FXES RUB[Strategy] vs AMRB RUB[Benchmark]

16 Jul, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	85.0%
Cumulative Return	-11.83%	-10.69%
CAGR﹪	-18.55%	-16.82%
Sharpe	-0.84	-1.84
Prob. Sharpe Ratio	8.82%	1.79%
Smart Sharpe	-0.72	-1.57
Sortino	-1.13	-2.17
Smart Sortino	-0.96	-1.85
Sortino/√2	-0.8	-1.54
Smart Sortino/√2	-0.68	-1.31
Omega	0.86	0.86
Max Drawdown	-21.07%	-12.01%
Longest DD Days	100	161
Volatility (ann.)	27.48%	13.06%
R^2	0.03	0.03
Information Ratio	0.0	0.0
Calmar	-0.88	-1.4
Skew	-0.32	-2.82
Kurtosis	3.88	39.85
Expected Daily	-0.08%	-0.07%
Expected Monthly	-1.56%	-1.4%
Expected Yearly	-6.1%	-5.5%
Kelly Criterion	11.63%	-26.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.91%	-1.42%
Expected Shortfall (cVaR)	-2.91%	-1.42%
Max Consecutive Wins	4	4
Max Consecutive Losses	7	4
Gain/Pain Ratio	-0.1	-0.32
Gain/Pain (1M)	-0.4	-0.82
Payoff Ratio	1.56	0.73
Profit Factor	0.9	0.68
Common Sense Ratio	0.79	0.58
CPC Index	0.65	0.23
Tail Ratio	0.88	0.84
Outlier Win Ratio	1.88	8.61
Outlier Loss Ratio	2.8	6.99
MTD	-9.19%	-8.12%
3M	-19.44%	-8.68%
6M	-11.74%	-11.75%
YTD	-13.39%	-10.15%
1Y	-11.83%	-10.69%
3Y (ann.)	-18.55%	-16.82%
5Y (ann.)	-18.55%	-16.82%
10Y (ann.)	-18.55%	-16.82%
All-time (ann.)	-18.55%	-16.82%
Best Day	6.74%	4.92%
Worst Day	-8.23%	-6.87%
Best Month	10.09%	1.32%
Worst Month	-9.19%	-8.12%
Best Year	1.81%	-0.6%
Worst Year	-13.39%	-10.15%
Avg. Drawdown	-8.29%	-1.37%
Avg. Drawdown Days	42	18
Recovery Factor	-0.56	-0.89
Ulcer Index	0.09	0.03
Serenity Index	-0.25	-0.96
Avg. Up Month	-	-
Avg. Down Month	-6.91%	-5.17%
Win Days	46.15%	46.62%
Win Month	37.5%	42.86%
Win Quarter	33.33%	33.33%
Win Year	50.0%	0.0%
Beta	-0.33	-
Alpha	-0.22	-
Correlation	-15.88%	-
Treynor Ratio	56.36%	-