EQMX[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	85.91%	10.49%
CAGR﹪	42.19%	5.83%
Sharpe	1.79	18.79
Prob. Sharpe Ratio	98.42%	100.0%
Smart Sharpe	1.76	18.53
Sortino	2.46	41.15
Smart Sortino	2.42	40.59
Sortino/√2	1.74	29.09
Smart Sortino/√2	1.71	28.7
Omega	1.43	1.43
Max Drawdown	-24.3%	-0.84%
Longest DD Days	195	140
Volatility (ann.)	20.7%	0.3%
R^2	0.0	0.0
Information Ratio	0.1	0.1
Calmar	1.74	6.91
Skew	-1.68	-1.56
Kurtosis	13.69	4.48
Expected Daily	0.14%	0.02%
Expected Monthly	2.86%	0.45%
Expected Yearly	22.96%	3.38%
Kelly Criterion	12.28%	87.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.0%	-0.01%
Expected Shortfall (cVaR)	-2.0%	-0.01%
Max Consecutive Wins	9	420
Max Consecutive Losses	6	28
Gain/Pain Ratio	0.43	11.78
Gain/Pain (1M)	3.24	11.78
Payoff Ratio	0.81	0.95
Profit Factor	1.43	12.78
Common Sense Ratio	1.59	23.27
CPC Index	0.7	11.37
Tail Ratio	1.12	1.82
Outlier Win Ratio	2.34	72.22
Outlier Loss Ratio	2.01	60.34
MTD	3.05%	0.37%
3M	8.16%	1.65%
6M	7.44%	4.41%
YTD	11.25%	2.32%
1Y	37.71%	7.77%
3Y (ann.)	42.19%	5.83%
5Y (ann.)	42.19%	5.83%
10Y (ann.)	42.19%	5.83%
All-time (ann.)	42.19%	5.83%
Best Day	5.1%	0.05%
Worst Day	-10.03%	-0.07%
Best Month	13.45%	1.11%
Worst Month	-16.61%	-0.52%
Best Year	52.2%	7.42%
Worst Year	9.79%	0.53%
Avg. Drawdown	-2.45%	-0.84%
Avg. Drawdown Days	15	140
Recovery Factor	3.54	12.44
Ulcer Index	0.06	0.0
Serenity Index	1.81	1.21
Avg. Up Month	4.58%	0.51%
Avg. Down Month	-	-
Win Days	60.87%	93.75%
Win Month	81.82%	90.91%
Win Quarter	87.5%	87.5%
Win Year	100.0%	100.0%
Beta	-4.33	-
Alpha	0.61	-
Correlation	-6.23%	-
Treynor Ratio	-19.86%	-