GOOD RUB[Strategy] vs EQMX RUB[Benchmark]

12 Dec, 2024 - 20 Feb, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	98.0%
Cumulative Return	5.19%	34.59%
CAGR﹪	30.19%	370.65%
Sharpe	-72.1	-1.33
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-69.77	-1.29
Sortino	-15.51	-2.13
Smart Sortino	-15.01	-2.06
Sortino/√2	-10.97	-1.51
Smart Sortino/√2	-10.61	-1.46
Omega	0.0	0.0
Max Drawdown	-0.25%	-4.36%
Longest DD Days	2	12
Volatility (ann.)	2.53%	34.98%
R^2	0.05	0.05
Information Ratio	-0.25	-0.25
Calmar	121.01	85.0
Skew	1.24	1.52
Kurtosis	6.14	4.39
Expected Daily	0.11%	0.62%
Expected Monthly	1.7%	10.41%
Expected Yearly	2.56%	16.01%
Kelly Criterion	74.39%	41.13%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.16%	-2.98%
Expected Shortfall (cVaR)	-0.16%	-2.98%
Max Consecutive Wins	13	6
Max Consecutive Losses	1	3
Gain/Pain Ratio	5.87	1.54
Gain/Pain (1M)	-	-
Payoff Ratio	1.98	1.59
Profit Factor	6.87	2.54
Common Sense Ratio	16.66	4.25
CPC Index	11.29	2.59
Tail Ratio	2.42	1.67
Outlier Win Ratio	29.49	2.66
Outlier Loss Ratio	14.86	1.36
MTD	1.24%	11.86%
3M	5.19%	34.59%
6M	5.19%	34.59%
YTD	2.79%	14.56%
1Y	5.19%	34.59%
3Y (ann.)	30.19%	370.65%
5Y (ann.)	30.19%	370.65%
10Y (ann.)	30.19%	370.65%
All-time (ann.)	30.19%	370.65%
Best Day	0.77%	8.58%
Worst Day	-0.25%	-3.16%
Best Month	2.34%	17.49%
Worst Month	1.24%	2.41%
Best Year	2.79%	17.49%
Worst Year	2.34%	14.56%
Avg. Drawdown	-0.11%	-2.15%
Avg. Drawdown Days	1	5
Recovery Factor	20.8	7.93
Ulcer Index	0.0	0.01
Serenity Index	-16872.61	-422.5
Avg. Up Month	1.7%	10.59%
Avg. Down Month	-	-
Win Days	82.98%	63.83%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.02	-
Alpha	0.24	-
Correlation	21.55%	-
Treynor Ratio	-44641.57%	-