AMGL[Strategy] vs RUB Inflation[Benchmark]

15 Jul, 2025 - 23 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	42.8%	1.89%
CAGR﹪	96.86%	3.62%
Sharpe	3.36	13.03
Prob. Sharpe Ratio	99.43%	100.0%
Smart Sharpe	3.23	12.52
Sortino	5.79	28.52
Smart Sortino	5.57	27.4
Sortino/√2	4.1	20.16
Smart Sortino/√2	3.94	19.38
Omega	1.8	1.8
Max Drawdown	-10.72%	-0.4%
Longest DD Days	76	63
Volatility (ann.)	19.4%	0.25%
R^2	0.0	0.0
Information Ratio	0.2	0.2
Calmar	9.04	9.06
Skew	0.1	-0.59
Kurtosis	1.76	0.66
Expected Daily	0.25%	0.01%
Expected Monthly	5.22%	0.27%
Expected Yearly	19.5%	0.94%
Kelly Criterion	41.08%	69.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.75%	-0.01%
Expected Shortfall (cVaR)	-1.75%	-0.01%
Max Consecutive Wins	4	108
Max Consecutive Losses	3	21
Gain/Pain Ratio	0.8	4.67
Gain/Pain (1M)	-	4.67
Payoff Ratio	2.44	0.96
Profit Factor	1.8	5.67
Common Sense Ratio	3.03	13.0
CPC Index	2.56	4.62
Tail Ratio	1.68	2.29
Outlier Win Ratio	1.85	94.6
Outlier Loss Ratio	1.91	81.87
MTD	8.86%	0.17%
3M	11.65%	1.07%
6M	40.57%	1.67%
YTD	8.86%	0.17%
1Y	42.8%	1.89%
3Y (ann.)	96.86%	3.62%
5Y (ann.)	96.86%	3.62%
10Y (ann.)	96.86%	3.62%
All-time (ann.)	96.86%	3.62%
Best Day	4.31%	0.04%
Worst Day	-3.92%	-0.02%
Best Month	13.62%	0.53%
Worst Month	0.56%	-0.4%
Best Year	31.18%	1.72%
Worst Year	8.86%	0.17%
Avg. Drawdown	-1.5%	-0.4%
Avg. Drawdown Days	8	63
Recovery Factor	3.99	4.72
Ulcer Index	0.04	0.0
Serenity Index	1.93	0.89
Avg. Up Month	5.35%	0.38%
Avg. Down Month	-	-
Win Days	58.21%	85.11%
Win Month	100.0%	85.71%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-2.74	-
Alpha	0.74	-
Correlation	-3.6%	-
Treynor Ratio	-15.62%	-