FXRW RUB[Strategy] vs AKME RUB[Benchmark]

23 Dec, 2020 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	99.0%
Cumulative Return	-2.0%	-11.68%
CAGR﹪	-1.71%	-10.03%
Sharpe	-0.41	-0.43
Prob. Sharpe Ratio	11.01%	7.11%
Smart Sharpe	-0.39	-0.4
Sortino	-0.48	-0.49
Smart Sortino	-0.45	-0.46
Sortino/√2	-0.34	-0.35
Smart Sortino/√2	-0.32	-0.33
Omega	0.92	0.92
Max Drawdown	-19.36%	-38.35%
Longest DD Days	99	136
Volatility (ann.)	16.9%	29.45%
R^2	0.41	0.41
Information Ratio	0.02	0.02
Calmar	-0.09	-0.26
Skew	-4.56	-4.78
Kurtosis	46.11	44.3
Expected Daily	-0.01%	-0.04%
Expected Monthly	-0.13%	-0.82%
Expected Yearly	-0.67%	-4.05%
Kelly Criterion	-8.21%	-17.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.75%	-3.07%
Expected Shortfall (cVaR)	-1.75%	-3.07%
Max Consecutive Wins	11	11
Max Consecutive Losses	8	8
Gain/Pain Ratio	-0.0	-0.04
Gain/Pain (1M)	-0.01	-0.16
Payoff Ratio	0.63	0.61
Profit Factor	1.0	0.96
Common Sense Ratio	0.89	0.9
CPC Index	0.37	0.32
Tail Ratio	0.89	0.94
Outlier Win Ratio	4.08	2.57
Outlier Loss Ratio	4.8	3.19
MTD	-15.19%	-27.94%
3M	-18.35%	-34.25%
6M	-14.21%	-31.22%
YTD	-18.58%	-33.76%
1Y	-8.14%	-16.66%
3Y (ann.)	-1.71%	-10.03%
5Y (ann.)	-1.71%	-10.03%
10Y (ann.)	-1.71%	-10.03%
All-time (ann.)	-1.71%	-10.03%
Best Day	2.29%	5.73%
Worst Day	-11.57%	-19.31%
Best Month	3.79%	8.0%
Worst Month	-15.19%	-27.94%
Best Year	19.01%	30.41%
Worst Year	-18.58%	-33.76%
Avg. Drawdown	-1.91%	-2.77%
Avg. Drawdown Days	12	13
Recovery Factor	-0.1	-0.3
Ulcer Index	0.03	0.07
Serenity Index	-0.62	-0.37
Avg. Up Month	2.42%	3.43%
Avg. Down Month	-5.23%	-10.63%
Win Days	58.11%	55.44%
Win Month	66.67%	66.67%
Win Quarter	66.67%	66.67%
Win Year	66.67%	66.67%
Beta	0.37	-
Alpha	0.02	-
Correlation	63.64%	-
Treynor Ratio	-24.66%	-