FXDM RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

13 Apr, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	3.04%	9.3%
CAGR﹪	3.5%	10.74%
Sharpe	0.31	0.76
Prob. Sharpe Ratio	61.48%	78.19%
Smart Sharpe	0.26	0.65
Sortino	0.44	1.48
Smart Sortino	0.37	1.26
Sortino/√2	0.31	1.05
Smart Sortino/√2	0.26	0.89
Omega	1.05	1.05
Max Drawdown	-7.64%	-9.54%
Longest DD Days	78	272
Volatility (ann.)	13.97%	14.45%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	0.46	1.13
Skew	-0.27	3.49
Kurtosis	1.54	28.87
Expected Daily	0.01%	0.04%
Expected Monthly	0.27%	0.81%
Expected Yearly	1.51%	4.55%
Kelly Criterion	13.94%	4.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.43%	-1.45%
Expected Shortfall (cVaR)	-1.43%	-1.45%
Max Consecutive Wins	10	5
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.05	0.17
Gain/Pain (1M)	0.47	1.45
Payoff Ratio	1.26	1.29
Profit Factor	1.05	1.17
Common Sense Ratio	1.07	1.62
CPC Index	0.69	0.7
Tail Ratio	1.01	1.39
Outlier Win Ratio	3.8	3.73
Outlier Loss Ratio	2.99	4.17
MTD	-1.91%	7.35%
3M	-0.13%	10.68%
6M	1.26%	12.57%
YTD	-1.28%	11.14%
1Y	3.04%	9.3%
3Y (ann.)	3.5%	10.74%
5Y (ann.)	3.5%	10.74%
10Y (ann.)	3.5%	10.74%
All-time (ann.)	3.5%	10.74%
Best Day	2.8%	8.19%
Worst Day	-3.35%	-2.64%
Best Month	5.38%	7.35%
Worst Month	-4.54%	-2.45%
Best Year	4.38%	11.14%
Worst Year	-1.28%	-1.66%
Avg. Drawdown	-3.47%	-2.65%
Avg. Drawdown Days	33	38
Recovery Factor	0.4	0.97
Ulcer Index	0.03	0.05
Serenity Index	0.17	0.25
Avg. Up Month	1.79%	1.77%
Avg. Down Month	-2.13%	-0.67%
Win Days	52.04%	46.19%
Win Month	63.64%	54.55%
Win Quarter	25.0%	50.0%
Win Year	50.0%	50.0%
Beta	0.12	-
Alpha	0.03	-
Correlation	12.22%	-
Treynor Ratio	25.77%	-