] vs SUGB RUB[Benchmark]

30 Nov, 2021 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	95.0%
Cumulative Return	1.09%	11.13%
CAGR﹪	0.62%	6.17%
Sharpe	0.29	0.16
Prob. Sharpe Ratio	21.98%	29.98%
Smart Sharpe	0.27	0.15
Sortino	0.36	0.24
Smart Sortino	0.34	0.23
Sortino/√2	0.26	0.17
Smart Sortino/√2	0.24	0.16
Omega	1.07	1.07
Max Drawdown	-56.67%	-9.44%
Longest DD Days	581	149
Volatility (ann.)	64.48%	13.09%
R^2	0.15	0.15
Information Ratio	0.02	0.02
Calmar	0.01	0.65
Skew	-4.57	2.22
Kurtosis	58.67	37.19
Expected Daily	0.0%	0.03%
Expected Monthly	0.05%	0.5%
Expected Yearly	0.36%	3.58%
Kelly Criterion	9.76%	7.27%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.58%	-1.32%
Expected Shortfall (cVaR)	-6.58%	-1.32%
Max Consecutive Wins	7	7
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.1	0.15
Gain/Pain (1M)	0.38	0.89
Payoff Ratio	1.02	0.97
Profit Factor	1.1	1.15
Common Sense Ratio	1.09	1.33
CPC Index	0.61	0.61
Tail Ratio	0.99	1.15
Outlier Win Ratio	2.64	11.71
Outlier Loss Ratio	2.06	8.81
MTD	-6.03%	0.64%
3M	19.45%	-1.65%
6M	54.17%	0.37%
YTD	84.91%	1.2%
1Y	98.5%	3.16%
3Y (ann.)	0.62%	6.17%
5Y (ann.)	0.62%	6.17%
10Y (ann.)	0.62%	6.17%
All-time (ann.)	0.62%	6.17%
Best Day	17.54%	8.41%
Worst Day	-47.31%	-5.57%
Best Month	26.36%	9.44%
Worst Month	-40.86%	-7.25%
Best Year	84.91%	8.15%
Worst Year	-43.58%	1.2%
Avg. Drawdown	-20.83%	-1.04%
Avg. Drawdown Days	158	11
Recovery Factor	0.02	1.18
Ulcer Index	0.36	0.01
Serenity Index	-0.01	1.21
Avg. Up Month	11.65%	1.44%
Avg. Down Month	-8.28%	-0.88%
Win Days	54.38%	54.29%
Win Month	65.0%	55.0%
Win Quarter	62.5%	75.0%
Win Year	33.33%	100.0%
Beta	-1.93	-
Alpha	0.43	-
Correlation	-39.27%	-
Treynor Ratio	3.06%	-