AMGL[Strategy] vs RUB Inflation[Benchmark]

15 Jul, 2025 - 21 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	31.08%	1.8%
CAGR﹪	86.14%	4.17%
Sharpe	3.22	13.47
Prob. Sharpe Ratio	98.63%	100.0%
Smart Sharpe	2.88	12.08
Sortino	5.5	29.74
Smart Sortino	4.93	26.65
Sortino/√2	3.89	21.03
Smart Sortino/√2	3.49	18.85
Omega	1.74	1.74
Max Drawdown	-10.72%	-0.4%
Longest DD Days	61	63
Volatility (ann.)	18.51%	0.28%
R^2	0.0	0.0
Information Ratio	0.19	0.19
Calmar	8.04	10.42
Skew	0.1	-0.84
Kurtosis	1.83	0.25
Expected Daily	0.23%	0.02%
Expected Monthly	4.61%	0.3%
Expected Yearly	31.08%	1.8%
Kelly Criterion	37.92%	66.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.68%	-0.01%
Expected Shortfall (cVaR)	-1.68%	-0.01%
Max Consecutive Wins	4	84
Max Consecutive Losses	3	21
Gain/Pain Ratio	0.74	4.44
Gain/Pain (1M)	-	4.44
Payoff Ratio	2.46	1.17
Profit Factor	1.74	5.44
Common Sense Ratio	2.82	12.47
CPC Index	2.4	5.21
Tail Ratio	1.62	2.29
Outlier Win Ratio	1.64	69.0
Outlier Loss Ratio	1.63	65.47
MTD	5.18%	0.4%
3M	12.82%	1.43%
6M	31.08%	1.8%
YTD	31.08%	1.8%
1Y	31.08%	1.8%
3Y (ann.)	86.14%	4.17%
5Y (ann.)	86.14%	4.17%
10Y (ann.)	86.14%	4.17%
All-time (ann.)	86.14%	4.17%
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	31.08%	1.8%
Worst Year	31.08%	1.8%
Avg. Drawdown	-1.55%	-0.4%
Avg. Drawdown Days	8	63
Recovery Factor	2.9	4.49
Ulcer Index	0.04	0.0
Serenity Index	1.14	0.77
Avg. Up Month	4.64%	0.44%
Avg. Down Month	-	-
Win Days	55.86%	82.05%
Win Month	100.0%	83.33%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-2.38	-
Alpha	0.69	-
Correlation	-3.63%	-
Treynor Ratio	-13.06%	-