FXAU RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

3 Dec, 2013 - 14 Feb, 2020

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	121.98%	91.06%
CAGR﹪	13.72%	11.0%
Sharpe	0.74	0.69
Prob. Sharpe Ratio	96.67%	95.36%
Smart Sharpe	0.74	0.69
Sortino	1.17	1.1
Smart Sortino	1.17	1.1
Sortino/√2	0.83	0.78
Smart Sortino/√2	0.83	0.78
Omega	1.16	1.16
Max Drawdown	-27.02%	-32.59%
Longest DD Days	1210	1481
Volatility (ann.)	22.06%	19.05%
R^2	0.16	0.16
Information Ratio	0.01	0.01
Calmar	0.51	0.34
Skew	1.62	1.0
Kurtosis	24.56	16.14
Expected Daily	0.06%	0.05%
Expected Monthly	1.07%	0.87%
Expected Yearly	10.48%	8.43%
Kelly Criterion	7.6%	7.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.22%	-1.92%
Expected Shortfall (cVaR)	-2.22%	-1.92%
Max Consecutive Wins	12	13
Max Consecutive Losses	8	7
Gain/Pain Ratio	0.16	0.15
Gain/Pain (1M)	0.82	0.7
Payoff Ratio	1.14	1.07
Profit Factor	1.16	1.15
Common Sense Ratio	1.17	1.26
CPC Index	0.67	0.64
Tail Ratio	1.01	1.1
Outlier Win Ratio	4.44	5.25
Outlier Loss Ratio	3.56	4.19
MTD	2.4%	-0.55%
3M	2.4%	-1.22%
6M	5.56%	-2.11%
YTD	3.53%	2.54%
1Y	9.73%	-4.44%
3Y (ann.)	8.61%	2.72%
5Y (ann.)	5.09%	0.78%
10Y (ann.)	13.72%	11.0%
All-time (ann.)	13.72%	11.0%
Best Day	17.81%	10.77%
Worst Day	-7.82%	-10.78%
Best Month	21.53%	23.05%
Worst Month	-9.44%	-11.26%
Best Year	59.31%	70.55%
Worst Year	-9.48%	-16.74%
Avg. Drawdown	-4.34%	-5.39%
Avg. Drawdown Days	82	88
Recovery Factor	4.52	2.79
Ulcer Index	0.1	0.21
Serenity Index	0.96	0.15
Avg. Up Month	5.85%	5.1%
Avg. Down Month	-2.9%	-3.64%
Win Days	50.83%	51.96%
Win Month	53.33%	54.67%
Win Quarter	61.54%	50.0%
Win Year	75.0%	50.0%
Beta	0.46	-
Alpha	0.1	-
Correlation	40.07%	-
Treynor Ratio	262.83%	-