GOLD[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 7 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	250.12%	31.63%
CAGR﹪	36.3%	7.03%
Sharpe	1.52	20.36
Prob. Sharpe Ratio	99.88%	100.0%
Smart Sharpe	1.44	19.18
Sortino	2.29	67.31
Smart Sortino	2.16	63.38
Sortino/√2	1.62	47.59
Smart Sortino/√2	1.53	44.82
Omega	1.3	1.3
Max Drawdown	-27.64%	-0.84%
Longest DD Days	278	140
Volatility (ann.)	21.58%	0.33%
R^2	0.0	0.0
Information Ratio	0.08	0.08
Calmar	1.31	8.33
Skew	-0.21	-0.04
Kurtosis	4.66	2.8
Expected Daily	0.12%	0.03%
Expected Monthly	2.54%	0.55%
Expected Yearly	28.48%	5.65%
Kelly Criterion	19.56%	91.5%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.11%	-0.01%
Expected Shortfall (cVaR)	-2.11%	-0.01%
Max Consecutive Wins	12	748
Max Consecutive Losses	9	28
Gain/Pain Ratio	0.3	22.03
Gain/Pain (1M)	2.33	22.03
Payoff Ratio	1.29	1.26
Profit Factor	1.3	23.03
Common Sense Ratio	1.55	619.86
CPC Index	0.92	27.68
Tail Ratio	1.19	26.91
Outlier Win Ratio	1.88	65.09
Outlier Loss Ratio	1.76	66.44
MTD	11.0%	0.21%
3M	2.67%	2.19%
6M	-6.23%	3.53%
YTD	6.16%	5.4%
1Y	34.26%	6.73%
3Y (ann.)	23.86%	8.26%
5Y (ann.)	36.3%	7.03%
10Y (ann.)	36.3%	7.03%
All-time (ann.)	36.3%	7.03%
Best Day	7.3%	0.09%
Worst Day	-10.11%	-0.07%
Best Month	17.35%	1.62%
Worst Month	-7.38%	-0.52%
Best Year	46.8%	9.51%
Worst Year	6.16%	0.53%
Avg. Drawdown	-3.09%	-0.62%
Avg. Drawdown Days	24	102
Recovery Factor	9.05	37.51
Ulcer Index	0.07	0.0
Serenity Index	3.46	8.88
Avg. Up Month	5.64%	0.62%
Avg. Down Month	-4.34%	-0.52%
Win Days	54.66%	95.26%
Win Month	68.0%	94.0%
Win Quarter	70.59%	94.12%
Win Year	100.0%	100.0%
Beta	0.87	-
Alpha	0.27	-
Correlation	1.33%	-
Treynor Ratio	286.01%	-