FXIM RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

24 Dec, 2020 - 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	18.67%	12.32%
CAGR﹪	15.71%	10.42%
Sharpe	0.85	0.79
Prob. Sharpe Ratio	82.27%	82.13%
Smart Sharpe	0.78	0.72
Sortino	1.26	1.46
Smart Sortino	1.15	1.34
Sortino/√2	0.89	1.04
Smart Sortino/√2	0.81	0.95
Omega	1.15	1.15
Max Drawdown	-15.54%	-10.2%
Longest DD Days	81	284
Volatility (ann.)	19.12%	13.66%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	1.01	1.02
Skew	0.04	3.14
Kurtosis	2.04	27.23
Expected Daily	0.06%	0.04%
Expected Monthly	1.15%	0.78%
Expected Yearly	5.87%	3.95%
Kelly Criterion	7.6%	2.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.92%	-1.37%
Expected Shortfall (cVaR)	-1.92%	-1.37%
Max Consecutive Wins	8	5
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.15	0.17
Gain/Pain (1M)	0.94	1.61
Payoff Ratio	1.01	1.17
Profit Factor	1.15	1.17
Common Sense Ratio	1.13	1.54
CPC Index	0.62	0.65
Tail Ratio	0.98	1.32
Outlier Win Ratio	2.8	4.03
Outlier Loss Ratio	2.4	4.51
MTD	-4.78%	7.35%
3M	-9.36%	10.68%
6M	-3.3%	12.57%
YTD	-10.47%	11.14%
1Y	13.58%	12.86%
3Y (ann.)	15.71%	10.42%
5Y (ann.)	15.71%	10.42%
10Y (ann.)	15.71%	10.42%
All-time (ann.)	15.71%	10.42%
Best Day	5.51%	8.19%
Worst Day	-4.91%	-2.64%
Best Month	6.59%	7.35%
Worst Month	-6.6%	-2.45%
Best Year	30.72%	11.14%
Worst Year	-10.47%	0.36%
Avg. Drawdown	-3.6%	-2.32%
Avg. Drawdown Days	19	31
Recovery Factor	1.2	1.21
Ulcer Index	0.05	0.05
Serenity Index	0.54	0.29
Avg. Up Month	3.07%	1.32%
Avg. Down Month	-4.95%	-1.51%
Win Days	53.56%	47.47%
Win Month	73.33%	60.0%
Win Quarter	83.33%	66.67%
Win Year	66.67%	100.0%
Beta	-0.05	-
Alpha	0.17	-
Correlation	-3.76%	-
Treynor Ratio	-354.46%	-