AMNY[Strategy] vs RUB Inflation[Benchmark]

24 Jun, 2024 - 4 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	12.97%	17.95%
CAGR﹪	5.3%	7.23%
Sharpe	0.4	17.58
Prob. Sharpe Ratio	73.06%	100.0%
Smart Sharpe	0.39	17.12
Sortino	0.58	120.42
Smart Sortino	0.57	117.22
Sortino/√2	0.41	85.15
Smart Sortino/√2	0.4	82.89
Omega	1.07	1.07
Max Drawdown	-28.75%	-0.4%
Longest DD Days	705	63
Volatility (ann.)	16.2%	0.4%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.18	18.08
Skew	0.17	1.92
Kurtosis	2.46	9.8
Expected Daily	0.02%	0.03%
Expected Monthly	0.41%	0.55%
Expected Yearly	4.15%	5.66%
Kelly Criterion	23.31%	89.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.65%	-0.01%
Expected Shortfall (cVaR)	-1.65%	-0.01%
Max Consecutive Wins	9	273
Max Consecutive Losses	10	21
Gain/Pain Ratio	0.07	34.35
Gain/Pain (1M)	0.27	34.35
Payoff Ratio	1.73	2.35
Profit Factor	1.07	35.35
Common Sense Ratio	1.16	627.37
CPC Index	0.95	77.16
Tail Ratio	1.09	17.75
Outlier Win Ratio	1.79	43.09
Outlier Loss Ratio	1.9	121.34
MTD	1.28%	0.06%
3M	2.13%	0.7%
6M	11.56%	2.3%
YTD	10.71%	5.49%
1Y	11.35%	6.23%
3Y (ann.)	5.3%	7.23%
5Y (ann.)	5.3%	7.23%
10Y (ann.)	5.3%	7.23%
All-time (ann.)	5.3%	7.23%
Best Day	5.48%	0.21%
Worst Day	-3.95%	-0.02%
Best Month	12.87%	1.62%
Worst Month	-8.96%	-0.4%
Best Year	24.74%	5.88%
Worst Year	-18.19%	5.49%
Avg. Drawdown	-2.58%	-0.24%
Avg. Drawdown Days	45	50
Recovery Factor	0.45	44.88
Ulcer Index	0.19	0.0
Serenity Index	0.02	56.27
Avg. Up Month	4.81%	0.62%
Avg. Down Month	-	-
Win Days	51.43%	92.94%
Win Month	50.0%	93.33%
Win Quarter	45.45%	100.0%
Win Year	66.67%	100.0%
Beta	-1.77	-
Alpha	0.19	-
Correlation	-4.33%	-
Treynor Ratio	-7.34%	-