GOLD[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	111.51%	10.49%
CAGR﹪	52.99%	5.83%
Sharpe	2.52	18.79
Prob. Sharpe Ratio	99.96%	100.0%
Smart Sharpe	2.41	17.95
Sortino	4.04	41.15
Smart Sortino	3.86	39.31
Sortino/√2	2.86	29.09
Smart Sortino/√2	2.73	27.8
Omega	1.52	1.52
Max Drawdown	-12.72%	-0.84%
Longest DD Days	204	140
Volatility (ann.)	17.3%	0.3%
R^2	0.0	0.0
Information Ratio	0.14	0.14
Calmar	4.17	6.91
Skew	0.04	-1.56
Kurtosis	1.52	4.48
Expected Daily	0.17%	0.02%
Expected Monthly	3.46%	0.45%
Expected Yearly	28.36%	3.38%
Kelly Criterion	10.67%	87.45%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.62%	-0.01%
Expected Shortfall (cVaR)	-1.62%	-0.01%
Max Consecutive Wins	9	420
Max Consecutive Losses	6	28
Gain/Pain Ratio	0.52	11.78
Gain/Pain (1M)	4.11	11.78
Payoff Ratio	0.92	0.99
Profit Factor	1.52	12.78
Common Sense Ratio	1.74	23.27
CPC Index	0.8	11.89
Tail Ratio	1.14	1.82
Outlier Win Ratio	1.86	62.84
Outlier Loss Ratio	1.71	44.83
MTD	2.66%	0.37%
3M	18.86%	1.65%
6M	15.65%	4.41%
YTD	14.59%	2.32%
1Y	31.99%	7.77%
3Y (ann.)	52.99%	5.83%
5Y (ann.)	52.99%	5.83%
10Y (ann.)	52.99%	5.83%
All-time (ann.)	52.99%	5.83%
Best Day	4.96%	0.05%
Worst Day	-3.98%	-0.07%
Best Month	17.35%	1.11%
Worst Month	-7.38%	-0.52%
Best Year	46.8%	7.42%
Worst Year	14.59%	0.53%
Avg. Drawdown	-2.07%	-0.84%
Avg. Drawdown Days	17	140
Recovery Factor	8.77	12.44
Ulcer Index	0.04	0.0
Serenity Index	4.56	1.21
Avg. Up Month	5.9%	0.51%
Avg. Down Month	-4.34%	-0.52%
Win Days	57.27%	93.75%
Win Month	72.73%	90.91%
Win Quarter	87.5%	87.5%
Win Year	100.0%	100.0%
Beta	-2.83	-
Alpha	0.59	-
Correlation	-4.89%	-
Treynor Ratio	-39.35%	-