AKVG RUB[Strategy] vs TBUY 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%	98.0%
Cumulative Return	1.09%	27.51%
CAGR﹪	0.62%	14.79%
Sharpe	0.23	0.51
Prob. Sharpe Ratio	19.96%	32.63%
Smart Sharpe	0.23	0.5
Sortino	0.29	0.64
Smart Sortino	0.29	0.64
Sortino/√2	0.21	0.45
Smart Sortino/√2	0.21	0.45
Omega	1.05	1.05
Max Drawdown	-57.43%	-47.24%
Longest DD Days	581	394
Volatility (ann.)	59.14%	38.44%
R^2	0.32	0.32
Information Ratio	-0.01	-0.01
Calmar	0.01	0.31
Skew	-3.58	-3.94
Kurtosis	44.61	44.78
Expected Daily	0.0%	0.07%
Expected Monthly	0.05%	1.22%
Expected Yearly	0.36%	8.44%
Kelly Criterion	-2.77%	2.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.05%	-3.88%
Expected Shortfall (cVaR)	-6.05%	-3.88%
Max Consecutive Wins	7	8
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.08	0.15
Gain/Pain (1M)	0.27	0.44
Payoff Ratio	0.84	0.9
Profit Factor	1.08	1.15
Common Sense Ratio	1.17	1.3
CPC Index	0.48	0.56
Tail Ratio	1.08	1.13
Outlier Win Ratio	3.2	4.47
Outlier Loss Ratio	2.95	4.12
MTD	-6.03%	-0.11%
3M	19.45%	31.66%
6M	57.78%	30.98%
YTD	84.91%	46.86%
1Y	90.62%	79.44%
3Y (ann.)	0.62%	14.79%
5Y (ann.)	0.62%	14.79%
10Y (ann.)	0.62%	14.79%
All-time (ann.)	0.62%	14.79%
Best Day	18.0%	8.05%
Worst Day	-40.07%	-26.66%
Best Month	30.74%	31.77%
Worst Month	-40.86%	-28.84%
Best Year	84.91%	46.86%
Worst Year	-43.58%	-16.44%
Avg. Drawdown	-21.02%	-7.02%
Avg. Drawdown Days	158	47
Recovery Factor	0.02	0.58
Ulcer Index	0.37	0.23
Serenity Index	-0.01	0.05
Avg. Up Month	9.75%	11.51%
Avg. Down Month	-15.71%	-12.22%
Win Days	53.17%	54.13%
Win Month	63.16%	57.89%
Win Quarter	62.5%	87.5%
Win Year	33.33%	66.67%
Beta	0.87	-
Alpha	-0.02	-
Correlation	56.73%	-
Treynor Ratio	-6.77%	-