FXIT RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

10 Jun, 2014 - 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	758.42%	141.52%
CAGR﹪	32.12%	12.1%
Sharpe	1.33	0.72
Prob. Sharpe Ratio	99.98%	97.74%
Smart Sharpe	1.25	0.67
Sortino	1.96	1.12
Smart Sortino	1.84	1.05
Sortino/√2	1.38	0.79
Smart Sortino/√2	1.3	0.74
Omega	1.27	1.27
Max Drawdown	-27.25%	-32.59%
Longest DD Days	490	2225
Volatility (ann.)	23.23%	18.47%
R^2	0.16	0.16
Information Ratio	0.05	0.05
Calmar	1.18	0.37
Skew	-0.13	0.65
Kurtosis	14.43	15.95
Expected Daily	0.11%	0.05%
Expected Monthly	2.34%	0.95%
Expected Yearly	26.98%	10.29%
Kelly Criterion	15.64%	2.53%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.28%	-1.86%
Expected Shortfall (cVaR)	-2.28%	-1.86%
Max Consecutive Wins	10	8
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.27	0.15
Gain/Pain (1M)	1.93	0.81
Payoff Ratio	1.09	1.01
Profit Factor	1.27	1.15
Common Sense Ratio	1.42	1.34
CPC Index	0.78	0.59
Tail Ratio	1.12	1.16
Outlier Win Ratio	3.54	4.59
Outlier Loss Ratio	3.1	4.49
MTD	-11.15%	7.35%
3M	-15.35%	10.68%
6M	-9.68%	12.57%
YTD	-16.45%	11.14%
1Y	5.7%	12.86%
3Y (ann.)	31.44%	8.91%
5Y (ann.)	30.18%	7.98%
10Y (ann.)	32.12%	12.1%
All-time (ann.)	32.12%	12.1%
Best Day	15.41%	10.77%
Worst Day	-15.0%	-10.78%
Best Month	21.34%	23.05%
Worst Month	-11.15%	-11.44%
Best Year	79.9%	62.96%
Worst Year	-16.45%	-16.74%
Avg. Drawdown	-3.17%	-4.47%
Avg. Drawdown Days	22	90
Recovery Factor	27.83	4.34
Ulcer Index	0.08	0.19
Serenity Index	9.6	0.27
Avg. Up Month	6.66%	4.77%
Avg. Down Month	-3.89%	-4.45%
Win Days	55.93%	51.04%
Win Month	68.82%	55.91%
Win Quarter	81.25%	50.0%
Win Year	77.78%	66.67%
Beta	0.51	-
Alpha	0.24	-
Correlation	40.49%	-
Treynor Ratio	1489.41%	-