LQDT[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	70.44%	29.77%
CAGR﹪	15.02%	7.08%
Sharpe	19.25	20.21
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	17.38	18.26
Sortino	240.26	65.1
Smart Sortino	217.01	58.8
Sortino/√2	169.89	46.04
Smart Sortino/√2	153.45	41.58
Omega	155.49	155.49
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	137.37	8.39
Skew	1.34	-0.17
Kurtosis	2.01	2.35
Expected Daily	0.05%	0.03%
Expected Monthly	1.14%	0.56%
Expected Yearly	11.25%	5.35%
Kelly Criterion	97.4%	91.91%
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	154.49	20.89
Gain/Pain (1M)	-	20.89
Payoff Ratio	10.12	1.91
Profit Factor	155.49	21.89
Common Sense Ratio	-	90.19
CPC Index	1537.1	39.59
Tail Ratio	-	4.12
Outlier Win Ratio	2.36	4.5
Outlier Loss Ratio	1.02	0.67
MTD	0.39%	0.24%
3M	3.65%	1.93%
6M	7.83%	4.5%
YTD	5.38%	3.92%
1Y	18.2%	6.25%
3Y (ann.)	17.54%	8.22%
5Y (ann.)	15.02%	7.08%
10Y (ann.)	15.02%	7.08%
All-time (ann.)	15.02%	7.08%
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	-0.02%	-0.62%
Avg. Drawdown Days	2	102
Recovery Factor	644.31	35.3
Ulcer Index	0.0	0.0
Serenity Index	55607.81	7.83
Avg. Up Month	1.17%	0.62%
Avg. Down Month	-	-
Win Days	97.64%	94.69%
Win Month	100.0%	93.62%
Win Quarter	100.0%	93.75%
Win Year	100.0%	100.0%
Beta	0.34	-
Alpha	0.11	-
Correlation	15.89%	-
Treynor Ratio	206.28%	-