EQMX[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	65.3%	22.53%
CAGR﹪	19.23%	7.37%
Sharpe	0.86	22.56
Prob. Sharpe Ratio	92.76%	100.0%
Smart Sharpe	0.85	22.16
Sortino	1.24	65.55
Smart Sortino	1.22	64.4
Sortino/√2	0.88	46.35
Smart Sortino/√2	0.86	45.54
Omega	1.17	1.17
Max Drawdown	-27.32%	-0.84%
Longest DD Days	273	140
Volatility (ann.)	23.07%	0.31%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.7	8.74
Skew	-0.29	-0.81
Kurtosis	7.58	3.21
Expected Daily	0.07%	0.03%
Expected Monthly	1.45%	0.58%
Expected Yearly	13.39%	5.21%
Kelly Criterion	10.35%	92.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.31%	-0.0%
Expected Shortfall (cVaR)	-2.31%	-0.0%
Max Consecutive Wins	9	705
Max Consecutive Losses	7	28
Gain/Pain Ratio	0.17	24.0
Gain/Pain (1M)	0.91	24.0
Payoff Ratio	0.98	1.13
Profit Factor	1.17	25.0
Common Sense Ratio	1.19	672.74
CPC Index	0.64	27.12
Tail Ratio	1.02	26.91
Outlier Win Ratio	2.14	67.21
Outlier Loss Ratio	1.63	56.7
MTD	-2.74%	0.47%
3M	-10.74%	1.57%
6M	11.87%	4.98%
YTD	-1.48%	3.61%
1Y	-9.14%	10.02%
3Y (ann.)	19.23%	7.37%
5Y (ann.)	19.23%	7.37%
10Y (ann.)	19.23%	7.37%
All-time (ann.)	19.23%	7.37%
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	-1.48%	0.53%
Avg. Drawdown	-3.58%	-0.84%
Avg. Drawdown Days	24	140
Recovery Factor	2.39	26.71
Ulcer Index	0.1	0.0
Serenity Index	0.49	4.48
Avg. Up Month	5.16%	0.64%
Avg. Down Month	-	-
Win Days	55.59%	96.18%
Win Month	65.71%	94.29%
Win Quarter	66.67%	91.67%
Win Year	75.0%	100.0%
Beta	-1.23	-
Alpha	0.29	-
Correlation	-1.65%	-
Treynor Ratio	-52.95%	-