AMNY[Strategy] vs RUB Inflation[Benchmark]

24 Jun, 2024 - 15 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1.98%	11.71%
CAGR﹪	1.33%	7.79%
Sharpe	0.16	18.62
Prob. Sharpe Ratio	57.82%	100.0%
Smart Sharpe	0.16	18.44
Sortino	0.23	104.41
Smart Sortino	0.23	103.39
Sortino/√2	0.17	73.83
Smart Sortino/√2	0.16	73.11
Omega	1.03	1.03
Max Drawdown	-27.73%	-0.4%
Longest DD Days	381	63
Volatility (ann.)	16.48%	0.4%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.05	19.47
Skew	0.23	2.03
Kurtosis	3.41	13.15
Expected Daily	0.01%	0.03%
Expected Monthly	0.1%	0.58%
Expected Yearly	0.98%	5.69%
Kelly Criterion	35.67%	90.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.7%	-0.01%
Expected Shortfall (cVaR)	-1.7%	-0.01%
Max Consecutive Wins	9	273
Max Consecutive Losses	10	21
Gain/Pain Ratio	0.03	27.65
Gain/Pain (1M)	0.11	27.65
Payoff Ratio	3.1	1.69
Profit Factor	1.03	28.65
Common Sense Ratio	1.03	101.52
CPC Index	1.64	45.59
Tail Ratio	1.0	3.54
Outlier Win Ratio	1.87	40.32
Outlier Loss Ratio	1.96	74.82
MTD	2.76%	0.23%
3M	-4.25%	1.34%
6M	3.23%	1.78%
YTD	-18.25%	5.51%
1Y	-19.03%	6.26%
3Y (ann.)	1.33%	7.79%
5Y (ann.)	1.33%	7.79%
10Y (ann.)	1.33%	7.79%
All-time (ann.)	1.33%	7.79%
Best Day	5.48%	0.21%
Worst Day	-3.95%	-0.02%
Best Month	12.87%	1.43%
Worst Month	-8.96%	-0.4%
Best Year	24.74%	5.88%
Worst Year	-18.25%	5.51%
Avg. Drawdown	-2.52%	-0.4%
Avg. Drawdown Days	27	63
Recovery Factor	0.07	29.28
Ulcer Index	0.18	0.0
Serenity Index	0.0	23.49
Avg. Up Month	4.83%	0.64%
Avg. Down Month	-	-
Win Days	51.35%	94.32%
Win Month	47.37%	94.74%
Win Quarter	42.86%	100.0%
Win Year	50.0%	100.0%
Beta	-2.47	-
Alpha	0.21	-
Correlation	-6.05%	-
Treynor Ratio	-0.8%	-