CNYM RUB[Strategy] vs RCHY RUB[Benchmark]

5 Feb, 2024 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	96.0%
Cumulative Return	12.83%	2.33%
CAGR﹪	20.24%	3.58%
Sharpe	0.77	-0.4
Prob. Sharpe Ratio	52.32%	30.76%
Smart Sharpe	0.73	-0.38
Sortino	1.31	-0.57
Smart Sortino	1.24	-0.54
Sortino/√2	0.93	-0.4
Smart Sortino/√2	0.88	-0.38
Omega	1.18	1.18
Max Drawdown	-13.42%	-2.78%
Longest DD Days	139	53
Volatility (ann.)	16.51%	7.54%
R^2	0.01	0.01
Information Ratio	0.05	0.05
Calmar	1.51	1.29
Skew	1.99	0.23
Kurtosis	18.91	3.12
Expected Daily	0.07%	0.01%
Expected Monthly	1.35%	0.26%
Expected Yearly	12.83%	2.33%
Kelly Criterion	3.5%	-3.97%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.63%	-0.77%
Expected Shortfall (cVaR)	-1.63%	-0.77%
Max Consecutive Wins	7	5
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.29	0.09
Gain/Pain (1M)	2.04	0.84
Payoff Ratio	0.97	0.82
Profit Factor	1.29	1.09
Common Sense Ratio	1.65	1.18
CPC Index	0.66	0.48
Tail Ratio	1.28	1.08
Outlier Win Ratio	3.5	7.27
Outlier Loss Ratio	2.79	4.47
MTD	0.44%	-0.77%
3M	18.54%	-0.49%
6M	11.44%	-0.12%
YTD	12.83%	2.33%
1Y	12.83%	2.33%
3Y (ann.)	20.24%	3.58%
5Y (ann.)	20.24%	3.58%
10Y (ann.)	20.24%	3.58%
All-time (ann.)	20.24%	3.58%
Best Day	7.29%	1.8%
Worst Day	-4.96%	-1.69%
Best Month	13.51%	1.34%
Worst Month	-4.55%	-1.36%
Best Year	12.83%	2.33%
Worst Year	12.83%	2.33%
Avg. Drawdown	-2.14%	-0.99%
Avg. Drawdown Days	22	11
Recovery Factor	0.96	0.84
Ulcer Index	0.04	0.01
Serenity Index	0.17	-1.21
Avg. Up Month	1.18%	0.99%
Avg. Down Month	-2.19%	-1.36%
Win Days	52.41%	53.12%
Win Month	77.78%	66.67%
Win Quarter	75.0%	75.0%
Win Year	100.0%	100.0%
Beta	-0.25	-
Alpha	0.2	-
Correlation	-11.59%	-
Treynor Ratio	-22.99%	-