CNYM[Strategy] vs RUB Inflation[Benchmark]

24 Jan, 2024 - 8 May, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	3.28%	2.35%
CAGR﹪	11.89%	8.42%
Sharpe	1.3	16.11
Prob. Sharpe Ratio	75.67%	-
Smart Sharpe	1.06	13.09
Sortino	1.9	-
Smart Sortino	1.54	-
Sortino/√2	1.34	-
Smart Sortino/√2	1.09	-
Omega	1.23	1.23
Max Drawdown	-3.24%	-
Longest DD Days	-	-
Volatility (ann.)	8.75%	0.49%
R^2	0.01	0.01
Information Ratio	0.03	0.03
Calmar	3.66	-
Skew	-0.2	3.22
Kurtosis	-0.42	9.35
Expected Daily	0.04%	0.03%
Expected Monthly	0.65%	0.47%
Expected Yearly	3.28%	2.35%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-0.02%
Expected Shortfall (cVaR)	-0.86%	-0.02%
Max Consecutive Wins	5	73
Max Consecutive Losses	7	0
Gain/Pain Ratio	0.23	-
Gain/Pain (1M)	8.03	-
Payoff Ratio	-	-
Profit Factor	1.23	-
Common Sense Ratio	1.14	-
CPC Index	-	-
Tail Ratio	0.93	7.34
Outlier Win Ratio	1.51	19.99
Outlier Loss Ratio	1.11	-
MTD	-0.42%	0.1%
3M	0.35%	1.45%
6M	3.28%	2.35%
YTD	3.28%	2.35%
1Y	3.28%	2.35%
3Y (ann.)	11.89%	8.42%
5Y (ann.)	11.89%	8.42%
10Y (ann.)	11.89%	8.42%
All-time (ann.)	11.89%	8.42%
Best Day	1.26%	0.14%
Worst Day	-1.09%	0.0%
Best Month	1.34%	0.72%
Worst Month	-0.42%	0.1%
Best Year	3.28%	2.35%
Worst Year	3.28%	2.35%
Avg. Drawdown	-1.25%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.01	-
Ulcer Index	0.01	0.0
Serenity Index	0.55	-
Avg. Up Month	0.92%	0.56%
Avg. Down Month	-	-
Win Days	57.53%	100.0%
Win Month	80.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	2.01	-
Alpha	-0.05	-
Correlation	11.3%	-
Treynor Ratio	1.63%	-