AMRH RUB[Strategy] vs MCFTR RUB[Benchmark]

16 Aug, 2021 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	89.0%	100.0%
Cumulative Return	18.67%	6.46%
CAGR﹪	6.57%	2.35%
Sharpe	-10.71	-5.94
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-7.47	-4.15
Sortino	-9.96	-6.15
Smart Sortino	-6.95	-4.29
Sortino/√2	-7.04	-4.35
Smart Sortino/√2	-4.91	-3.04
Omega	0.12	0.12
Max Drawdown	-21.06%	-53.53%
Longest DD Days	240	916
Volatility (ann.)	18.72%	33.68%
R^2	0.23	0.23
Information Ratio	-0.0	-0.0
Calmar	0.31	0.04
Skew	-1.06	-5.15
Kurtosis	50.21	106.34
Expected Daily	0.03%	0.01%
Expected Monthly	0.54%	0.2%
Expected Yearly	4.37%	1.58%
Kelly Criterion	-11.6%	-14.67%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.91%	-3.46%
Expected Shortfall (cVaR)	-1.91%	-3.46%
Max Consecutive Wins	8	9
Max Consecutive Losses	8	5
Gain/Pain Ratio	0.14	0.07
Gain/Pain (1M)	1.14	0.31
Payoff Ratio	0.68	0.62
Profit Factor	1.14	1.07
Common Sense Ratio	1.33	1.05
CPC Index	0.43	0.37
Tail Ratio	1.17	0.98
Outlier Win Ratio	8.41	4.07
Outlier Loss Ratio	7.46	3.94
MTD	1.02%	2.9%
3M	2.59%	8.14%
6M	4.75%	7.52%
YTD	2.76%	11.49%
1Y	7.11%	39.41%
3Y (ann.)	6.57%	2.35%
5Y (ann.)	6.57%	2.35%
10Y (ann.)	6.57%	2.35%
All-time (ann.)	6.57%	2.35%
Best Day	11.77%	20.04%
Worst Day	-14.25%	-33.28%
Best Month	8.18%	15.56%
Worst Month	-9.29%	-30.02%
Best Year	8.43%	53.84%
Worst Year	-0.29%	-37.26%
Avg. Drawdown	-0.96%	-7.82%
Avg. Drawdown Days	13	120
Recovery Factor	0.89	0.12
Ulcer Index	0.03	0.3
Serenity Index	-36.71	-0.91
Avg. Up Month	1.6%	5.24%
Avg. Down Month	-3.22%	-11.19%
Win Days	54.66%	55.91%
Win Month	64.52%	65.62%
Win Quarter	58.33%	66.67%
Win Year	75.0%	50.0%
Beta	0.27	-
Alpha	0.06	-
Correlation	48.33%	-
Treynor Ratio	-2536.33%	-