GPBW RUB[Strategy] vs Deposit RUB[Benchmark]

2 Feb, 2022 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	89.0%	95.0%
Cumulative Return	7.55%	0.67%
CAGR﹪	217.47%	11.24%
Sharpe	5.22	61.6
Prob. Sharpe Ratio	94.62%	96.13%
Smart Sharpe	4.51	53.23
Sortino	13.1	-
Smart Sortino	11.32	-
Sortino/√2	9.26	-
Smart Sortino/√2	8.0	-
Omega	2.47	2.47
Max Drawdown	-2.35%	-
Longest DD Days	-	-
Volatility (ann.)	21.11%	0.16%
R^2	0.01	0.01
Information Ratio	0.3	0.3
Calmar	92.66	-
Skew	1.07	-4.12
Kurtosis	1.74	17.0
Expected Daily	0.43%	0.04%
Expected Monthly	7.55%	0.67%
Expected Yearly	7.55%	0.67%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.75%	-0.02%
Expected Shortfall (cVaR)	-1.75%	-0.02%
Max Consecutive Wins	6	16
Max Consecutive Losses	3	0
Gain/Pain Ratio	1.47	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.47	-
Common Sense Ratio	5.43	-
CPC Index	-	-
Tail Ratio	2.2	1.25
Outlier Win Ratio	1.63	46.75
Outlier Loss Ratio	0.71	-
MTD	7.55%	0.67%
3M	7.55%	0.67%
6M	7.55%	0.67%
YTD	7.55%	0.67%
1Y	7.55%	0.67%
3Y (ann.)	217.47%	11.24%
5Y (ann.)	217.47%	11.24%
10Y (ann.)	217.47%	11.24%
All-time (ann.)	217.47%	11.24%
Best Day	3.98%	0.04%
Worst Day	-1.24%	0.0%
Best Month	7.55%	0.67%
Worst Month	7.55%	0.67%
Best Year	7.55%	0.67%
Worst Year	7.55%	0.67%
Avg. Drawdown	-2.35%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.22	-
Ulcer Index	0.01	0.0
Serenity Index	3.93	-
Avg. Up Month	7.55%	0.67%
Avg. Down Month	-	-
Win Days	60.0%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	11.08	-
Alpha	-0.0	-
Correlation	8.47%	-
Treynor Ratio	0.68%	-