LQDT[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 20 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	79.07%	30.65%
CAGR﹪	15.01%	6.63%
Sharpe	19.08	18.41
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	17.14	16.55
Sortino	247.05	62.92
Smart Sortino	221.98	56.54
Sortino/√2	174.69	44.49
Smart Sortino/√2	156.97	39.98
Omega	156.52	156.52
Max Drawdown	-0.11%	-0.84%
Longest DD Days	7	140
Volatility (ann.)	0.67%	0.32%
R^2	0.03	0.03
Information Ratio	0.63	0.63
Calmar	137.26	7.86
Skew	1.34	0.0
Kurtosis	2.0	1.75
Expected Daily	0.05%	0.02%
Expected Monthly	1.15%	0.53%
Expected Yearly	12.36%	5.49%
Kelly Criterion	97.05%	88.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.02%	-0.01%
Expected Shortfall (cVaR)	-0.02%	-0.01%
Max Consecutive Wins	336	758
Max Consecutive Losses	1	44
Gain/Pain Ratio	155.52	19.41
Gain/Pain (1M)	-	19.41
Payoff Ratio	10.6	2.5
Profit Factor	156.52	20.41
Common Sense Ratio	-	420.96
CPC Index	1614.68	46.68
Tail Ratio	-	20.63
Outlier Win Ratio	2.4	4.69
Outlier Loss Ratio	1.14	1.06
MTD	0.79%	-0.05%
3M	3.55%	0.69%
6M	7.35%	1.82%
YTD	10.71%	4.62%
1Y	15.97%	6.04%
3Y (ann.)	18.16%	7.52%
5Y (ann.)	15.01%	6.63%
10Y (ann.)	15.01%	6.63%
All-time (ann.)	15.01%	6.63%
Best Day	0.26%	0.08%
Worst Day	-0.09%	-0.07%
Best Month	1.8%	1.62%
Worst Month	0.16%	-0.52%
Best Year	20.68%	9.51%
Worst Year	3.23%	0.53%
Avg. Drawdown	-0.01%	-0.46%
Avg. Drawdown Days	2	84
Recovery Factor	723.29	36.34
Ulcer Index	0.0	0.0
Serenity Index	68460.54	9.03
Avg. Up Month	1.18%	0.61%
Avg. Down Month	-	-
Win Days	97.3%	91.44%
Win Month	100.0%	90.2%
Win Quarter	100.0%	94.12%
Win Year	100.0%	100.0%
Beta	0.34	-
Alpha	0.11	-
Correlation	16.3%	-
Treynor Ratio	230.65%	-