AMIG[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	93.0%	100.0%
Cumulative Return	-32.16%	7.02%
CAGR﹪	-27.63%	5.82%
Sharpe	-0.58	17.81
Prob. Sharpe Ratio	25.99%	100.0%
Smart Sharpe	-0.52	15.94
Sortino	-0.65	42.29
Smart Sortino	-0.58	37.86
Sortino/√2	-0.46	29.9
Smart Sortino/√2	-0.41	26.77
Omega	0.81	0.81
Max Drawdown	-46.49%	-0.74%
Longest DD Days	199	32
Volatility (ann.)	48.05%	0.41%
R^2	0.01	0.01
Information Ratio	-0.05	-0.05
Calmar	-0.59	7.88
Skew	-7.86	-1.24
Kurtosis	101.74	1.46
Expected Daily	-0.17%	0.03%
Expected Monthly	-2.94%	0.52%
Expected Yearly	-17.64%	3.45%
Kelly Criterion	-362.82%	82.11%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.09%	-0.01%
Expected Shortfall (cVaR)	-5.09%	-0.01%
Max Consecutive Wins	5	210
Max Consecutive Losses	6	22
Gain/Pain Ratio	-0.19	9.16
Gain/Pain (1M)	-0.5	9.16
Payoff Ratio	0.12	1.13
Profit Factor	0.81	10.16
Common Sense Ratio	0.87	26.22
CPC Index	0.05	10.37
Tail Ratio	1.07	2.58
Outlier Win Ratio	3.7	91.43
Outlier Loss Ratio	2.09	78.12
MTD	15.33%	-0.39%
3M	-34.59%	-0.74%
6M	-31.82%	1.12%
YTD	-33.17%	1.42%
1Y	-33.63%	5.4%
3Y (ann.)	-27.63%	5.82%
5Y (ann.)	-27.63%	5.82%
10Y (ann.)	-27.63%	5.82%
All-time (ann.)	-27.63%	5.82%
Best Day	12.24%	0.06%
Worst Day	-37.39%	-0.05%
Best Month	15.33%	1.17%
Worst Month	-43.29%	-0.39%
Best Year	1.5%	5.53%
Worst Year	-33.17%	1.42%
Avg. Drawdown	-11.2%	-0.74%
Avg. Drawdown Days	70	32
Recovery Factor	-0.69	9.51
Ulcer Index	0.13	0.0
Serenity Index	-0.3	6.9
Avg. Up Month	1.66%	0.69%
Avg. Down Month	-43.29%	-0.35%
Win Days	50.0%	90.52%
Win Month	58.33%	83.33%
Win Quarter	50.0%	66.67%
Win Year	50.0%	100.0%
Beta	9.04	-
Alpha	-0.94	-
Correlation	7.75%	-
Treynor Ratio	-3.56%	-