GOOD RUB[Strategy] vs SUGB RUB[Benchmark]

16 Dec, 2024 - 20 Feb, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	98.0%	96.0%
Cumulative Return	5.12%	9.6%
CAGR﹪	31.78%	66.06%
Sharpe	-69.44	-11.48
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-68.44	-11.31
Sortino	-15.48	-10.37
Smart Sortino	-15.26	-10.22
Sortino/√2	-10.95	-7.33
Smart Sortino/√2	-10.79	-7.23
Omega	0.0	0.0
Max Drawdown	-0.25%	-1.51%
Longest DD Days	5	19
Volatility (ann.)	2.6%	13.64%
R^2	0.18	0.18
Information Ratio	-0.12	-0.12
Calmar	127.38	43.63
Skew	1.12	1.17
Kurtosis	5.54	3.16
Expected Daily	0.11%	0.2%
Expected Monthly	1.68%	3.1%
Expected Yearly	2.53%	4.69%
Kelly Criterion	67.29%	24.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.16%	-1.21%
Expected Shortfall (cVaR)	-0.16%	-1.21%
Max Consecutive Wins	13	6
Max Consecutive Losses	1	3
Gain/Pain Ratio	5.79	1.02
Gain/Pain (1M)	-	-
Payoff Ratio	1.25	1.08
Profit Factor	6.79	2.02
Common Sense Ratio	15.99	2.73
CPC Index	6.95	1.33
Tail Ratio	2.36	1.35
Outlier Win Ratio	11.23	2.7
Outlier Loss Ratio	7.2	1.45
MTD	1.24%	1.43%
3M	5.12%	9.6%
6M	5.12%	9.6%
YTD	2.79%	3.3%
1Y	5.12%	9.6%
3Y (ann.)	31.78%	66.06%
5Y (ann.)	31.78%	66.06%
10Y (ann.)	31.78%	66.06%
All-time (ann.)	31.78%	66.06%
Best Day	0.77%	3.13%
Worst Day	-0.25%	-1.51%
Best Month	2.26%	6.1%
Worst Month	1.24%	1.43%
Best Year	2.79%	6.1%
Worst Year	2.26%	3.3%
Avg. Drawdown	-0.11%	-1.0%
Avg. Drawdown Days	2	8
Recovery Factor	20.51	6.34
Ulcer Index	0.0	0.01
Serenity Index	-16243.71	-781.31
Avg. Up Month	1.68%	3.13%
Avg. Down Month	-	-
Win Days	81.82%	60.47%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.08	-
Alpha	0.24	-
Correlation	42.91%	-
Treynor Ratio	-8480.76%	-