INRU[Strategy] vs RUB Inflation[Benchmark]

27 May, 2022 - 11 Oct, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	49.61%	5.67%
CAGR﹪	34.03%	4.09%
Sharpe	1.31	10.83
Prob. Sharpe Ratio	93.27%	100.0%
Smart Sharpe	1.3	10.76
Sortino	1.87	28.46
Smart Sortino	1.85	28.29
Sortino/√2	1.32	20.12
Smart Sortino/√2	1.31	20.0
Omega	1.29	1.29
Max Drawdown	-27.6%	-1.25%
Longest DD Days	195	209
Volatility (ann.)	25.05%	0.37%
R^2	0.0	0.0
Information Ratio	0.07	0.07
Calmar	1.23	3.26
Skew	-0.1	0.66
Kurtosis	16.92	2.79
Expected Daily	0.12%	0.02%
Expected Monthly	2.26%	0.31%
Expected Yearly	22.31%	2.8%
Kelly Criterion	1.31%	67.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.47%	-0.02%
Expected Shortfall (cVaR)	-2.47%	-0.02%
Max Consecutive Wins	8	282
Max Consecutive Losses	7	58
Gain/Pain Ratio	0.29	4.37
Gain/Pain (1M)	1.55	4.37
Payoff Ratio	0.78	1.09
Profit Factor	1.29	5.37
Common Sense Ratio	1.41	9.78
CPC Index	0.57	4.88
Tail Ratio	1.09	1.82
Outlier Win Ratio	1.78	74.15
Outlier Loss Ratio	2.34	113.77
MTD	2.38%	0.83%
3M	13.08%	2.45%
6M	31.58%	3.61%
YTD	54.57%	5.47%
1Y	98.03%	6.82%
3Y (ann.)	34.03%	4.09%
5Y (ann.)	34.03%	4.09%
10Y (ann.)	34.03%	4.09%
All-time (ann.)	34.03%	4.09%
Best Day	12.32%	0.1%
Worst Day	-9.58%	-0.02%
Best Month	14.68%	0.87%
Worst Month	-17.51%	-0.52%
Best Year	54.57%	5.47%
Worst Year	-3.21%	0.19%
Avg. Drawdown	-2.83%	-1.25%
Avg. Drawdown Days	16	209
Recovery Factor	1.8	4.52
Ulcer Index	0.07	0.01
Serenity Index	0.81	0.22
Avg. Up Month	5.38%	0.48%
Avg. Down Month	-4.79%	-0.35%
Win Days	56.89%	83.04%
Win Month	77.78%	83.33%
Win Quarter	71.43%	71.43%
Win Year	50.0%	100.0%
Beta	1.5	-
Alpha	0.27	-
Correlation	2.24%	-
Treynor Ratio	33.08%	-