FXJP RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

30 Dec, 2013 - 14 Feb, 2020

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	148.39%	93.58%
CAGR﹪	16.0%	11.38%
Sharpe	0.8	0.7
Prob. Sharpe Ratio	97.65%	95.56%
Smart Sharpe	0.71	0.62
Sortino	1.26	1.1
Smart Sortino	1.12	0.97
Sortino/√2	0.89	0.78
Smart Sortino/√2	0.79	0.69
Omega	1.17	1.17
Max Drawdown	-25.0%	-32.59%
Longest DD Days	707	1484
Volatility (ann.)	23.08%	19.04%
R^2	0.24	0.24
Information Ratio	0.02	0.02
Calmar	0.64	0.35
Skew	1.97	0.91
Kurtosis	49.56	15.6
Expected Daily	0.06%	0.05%
Expected Monthly	1.22%	0.88%
Expected Yearly	12.04%	8.61%
Kelly Criterion	8.58%	6.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.32%	-1.92%
Expected Shortfall (cVaR)	-2.32%	-1.92%
Max Consecutive Wins	11	9
Max Consecutive Losses	8	7
Gain/Pain Ratio	0.17	0.15
Gain/Pain (1M)	1.13	0.72
Payoff Ratio	1.15	1.04
Profit Factor	1.17	1.15
Common Sense Ratio	1.28	1.27
CPC Index	0.69	0.63
Tail Ratio	1.09	1.1
Outlier Win Ratio	4.27	5.23
Outlier Loss Ratio	3.54	4.24
MTD	0.66%	-0.55%
3M	-2.17%	-1.22%
6M	6.85%	-2.11%
YTD	1.33%	2.54%
1Y	5.64%	-4.44%
3Y (ann.)	7.92%	2.72%
5Y (ann.)	5.13%	0.78%
10Y (ann.)	16.0%	11.38%
All-time (ann.)	16.0%	11.38%
Best Day	22.38%	10.77%
Worst Day	-15.15%	-10.78%
Best Month	23.47%	23.05%
Worst Month	-8.86%	-10.87%
Best Year	66.62%	70.55%
Worst Year	-15.29%	-16.74%
Avg. Drawdown	-4.18%	-4.83%
Avg. Drawdown Days	54	78
Recovery Factor	5.94	2.87
Ulcer Index	0.1	0.21
Serenity Index	1.23	0.15
Avg. Up Month	5.36%	5.16%
Avg. Down Month	-3.37%	-4.11%
Win Days	51.17%	52.08%
Win Month	63.51%	55.41%
Win Quarter	76.0%	52.0%
Win Year	85.71%	57.14%
Beta	0.6	-
Alpha	0.11	-
Correlation	49.29%	-
Treynor Ratio	248.41%	-