GROD[Strategy] vs RUB Inflation[Benchmark]

16 Jun, 2021 - 11 Aug, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-38.42%	16.04%
CAGR%	-34.32%	13.77%
Sharpe	-1.26	1.93
Sortino	-1.53	94.09
Max Drawdown	-47.95%	-0.85%
Longest DD Days	295	71
Volatility (ann.)	31.73%	7.34%
R^2	0.11	0.11
Calmar	-0.72	16.24
Skew	-2.22	16.31
Kurtosis	24.05	267.28
Expected Daily %	-0.18%	0.06%
Expected Monthly %	-3.18%	1.0%
Expected Yearly %	-21.53%	7.72%
Kelly Criterion	-7.88%	77.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.45%	-0.7%
Expected Shortfall (cVaR)	-7.08%	-7.08%
Payoff Ratio	0.79	5.27
Profit Factor	0.24	15.93
Common Sense Ratio	0.15	70.36
CPC Index	0.1	67.78
Tail Ratio	0.65	4.42
Outlier Win Ratio	2.0	25.88
Outlier Loss Ratio	1.64	126.28
MTD	-0.13%	-0.15%
3M	-6.69%	-0.75%
6M	-32.13%	9.34%
YTD	-38.24%	10.85%
1Y	-40.83%	14.9%
3Y (ann.)	-34.32%	13.77%
5Y (ann.)	-34.32%	13.77%
10Y (ann.)	-34.32%	13.77%
All-time (ann.)	-34.32%	13.77%
Best Day	10.89%	7.61%
Worst Day	-16.81%	-0.1%
Best Month	10.89%	7.61%
Worst Month	-26.79%	-0.35%
Best Year	-0.3%	10.85%
Worst Year	-38.24%	4.69%
Avg. Drawdown	-6.95%	-0.47%
Avg. Drawdown Days	44	36
Recovery Factor	-0.8	18.92
Ulcer Index	inf	inf
Avg. Up Month	4.47%	2.3%
Avg. Down Month	-2.23%	-0.25%
Win Days %	52.26%	80.67%
Win Month %	33.33%	80.0%
Win Quarter %	33.33%	83.33%
Win Year %	0.0%	100.0%
Beta	1.43	-
Alpha	-0.6	-