INGO[Strategy] vs RUB Inflation[Benchmark]

28 Jul, 2021 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	41.65%	31.39%
CAGR﹪	8.62%	6.69%
Sharpe	1.01	17.23
Prob. Sharpe Ratio	95.64%	100.0%
Smart Sharpe	0.77	13.07
Sortino	1.37	64.15
Smart Sortino	1.04	48.67
Sortino/√2	0.97	45.36
Smart Sortino/√2	0.73	34.41
Omega	1.31	1.31
Max Drawdown	-13.61%	-1.25%
Longest DD Days	301	209
Volatility (ann.)	8.68%	0.38%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.63	5.33
Skew	-4.62	0.1
Kurtosis	156.26	0.74
Expected Daily	0.03%	0.03%
Expected Monthly	0.69%	0.54%
Expected Yearly	7.21%	5.61%
Kelly Criterion	7.95%	81.94%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.86%	-0.01%
Expected Shortfall (cVaR)	-0.86%	-0.01%
Max Consecutive Wins	14	742
Max Consecutive Losses	7	65
Gain/Pain Ratio	0.31	12.11
Gain/Pain (1M)	2.1	12.11
Payoff Ratio	0.89	1.65
Profit Factor	1.31	13.11
Common Sense Ratio	1.56	44.41
CPC Index	0.66	19.22
Tail Ratio	1.19	3.39
Outlier Win Ratio	3.36	25.87
Outlier Loss Ratio	1.98	28.14
MTD	0.35%	-0.17%
3M	4.14%	-0.64%
6M	11.82%	0.44%
YTD	18.03%	3.34%
1Y	22.06%	6.68%
3Y (ann.)	9.86%	7.3%
5Y (ann.)	8.62%	6.69%
10Y (ann.)	8.62%	6.69%
All-time (ann.)	8.62%	6.69%
Best Day	7.09%	0.1%
Worst Day	-10.42%	-0.02%
Best Month	5.42%	1.56%
Worst Month	-5.9%	-0.52%
Best Year	18.03%	9.51%
Worst Year	-0.64%	3.34%
Avg. Drawdown	-0.61%	-1.12%
Avg. Drawdown Days	12	141
Recovery Factor	3.06	25.02
Ulcer Index	0.01	0.0
Serenity Index	6.43	3.3
Avg. Up Month	1.44%	0.61%
Avg. Down Month	-0.59%	-0.42%
Win Days	56.62%	88.75%
Win Month	70.59%	88.24%
Win Quarter	77.78%	83.33%
Win Year	80.0%	100.0%
Beta	-0.42	-
Alpha	0.12	-
Correlation	-1.88%	-
Treynor Ratio	-98.1%	-