INFL[Strategy] vs RUB Inflation[Benchmark]

20 Dec, 2021 - 9 Jun, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	22.12%	7.5%
CAGR﹪	14.58%	5.05%
Sharpe	0.94	10.88
Prob. Sharpe Ratio	90.95%	100.0%
Smart Sharpe	0.91	10.49
Sortino	1.84	39.37
Smart Sortino	1.78	37.97
Sortino/√2	1.3	27.84
Smart Sortino/√2	1.26	26.85
Omega	1.57	1.57
Max Drawdown	-11.03%	-1.25%
Longest DD Days	96	209
Volatility (ann.)	17.18%	0.49%
R^2	0.01	0.01
Information Ratio	0.04	0.04
Calmar	1.32	4.02
Skew	8.16	0.84
Kurtosis	173.74	0.67
Expected Daily	0.06%	0.02%
Expected Monthly	1.12%	0.4%
Expected Yearly	6.89%	2.44%
Kelly Criterion	30.44%	69.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.72%	-0.03%
Expected Shortfall (cVaR)	-1.72%	-0.03%
Max Consecutive Wins	7	196
Max Consecutive Losses	6	65
Gain/Pain Ratio	0.57	5.73
Gain/Pain (1M)	2.4	5.73
Payoff Ratio	1.55	1.65
Profit Factor	1.57	6.73
Common Sense Ratio	1.82	26.95
CPC Index	1.41	8.95
Tail Ratio	1.15	4.01
Outlier Win Ratio	1.54	14.87
Outlier Loss Ratio	1.35	18.99
MTD	0.33%	0.13%
3M	1.82%	1.2%
6M	4.88%	3.19%
YTD	3.97%	2.61%
1Y	7.74%	2.83%
3Y (ann.)	14.58%	5.05%
5Y (ann.)	14.58%	5.05%
10Y (ann.)	14.58%	5.05%
All-time (ann.)	14.58%	5.05%
Best Day	16.44%	0.1%
Worst Day	-9.67%	-0.02%
Best Month	19.35%	1.56%
Worst Month	-7.89%	-0.52%
Best Year	17.01%	4.01%
Worst Year	0.39%	0.73%
Avg. Drawdown	-0.64%	-1.25%
Avg. Drawdown Days	10	209
Recovery Factor	2.0	5.98
Ulcer Index	0.01	0.01
Serenity Index	13.64	0.38
Avg. Up Month	2.16%	0.54%
Avg. Down Month	-0.76%	-0.52%
Win Days	57.75%	80.88%
Win Month	83.33%	83.33%
Win Quarter	85.71%	85.71%
Win Year	100.0%	100.0%
Beta	3.55	-
Alpha	-0.03	-
Correlation	10.15%	-
Treynor Ratio	6.23%	-