AMSL[Strategy] vs RUB Inflation[Benchmark]

30 Apr, 2021 - 12 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-43.2%	7.02%
CAGR﹪	-37.58%	5.82%
Sharpe	-0.92	17.81
Prob. Sharpe Ratio	14.96%	100.0%
Smart Sharpe	-0.8	15.37
Sortino	-1.05	42.29
Smart Sortino	-0.91	36.51
Sortino/√2	-0.75	29.9
Smart Sortino/√2	-0.64	25.82
Omega	0.78	0.78
Max Drawdown	-50.69%	-0.74%
Longest DD Days	281	32
Volatility (ann.)	50.33%	0.41%
R^2	0.03	0.03
Information Ratio	-0.07	-0.07
Calmar	-0.74	7.88
Skew	-5.69	-1.24
Kurtosis	66.13	1.46
Expected Daily	-0.24%	0.03%
Expected Monthly	-4.26%	0.52%
Expected Yearly	-24.63%	3.45%
Kelly Criterion	-174.06%	82.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.4%	-0.01%
Expected Shortfall (cVaR)	-5.4%	-0.01%
Max Consecutive Wins	6	210
Max Consecutive Losses	5	22
Gain/Pain Ratio	-0.22	9.16
Gain/Pain (1M)	-0.56	9.16
Payoff Ratio	0.22	1.2
Profit Factor	0.78	10.16
Common Sense Ratio	0.56	26.22
CPC Index	0.09	11.03
Tail Ratio	0.72	2.58
Outlier Win Ratio	2.37	81.38
Outlier Loss Ratio	1.96	107.24
MTD	7.66%	-0.39%
3M	-42.69%	-0.74%
6M	-33.87%	1.12%
YTD	-35.06%	1.42%
1Y	-42.86%	5.4%
3Y (ann.)	-37.58%	5.82%
5Y (ann.)	-37.58%	5.82%
10Y (ann.)	-37.58%	5.82%
All-time (ann.)	-37.58%	5.82%
Best Day	12.46%	0.06%
Worst Day	-35.32%	-0.05%
Best Month	12.17%	1.17%
Worst Month	-46.77%	-0.39%
Best Year	-12.52%	5.53%
Worst Year	-35.06%	1.42%
Avg. Drawdown	-15.97%	-0.74%
Avg. Drawdown Days	86	32
Recovery Factor	-0.85	9.51
Ulcer Index	0.2	0.0
Serenity Index	-0.2	6.9
Avg. Up Month	5.04%	0.99%
Avg. Down Month	-46.77%	-0.35%
Win Days	50.46%	90.52%
Win Month	50.0%	83.33%
Win Quarter	50.0%	66.67%
Win Year	0.0%	100.0%
Beta	19.75	-
Alpha	-1.91	-
Correlation	16.17%	-
Treynor Ratio	-2.19%	-