LQDT[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	18.67%	10.47%
CAGR﹪	10.22%	5.82%
Sharpe	17.79	18.77
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	17.3	18.26
Sortino	118.94	41.11
Smart Sortino	115.69	39.99
Sortino/√2	84.1	29.07
Smart Sortino/√2	81.81	28.28
Omega	60.95	60.95
Max Drawdown	-0.11%	-0.84%
Longest DD Days	7	140
Volatility (ann.)	0.54%	0.3%
R^2	0.03	0.03
Information Ratio	0.45	0.45
Calmar	93.47	6.91
Skew	1.42	-1.56
Kurtosis	3.4	4.47
Expected Daily	0.04%	0.02%
Expected Monthly	0.78%	0.45%
Expected Yearly	5.87%	3.37%
Kelly Criterion	-	-
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	75	419
Max Consecutive Losses	1	28
Gain/Pain Ratio	59.95	11.76
Gain/Pain (1M)	-	11.76
Payoff Ratio	-	-
Profit Factor	60.95	12.76
Common Sense Ratio	-	23.23
CPC Index	-	-
Tail Ratio	-	1.82
Outlier Win Ratio	2.56	3.98
Outlier Loss Ratio	1.29	1.01
MTD	0.98%	0.35%
3M	3.87%	1.68%
6M	7.75%	4.43%
YTD	4.79%	2.3%
1Y	12.62%	7.77%
3Y (ann.)	10.22%	5.82%
5Y (ann.)	10.22%	5.82%
10Y (ann.)	10.22%	5.82%
All-time (ann.)	10.22%	5.82%
Best Day	0.2%	0.05%
Worst Day	-0.09%	-0.07%
Best Month	1.36%	1.11%
Worst Month	0.16%	-0.52%
Best Year	9.7%	7.42%
Worst Year	3.23%	0.53%
Avg. Drawdown	-0.03%	-0.84%
Avg. Drawdown Days	2	140
Recovery Factor	170.74	12.41
Ulcer Index	0.0	0.0
Serenity Index	5086.21	1.21
Avg. Up Month	0.82%	0.54%
Avg. Down Month	-	-
Win Days	97.2%	93.74%
Win Month	100.0%	90.91%
Win Quarter	100.0%	87.5%
Win Year	100.0%	100.0%
Beta	0.32	-
Alpha	0.08	-
Correlation	17.74%	-
Treynor Ratio	58.0%	-