AKVG RUB[Strategy] vs YUAN RUB[Benchmark]

23 May, 2023 - 4 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	28.25%	18.64%
CAGR﹪	139.46%	82.2%
Sharpe	1.81	1.22
Prob. Sharpe Ratio	64.12%	54.03%
Smart Sharpe	1.69	1.14
Sortino	2.55	1.97
Smart Sortino	2.39	1.85
Sortino/√2	1.81	1.4
Smart Sortino/√2	1.69	1.31
Omega	1.5	1.5
Max Drawdown	-23.78%	-21.55%
Longest DD Days	46	90
Volatility (ann.)	65.24%	74.21%
R^2	0.05	0.05
Information Ratio	0.02	0.02
Calmar	5.86	3.82
Skew	-0.97	1.26
Kurtosis	13.45	23.69
Expected Daily	0.41%	0.28%
Expected Monthly	5.1%	3.48%
Expected Yearly	28.25%	18.64%
Kelly Criterion	31.72%	24.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.27%	-7.3%
Expected Shortfall (cVaR)	-6.27%	-7.3%
Max Consecutive Wins	7	6
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.53	0.55
Gain/Pain (1M)	5.01	-
Payoff Ratio	0.95	0.94
Profit Factor	1.53	1.55
Common Sense Ratio	2.47	1.57
CPC Index	0.97	0.92
Tail Ratio	1.61	1.01
Outlier Win Ratio	6.07	7.61
Outlier Loss Ratio	3.89	5.73
MTD	-6.03%	0.69%
3M	19.45%	16.97%
6M	28.25%	18.64%
YTD	28.25%	18.64%
1Y	28.25%	18.64%
3Y (ann.)	139.46%	82.2%
5Y (ann.)	139.46%	82.2%
10Y (ann.)	139.46%	82.2%
All-time (ann.)	139.46%	82.2%
Best Day	17.17%	26.44%
Worst Day	-19.92%	-21.55%
Best Month	20.05%	8.66%
Worst Month	-6.03%	0.57%
Best Year	28.25%	18.64%
Worst Year	28.25%	18.64%
Avg. Drawdown	-3.67%	-7.44%
Avg. Drawdown Days	6	32
Recovery Factor	1.19	0.87
Ulcer Index	0.06	0.13
Serenity Index	1.15	0.18
Avg. Up Month	8.29%	4.24%
Avg. Down Month	-	-
Win Days	66.67%	63.33%
Win Month	80.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.2	-
Alpha	1.44	-
Correlation	-22.83%	-
Treynor Ratio	-105.89%	-