LQDT[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 15 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	74.57%	30.73%
CAGR﹪	15.01%	6.96%
Sharpe	19.1	19.65
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	17.16	17.65
Sortino	243.34	65.08
Smart Sortino	218.67	58.48
Sortino/√2	172.07	46.02
Smart Sortino/√2	154.62	41.35
Omega	155.74	155.74
Max Drawdown	-0.11%	-0.84%
Longest DD Days	7	140
Volatility (ann.)	0.67%	0.31%
R^2	0.03	0.03
Information Ratio	0.6	0.6
Calmar	137.31	8.25
Skew	1.34	-0.11
Kurtosis	2.0	2.09
Expected Daily	0.05%	0.02%
Expected Monthly	1.14%	0.55%
Expected Yearly	11.79%	5.5%
Kelly Criterion	97.2%	92.28%
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	28
Gain/Pain Ratio	154.74	21.48
Gain/Pain (1M)	-	21.48
Payoff Ratio	10.09	1.85
Profit Factor	155.74	22.48
Common Sense Ratio	-	463.01
CPC Index	1530.75	39.59
Tail Ratio	-	20.6
Outlier Win Ratio	2.38	4.64
Outlier Loss Ratio	1.1	0.67
MTD	0.6%	0.47%
3M	3.58%	1.59%
6M	7.47%	4.2%
YTD	7.93%	4.68%
1Y	16.9%	6.25%
3Y (ann.)	18.02%	8.12%
5Y (ann.)	15.01%	6.96%
10Y (ann.)	15.01%	6.96%
All-time (ann.)	15.01%	6.96%
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%	-0.62%
Avg. Drawdown Days	2	102
Recovery Factor	682.08	36.43
Ulcer Index	0.0	0.0
Serenity Index	61783.29	8.57
Avg. Up Month	1.17%	0.61%
Avg. Down Month	-	-
Win Days	97.46%	94.98%
Win Month	100.0%	93.88%
Win Quarter	100.0%	94.12%
Win Year	100.0%	100.0%
Beta	0.34	-
Alpha	0.11	-
Correlation	15.84%	-
Treynor Ratio	220.11%	-