LQDT[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	9.15%	4.45%
CAGR﹪	7.77%	3.79%
Sharpe	18.33	12.71
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	16.58	11.5
Sortino	141.31	22.01
Smart Sortino	127.83	19.91
Sortino/√2	99.92	15.56
Smart Sortino/√2	90.39	14.08
Omega	55.54	55.54
Max Drawdown	-0.03%	-0.84%
Longest DD Days	6	140
Volatility (ann.)	0.4%	0.29%
R^2	0.0	0.0
Information Ratio	0.46	0.46
Calmar	238.36	4.5
Skew	1.21	-1.76
Kurtosis	2.6	5.11
Expected Daily	0.03%	0.01%
Expected Monthly	0.59%	0.29%
Expected Yearly	4.47%	2.2%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.01%	-0.02%
Expected Shortfall (cVaR)	-0.01%	-0.02%
Max Consecutive Wins	40	270
Max Consecutive Losses	1	28
Gain/Pain Ratio	54.54	5.14
Gain/Pain (1M)	-	5.14
Payoff Ratio	-	-
Profit Factor	55.54	6.14
Common Sense Ratio	-	10.8
CPC Index	-	-
Tail Ratio	-	1.76
Outlier Win Ratio	2.32	3.71
Outlier Loss Ratio	2.28	1.34
MTD	0.88%	0.19%
3M	2.47%	1.23%
6M	4.23%	2.32%
YTD	5.73%	3.9%
1Y	7.86%	5.3%
3Y (ann.)	7.77%	3.79%
5Y (ann.)	7.77%	3.79%
10Y (ann.)	7.77%	3.79%
All-time (ann.)	7.77%	3.79%
Best Day	0.16%	0.04%
Worst Day	-0.03%	-0.07%
Best Month	0.88%	0.84%
Worst Month	0.16%	-0.52%
Best Year	5.73%	3.9%
Worst Year	3.23%	0.53%
Avg. Drawdown	-0.02%	-0.84%
Avg. Drawdown Days	2	140
Recovery Factor	280.65	5.28
Ulcer Index	0.0	0.0
Serenity Index	7538.45	0.33
Avg. Up Month	0.61%	0.4%
Avg. Down Month	-	-
Win Days	96.81%	90.6%
Win Month	100.0%	86.67%
Win Quarter	100.0%	80.0%
Win Year	100.0%	100.0%
Beta	-0.05	-
Alpha	0.08	-
Correlation	-3.74%	-
Treynor Ratio	-175.63%	-