EQMX[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	60.64%	21.91%
CAGR﹪	19.16%	7.6%
Sharpe	0.87	22.73
Prob. Sharpe Ratio	92.26%	100.0%
Smart Sharpe	0.86	22.51
Sortino	1.25	65.91
Smart Sortino	1.23	65.24
Sortino/√2	0.88	46.6
Smart Sortino/√2	0.87	46.13
Omega	1.18	1.18
Max Drawdown	-27.32%	-0.84%
Longest DD Days	273	140
Volatility (ann.)	22.91%	0.32%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.7	9.01
Skew	-0.34	-0.92
Kurtosis	8.3	3.07
Expected Daily	0.07%	0.03%
Expected Monthly	1.4%	0.58%
Expected Yearly	12.58%	5.08%
Kelly Criterion	9.91%	92.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.29%	-0.0%
Expected Shortfall (cVaR)	-2.29%	-0.0%
Max Consecutive Wins	9	661
Max Consecutive Losses	7	28
Gain/Pain Ratio	0.18	23.4
Gain/Pain (1M)	0.81	23.4
Payoff Ratio	0.95	1.16
Profit Factor	1.18	24.4
Common Sense Ratio	1.18	656.52
CPC Index	0.63	27.16
Tail Ratio	1.0	26.91
Outlier Win Ratio	2.09	61.91
Outlier Loss Ratio	1.65	56.51
MTD	-8.44%	0.16%
3M	-1.96%	3.02%
6M	0.45%	6.63%
YTD	-4.25%	3.08%
1Y	-12.6%	10.67%
3Y (ann.)	19.16%	7.6%
5Y (ann.)	19.16%	7.6%
10Y (ann.)	19.16%	7.6%
All-time (ann.)	19.16%	7.6%
Best Day	8.58%	0.07%
Worst Day	-10.03%	-0.07%
Best Month	13.54%	1.43%
Worst Month	-16.61%	-0.52%
Best Year	52.2%	9.51%
Worst Year	-4.25%	0.53%
Avg. Drawdown	-3.51%	-0.84%
Avg. Drawdown Days	23	140
Recovery Factor	2.22	25.97
Ulcer Index	0.1	0.0
Serenity Index	0.48	4.2
Avg. Up Month	5.16%	0.64%
Avg. Down Month	-	-
Win Days	56.0%	95.94%
Win Month	67.65%	94.12%
Win Quarter	66.67%	91.67%
Win Year	75.0%	100.0%
Beta	-2.27	-
Alpha	0.36	-
Correlation	-3.15%	-
Treynor Ratio	-26.75%	-