AMGF[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	95.0%	100.0%
Cumulative Return	-32.83%	7.02%
CAGR﹪	-28.22%	5.82%
Sharpe	-0.51	17.81
Prob. Sharpe Ratio	29.16%	100.0%
Smart Sharpe	-0.49	17.0
Sortino	-0.56	42.29
Smart Sortino	-0.54	40.36
Sortino/√2	-0.4	29.9
Smart Sortino/√2	-0.38	28.54
Omega	0.86	0.86
Max Drawdown	-53.58%	-0.74%
Longest DD Days	183	32
Volatility (ann.)	52.08%	0.41%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	-0.53	7.88
Skew	-7.22	-1.24
Kurtosis	83.46	1.46
Expected Daily	-0.17%	0.03%
Expected Monthly	-3.01%	0.52%
Expected Yearly	-18.04%	3.45%
Kelly Criterion	-296.82%	82.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.5%	-0.01%
Expected Shortfall (cVaR)	-5.5%	-0.01%
Max Consecutive Wins	9	210
Max Consecutive Losses	5	22
Gain/Pain Ratio	-0.14	9.16
Gain/Pain (1M)	-0.35	9.16
Payoff Ratio	0.13	1.17
Profit Factor	0.86	10.16
Common Sense Ratio	0.84	26.22
CPC Index	0.06	10.75
Tail Ratio	0.98	2.58
Outlier Win Ratio	2.99	95.59
Outlier Loss Ratio	2.66	132.86
MTD	16.67%	-0.39%
3M	-38.93%	-0.74%
6M	-38.71%	1.12%
YTD	-43.02%	1.42%
1Y	-35.87%	5.4%
3Y (ann.)	-28.22%	5.82%
5Y (ann.)	-28.22%	5.82%
10Y (ann.)	-28.22%	5.82%
All-time (ann.)	-28.22%	5.82%
Best Day	9.03%	0.06%
Worst Day	-38.66%	-0.05%
Best Month	16.67%	1.17%
Worst Month	-47.66%	-0.39%
Best Year	17.88%	5.53%
Worst Year	-43.02%	1.42%
Avg. Drawdown	-7.75%	-0.74%
Avg. Drawdown Days	36	32
Recovery Factor	-0.61	9.51
Ulcer Index	0.16	0.0
Serenity Index	-0.22	6.9
Avg. Up Month	4.12%	0.75%
Avg. Down Month	-47.66%	-0.35%
Win Days	53.39%	90.52%
Win Month	66.67%	83.33%
Win Quarter	66.67%	66.67%
Win Year	50.0%	100.0%
Beta	10.32	-
Alpha	-1.02	-
Correlation	8.17%	-
Treynor Ratio	-3.18%	-