FXCN RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

11 Jun, 2014 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	169.65%	141.43%
CAGR﹪	13.72%	12.1%
Sharpe	0.63	0.72
Prob. Sharpe Ratio	95.98%	97.77%
Smart Sharpe	0.59	0.67
Sortino	0.94	1.14
Smart Sortino	0.88	1.06
Sortino/√2	0.67	0.8
Smart Sortino/√2	0.62	0.75
Omega	1.12	1.12
Max Drawdown	-42.83%	-32.59%
Longest DD Days	910	2225
Volatility (ann.)	26.18%	18.66%
R^2	0.1	0.1
Information Ratio	0.01	0.01
Calmar	0.32	0.37
Skew	0.48	0.99
Kurtosis	10.61	14.92
Expected Daily	0.05%	0.05%
Expected Monthly	1.07%	0.95%
Expected Yearly	11.65%	10.29%
Kelly Criterion	9.98%	6.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-1.88%
Expected Shortfall (cVaR)	-2.65%	-1.88%
Max Consecutive Wins	9	9
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.12	0.15
Gain/Pain (1M)	0.72	0.81
Payoff Ratio	1.16	1.11
Profit Factor	1.12	1.15
Common Sense Ratio	1.22	1.31
CPC Index	0.67	0.65
Tail Ratio	1.09	1.14
Outlier Win Ratio	3.52	5.08
Outlier Loss Ratio	2.95	4.98
MTD	-10.44%	7.35%
3M	-13.68%	10.68%
6M	-16.23%	12.57%
YTD	-6.15%	11.14%
1Y	-37.95%	12.86%
3Y (ann.)	1.42%	8.91%
5Y (ann.)	7.88%	7.98%
10Y (ann.)	13.72%	12.1%
All-time (ann.)	13.72%	12.1%
Best Day	17.17%	10.77%
Worst Day	-13.49%	-10.78%
Best Month	33.05%	23.05%
Worst Month	-15.74%	-11.19%
Best Year	70.92%	62.89%
Worst Year	-26.69%	-16.74%
Avg. Drawdown	-5.25%	-4.91%
Avg. Drawdown Days	51	100
Recovery Factor	3.96	4.34
Ulcer Index	0.16	0.19
Serenity Index	0.61	0.27
Avg. Up Month	7.94%	5.48%
Avg. Down Month	-3.06%	-3.23%
Win Days	51.73%	50.71%
Win Month	51.61%	55.91%
Win Quarter	59.38%	50.0%
Win Year	55.56%	66.67%
Beta	0.44	-
Alpha	0.11	-
Correlation	31.37%	-
Treynor Ratio	385.42%	-