AMIN[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	98.0%	100.0%
Cumulative Return	-70.77%	7.02%
CAGR﹪	-64.12%	5.82%
Sharpe	-1.22	17.81
Prob. Sharpe Ratio	7.22%	100.0%
Smart Sharpe	-1.18	17.2
Sortino	-1.39	42.29
Smart Sortino	-1.34	40.84
Sortino/√2	-0.98	29.9
Smart Sortino/√2	-0.95	28.87
Omega	0.74	0.74
Max Drawdown	-77.68%	-0.74%
Longest DD Days	376	32
Volatility (ann.)	76.62%	0.41%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	-0.83	7.88
Skew	-5.81	-1.24
Kurtosis	65.74	1.46
Expected Daily	-0.53%	0.03%
Expected Monthly	-9.03%	0.52%
Expected Yearly	-45.93%	3.45%
Kelly Criterion	-227.01%	81.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-8.31%	-0.01%
Expected Shortfall (cVaR)	-8.31%	-0.01%
Max Consecutive Wins	6	210
Max Consecutive Losses	6	22
Gain/Pain Ratio	-0.26	9.16
Gain/Pain (1M)	-0.65	9.16
Payoff Ratio	0.18	1.08
Profit Factor	0.74	10.16
Common Sense Ratio	0.56	26.22
CPC Index	0.07	9.96
Tail Ratio	0.76	2.58
Outlier Win Ratio	1.98	119.08
Outlier Loss Ratio	1.57	137.41
MTD	24.66%	-0.39%
3M	-50.62%	-0.74%
6M	-58.01%	1.12%
YTD	-62.98%	1.42%
1Y	-71.07%	5.4%
3Y (ann.)	-64.12%	5.82%
5Y (ann.)	-64.12%	5.82%
10Y (ann.)	-64.12%	5.82%
All-time (ann.)	-64.12%	5.82%
Best Day	15.79%	0.06%
Worst Day	-54.0%	-0.05%
Best Month	24.66%	1.17%
Worst Month	-60.39%	-0.39%
Best Year	-21.03%	5.53%
Worst Year	-62.98%	1.42%
Avg. Drawdown	-32.83%	-0.74%
Avg. Drawdown Days	143	32
Recovery Factor	-0.91	9.51
Ulcer Index	0.31	0.0
Serenity Index	-0.2	6.9
Avg. Up Month	7.89%	0.66%
Avg. Down Month	-60.39%	-0.35%
Win Days	49.34%	90.52%
Win Month	33.33%	83.33%
Win Quarter	33.33%	66.67%
Win Year	0.0%	100.0%
Beta	7.86	-
Alpha	-1.51	-
Correlation	4.23%	-
Treynor Ratio	-9.01%	-