FXKZ[Strategy] vs RUB Inflation[Benchmark]

16 Oct, 2018 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	68.73%	21.73%
CAGR﹪	16.82%	6.02%
Sharpe	0.97	21.83
Prob. Sharpe Ratio	96.06%	100.0%
Smart Sharpe	0.91	20.5
Sortino	1.42	166.41
Smart Sortino	1.33	156.27
Sortino/√2	1.0	117.67
Smart Sortino/√2	0.94	110.5
Omega	1.2	1.2
Max Drawdown	-16.22%	-0.4%
Longest DD Days	536	120
Volatility (ann.)	17.65%	0.27%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	1.04	15.06
Skew	-0.16	0.12
Kurtosis	12.57	-0.37
Expected Daily	0.06%	0.02%
Expected Monthly	1.28%	0.48%
Expected Yearly	11.03%	4.01%
Kelly Criterion	20.38%	87.51%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.76%	-0.0%
Expected Shortfall (cVaR)	-1.76%	-0.0%
Max Consecutive Wins	9	357
Max Consecutive Losses	8	43
Gain/Pain Ratio	0.2	38.52
Gain/Pain (1M)	1.72	38.52
Payoff Ratio	1.52	4.31
Profit Factor	1.2	39.52
Common Sense Ratio	1.48	339.66
CPC Index	0.95	153.12
Tail Ratio	1.23	8.59
Outlier Win Ratio	1.96	56.41
Outlier Loss Ratio	1.7	203.55
MTD	-8.9%	1.17%
3M	-10.22%	3.2%
6M	9.62%	5.82%
YTD	-8.46%	2.17%
1Y	14.82%	9.24%
3Y (ann.)	19.02%	5.74%
5Y (ann.)	16.82%	6.02%
10Y (ann.)	16.82%	6.02%
All-time (ann.)	16.82%	6.02%
Best Day	8.94%	0.06%
Worst Day	-7.39%	-0.01%
Best Month	8.54%	1.17%
Worst Month	-8.9%	-0.24%
Best Year	39.72%	8.39%
Worst Year	-8.46%	1.67%
Avg. Drawdown	-2.72%	-0.25%
Avg. Drawdown Days	32	93
Recovery Factor	4.24	54.37
Ulcer Index	0.06	0.0
Serenity Index	1.26	28.21
Avg. Up Month	3.28%	0.57%
Avg. Down Month	-1.57%	-0.11%
Win Days	51.99%	89.86%
Win Month	70.73%	90.24%
Win Quarter	71.43%	92.86%
Win Year	60.0%	100.0%
Beta	0.07	-
Alpha	0.17	-
Correlation	0.11%	-
Treynor Ratio	947.77%	-