AMNY[Strategy] vs RUB Inflation[Benchmark]

24 Jun, 2024 - 16 Sep, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	13.79%	1.89%
CAGR﹪	75.33%	8.46%
Sharpe	3.18	13.02
Prob. Sharpe Ratio	94.75%	100.0%
Smart Sharpe	2.73	11.21
Sortino	6.28	-
Smart Sortino	5.41	-
Sortino/√2	4.44	-
Smart Sortino/√2	3.82	-
Omega	2.06	2.06
Max Drawdown	-3.3%	-
Longest DD Days	-	-
Volatility (ann.)	20.37%	0.7%
R^2	0.06	0.06
Information Ratio	0.17	0.17
Calmar	22.85	-
Skew	1.4	2.63
Kurtosis	6.64	8.68
Expected Daily	0.25%	0.04%
Expected Monthly	3.28%	0.47%
Expected Yearly	13.79%	1.89%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.85%	-0.04%
Expected Shortfall (cVaR)	-1.85%	-0.04%
Max Consecutive Wins	7	51
Max Consecutive Losses	3	0
Gain/Pain Ratio	1.06	-
Gain/Pain (1M)	4.6	-
Payoff Ratio	-	-
Profit Factor	2.06	-
Common Sense Ratio	2.18	-
CPC Index	-	-
Tail Ratio	1.06	6.31
Outlier Win Ratio	3.1	70.06
Outlier Loss Ratio	2.07	-
MTD	9.39%	0.11%
3M	13.79%	1.89%
6M	13.79%	1.89%
YTD	13.79%	1.89%
1Y	13.79%	1.89%
3Y (ann.)	75.33%	8.46%
5Y (ann.)	75.33%	8.46%
10Y (ann.)	75.33%	8.46%
All-time (ann.)	75.33%	8.46%
Best Day	5.48%	0.21%
Worst Day	-3.22%	0.0%
Best Month	9.39%	1.14%
Worst Month	-2.91%	0.11%
Best Year	13.79%	1.89%
Worst Year	13.79%	1.89%
Avg. Drawdown	-1.68%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.18	-
Ulcer Index	0.01	0.0
Serenity Index	8.52	-
Avg. Up Month	5.47%	0.48%
Avg. Down Month	-	-
Win Days	60.78%	100.0%
Win Month	75.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	100.0%	100.0%
Beta	-7.17	-
Alpha	1.3	-
Correlation	-24.48%	-
Treynor Ratio	-1.92%	-