AMNY[Strategy] vs RUB Inflation[Benchmark]

24 Jun, 2024 - 25 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	2.9%	9.39%
CAGR﹪	3.48%	11.34%
Sharpe	0.28	27.24
Prob. Sharpe Ratio	59.94%	100.0%
Smart Sharpe	0.27	26.78
Sortino	0.4	-
Smart Sortino	0.39	-
Sortino/√2	0.28	-
Smart Sortino/√2	0.28	-
Omega	1.05	1.05
Max Drawdown	-24.98%	-
Longest DD Days	-	-
Volatility (ann.)	18.87%	0.4%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.14	-
Skew	0.21	2.86
Kurtosis	3.03	18.1
Expected Daily	0.01%	0.04%
Expected Monthly	0.26%	0.82%
Expected Yearly	1.44%	4.59%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.93%	-0.0%
Expected Shortfall (cVaR)	-1.93%	-0.0%
Max Consecutive Wins	9	207
Max Consecutive Losses	10	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.16	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.01	-
CPC Index	-	-
Tail Ratio	0.97	6.77
Outlier Win Ratio	1.67	32.65
Outlier Loss Ratio	1.95	-
MTD	-2.77%	0.59%
3M	-15.78%	2.37%
6M	-15.13%	6.35%
YTD	-17.51%	3.32%
1Y	2.9%	9.39%
3Y (ann.)	3.48%	11.34%
5Y (ann.)	3.48%	11.34%
10Y (ann.)	3.48%	11.34%
All-time (ann.)	3.48%	11.34%
Best Day	5.48%	0.21%
Worst Day	-3.95%	0.0%
Best Month	12.87%	1.43%
Worst Month	-8.96%	0.2%
Best Year	24.74%	5.88%
Worst Year	-17.51%	3.32%
Avg. Drawdown	-2.37%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.12	-
Ulcer Index	0.11	0.0
Serenity Index	0.01	-
Avg. Up Month	6.32%	0.8%
Avg. Down Month	-	-
Win Days	50.24%	100.0%
Win Month	45.45%	100.0%
Win Quarter	40.0%	100.0%
Win Year	50.0%	100.0%
Beta	-4.77	-
Alpha	0.57	-
Correlation	-10.09%	-
Treynor Ratio	-0.61%	-