AMLV[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	-22.1%	7.02%
CAGR﹪	-18.79%	5.82%
Sharpe	-0.39	17.84
Prob. Sharpe Ratio	33.77%	100.0%
Smart Sharpe	-0.37	16.75
Sortino	-0.44	42.38
Smart Sortino	-0.41	39.81
Sortino/√2	-0.31	29.97
Smart Sortino/√2	-0.29	28.15
Omega	0.88	0.88
Max Drawdown	-41.68%	-0.74%
Longest DD Days	187	32
Volatility (ann.)	42.06%	0.41%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	-0.45	7.88
Skew	-8.58	-1.25
Kurtosis	111.92	1.46
Expected Daily	-0.11%	0.03%
Expected Monthly	-1.9%	0.52%
Expected Yearly	-11.74%	3.45%
Kelly Criterion	-307.57%	81.72%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.42%	-0.01%
Expected Shortfall (cVaR)	-4.42%	-0.01%
Max Consecutive Wins	5	209
Max Consecutive Losses	6	22
Gain/Pain Ratio	-0.12	9.16
Gain/Pain (1M)	-0.29	9.16
Payoff Ratio	0.13	1.09
Profit Factor	0.88	10.16
Common Sense Ratio	0.9	26.22
CPC Index	0.06	9.99
Tail Ratio	1.01	2.58
Outlier Win Ratio	2.66	68.59
Outlier Loss Ratio	1.66	61.31
MTD	15.38%	-0.39%
3M	-29.82%	-0.74%
6M	-27.83%	1.12%
YTD	-30.58%	1.42%
1Y	-24.26%	5.4%
3Y (ann.)	-18.79%	5.82%
5Y (ann.)	-18.79%	5.82%
10Y (ann.)	-18.79%	5.82%
All-time (ann.)	-18.79%	5.82%
Best Day	8.44%	0.06%
Worst Day	-33.58%	-0.05%
Best Month	15.38%	1.17%
Worst Month	-39.17%	-0.39%
Best Year	12.22%	5.53%
Worst Year	-30.58%	1.42%
Avg. Drawdown	-4.51%	-0.74%
Avg. Drawdown Days	27	32
Recovery Factor	-0.53	9.51
Ulcer Index	0.11	0.0
Serenity Index	-0.23	6.88
Avg. Up Month	3.09%	0.75%
Avg. Down Month	-39.17%	-0.35%
Win Days	51.82%	90.48%
Win Month	66.67%	83.33%
Win Quarter	50.0%	66.67%
Win Year	50.0%	100.0%
Beta	7.47	-
Alpha	-0.72	-
Correlation	7.34%	-
Treynor Ratio	-2.96%	-