AMCC[Strategy] vs RUB Inflation[Benchmark]

30 Apr, 2021 - 12 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-48.17%	7.02%
CAGR﹪	-42.17%	5.82%
Sharpe	-0.81	17.81
Prob. Sharpe Ratio	17.33%	100.0%
Smart Sharpe	-0.8	17.53
Sortino	-0.92	42.29
Smart Sortino	-0.9	41.63
Sortino/√2	-0.65	29.9
Smart Sortino/√2	-0.64	29.44
Omega	0.79	0.79
Max Drawdown	-61.28%	-0.74%
Longest DD Days	237	32
Volatility (ann.)	59.45%	0.41%
R^2	0.0	0.0
Information Ratio	-0.06	-0.06
Calmar	-0.69	7.88
Skew	-7.21	-1.24
Kurtosis	90.97	1.46
Expected Daily	-0.28%	0.03%
Expected Monthly	-4.93%	0.52%
Expected Yearly	-28.01%	3.45%
Kelly Criterion	-284.5%	81.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.35%	-0.01%
Expected Shortfall (cVaR)	-6.35%	-0.01%
Max Consecutive Wins	6	210
Max Consecutive Losses	6	22
Gain/Pain Ratio	-0.21	9.16
Gain/Pain (1M)	-0.56	9.16
Payoff Ratio	0.15	1.06
Profit Factor	0.79	10.16
Common Sense Ratio	0.58	26.22
CPC Index	0.06	9.78
Tail Ratio	0.74	2.58
Outlier Win Ratio	2.5	99.24
Outlier Loss Ratio	1.9	105.38
MTD	16.97%	-0.39%
3M	-43.52%	-0.74%
6M	-47.1%	1.12%
YTD	-50.2%	1.42%
1Y	-50.15%	5.4%
3Y (ann.)	-42.17%	5.82%
5Y (ann.)	-42.17%	5.82%
10Y (ann.)	-42.17%	5.82%
All-time (ann.)	-42.17%	5.82%
Best Day	13.99%	0.06%
Worst Day	-45.18%	-0.05%
Best Month	16.97%	1.17%
Worst Month	-51.72%	-0.39%
Best Year	4.07%	5.53%
Worst Year	-50.2%	1.42%
Avg. Drawdown	-8.11%	-0.74%
Avg. Drawdown Days	37	32
Recovery Factor	-0.79	9.51
Ulcer Index	0.2	0.0
Serenity Index	-0.25	6.9
Avg. Up Month	4.32%	0.73%
Avg. Down Month	-51.72%	-0.35%
Win Days	49.11%	90.52%
Win Month	41.67%	83.33%
Win Quarter	50.0%	66.67%
Win Year	50.0%	100.0%
Beta	9.43	-
Alpha	-1.18	-
Correlation	6.54%	-
Treynor Ratio	-5.11%	-