FXRL[Strategy] vs RUB Inflation[Benchmark]

2 Mar, 2016 - 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	89.99%	32.72%
CAGR﹪	11.31%	4.84%
Sharpe	0.65	19.27
Prob. Sharpe Ratio	93.71%	100.0%
Smart Sharpe	0.63	18.65
Sortino	0.86	86.3
Smart Sortino	0.83	83.55
Sortino/√2	0.61	61.02
Smart Sortino/√2	0.59	59.08
Omega	1.13	1.13
Max Drawdown	-38.18%	-0.69%
Longest DD Days	370	141
Volatility (ann.)	19.53%	0.25%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	0.3	7.02
Skew	-1.59	0.28
Kurtosis	16.97	0.8
Expected Daily	0.04%	0.02%
Expected Monthly	0.9%	0.39%
Expected Yearly	9.6%	4.13%
Kelly Criterion	17.08%	87.8%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.97%	-0.01%
Expected Shortfall (cVaR)	-1.97%	-0.01%
Max Consecutive Wins	13	463
Max Consecutive Losses	6	44
Gain/Pain Ratio	0.13	23.55
Gain/Pain (1M)	0.78	23.55
Payoff Ratio	1.25	2.4
Profit Factor	1.13	24.55
Common Sense Ratio	1.14	169.25
CPC Index	0.76	53.96
Tail Ratio	1.01	6.89
Outlier Win Ratio	1.8	67.26
Outlier Loss Ratio	2.25	207.64
MTD	-26.79%	1.17%
3M	-32.68%	3.2%
6M	-31.59%	5.82%
YTD	-30.75%	2.17%
1Y	-19.18%	9.24%
3Y (ann.)	7.26%	5.74%
5Y (ann.)	10.48%	4.94%
10Y (ann.)	11.31%	4.84%
All-time (ann.)	11.31%	4.84%
Best Day	7.78%	0.06%
Worst Day	-13.29%	-0.02%
Best Month	14.67%	1.17%
Worst Month	-26.79%	-0.54%
Best Year	37.05%	8.39%
Worst Year	-30.75%	2.17%
Avg. Drawdown	-2.63%	-0.4%
Avg. Drawdown Days	22	109
Recovery Factor	2.36	47.47
Ulcer Index	0.08	0.0
Serenity Index	0.98	14.9
Avg. Up Month	3.55%	0.41%
Avg. Down Month	-0.71%	-0.15%
Win Days	53.97%	91.39%
Win Month	69.44%	91.67%
Win Quarter	76.0%	92.0%
Win Year	71.43%	100.0%
Beta	-3.77	-
Alpha	0.3	-
Correlation	-4.74%	-
Treynor Ratio	-23.84%	-