FXES RUB[Strategy] vs OPNE RUB[Benchmark]

10 Sep, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	-11.57%	-7.73%
CAGR﹪	-23.45%	-16.03%
Sharpe	-0.98	-0.98
Prob. Sharpe Ratio	10.19%	10.85%
Smart Sharpe	-0.81	-0.81
Sortino	-1.31	-1.25
Smart Sortino	-1.09	-1.04
Sortino/√2	-0.92	-0.89
Smart Sortino/√2	-0.77	-0.74
Omega	0.84	0.84
Max Drawdown	-21.07%	-11.5%
Longest DD Days	100	58
Volatility (ann.)	29.52%	22.08%
R^2	0.06	0.06
Information Ratio	-0.01	-0.01
Calmar	-1.11	-1.39
Skew	-0.31	-0.92
Kurtosis	3.79	4.33
Expected Daily	-0.11%	-0.07%
Expected Monthly	-2.03%	-1.33%
Expected Yearly	-5.96%	-3.94%
Kelly Criterion	2.35%	-4.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.15%	-2.35%
Expected Shortfall (cVaR)	-3.15%	-2.35%
Max Consecutive Wins	4	8
Max Consecutive Losses	7	7
Gain/Pain Ratio	-0.13	-0.11
Gain/Pain (1M)	-0.43	-0.49
Payoff Ratio	1.35	0.95
Profit Factor	0.87	0.89
Common Sense Ratio	0.78	0.82
CPC Index	0.52	0.41
Tail Ratio	0.9	0.92
Outlier Win Ratio	2.62	3.69
Outlier Loss Ratio	2.98	3.48
MTD	-9.19%	-6.91%
3M	-19.44%	-6.76%
6M	-11.57%	-7.73%
YTD	-13.39%	-6.95%
1Y	-11.57%	-7.73%
3Y (ann.)	-23.45%	-16.03%
5Y (ann.)	-23.45%	-16.03%
10Y (ann.)	-23.45%	-16.03%
All-time (ann.)	-23.45%	-16.03%
Best Day	6.74%	2.97%
Worst Day	-8.23%	-6.92%
Best Month	10.09%	4.86%
Worst Month	-9.19%	-6.91%
Best Year	2.1%	-0.83%
Worst Year	-13.39%	-6.95%
Avg. Drawdown	-8.06%	-5.43%
Avg. Drawdown Days	39	32
Recovery Factor	-0.55	-0.67
Ulcer Index	0.09	0.05
Serenity Index	-0.24	-0.6
Avg. Up Month	3.34%	1.98%
Avg. Down Month	-6.69%	-4.05%
Win Days	43.97%	49.14%
Win Month	33.33%	33.33%
Win Quarter	33.33%	33.33%
Win Year	50.0%	0.0%
Beta	0.33	-
Alpha	-0.17	-
Correlation	24.5%	-
Treynor Ratio	-56.69%	-