LQDT[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 4 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	65.79%	29.75%
CAGR﹪	14.99%	7.46%
Sharpe	19.33	19.19
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	17.54	17.41
Sortino	235.94	67.17
Smart Sortino	214.03	60.94
Sortino/√2	166.84	47.5
Smart Sortino/√2	151.34	43.09
Omega	154.27	154.27
Max Drawdown	-0.11%	-0.84%
Longest DD Days	7	140
Volatility (ann.)	0.68%	0.35%
R^2	0.02	0.02
Information Ratio	0.56	0.56
Calmar	137.12	8.85
Skew	1.35	0.02
Kurtosis	2.02	1.43
Expected Daily	0.05%	0.03%
Expected Monthly	1.13%	0.58%
Expected Yearly	10.64%	5.35%
Kelly Criterion	97.61%	91.56%
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	153.27	20.88
Gain/Pain (1M)	-	20.88
Payoff Ratio	10.16	2.03
Profit Factor	154.27	21.88
Common Sense Ratio	-	112.86
CPC Index	1533.6	41.92
Tail Ratio	-	5.16
Outlier Win Ratio	2.34	4.21
Outlier Loss Ratio	1.0	0.72
MTD	0.08%	0.31%
3M	3.91%	4.2%
6M	8.26%	5.51%
YTD	2.5%	3.9%
1Y	19.68%	7.48%
3Y (ann.)	16.9%	8.51%
5Y (ann.)	14.99%	7.46%
10Y (ann.)	14.99%	7.46%
All-time (ann.)	14.99%	7.46%
Best Day	0.26%	0.08%
Worst Day	-0.09%	-0.07%
Best Month	1.8%	1.93%
Worst Month	0.08%	-0.52%
Best Year	20.68%	9.51%
Worst Year	2.5%	0.53%
Avg. Drawdown	-0.02%	-0.62%
Avg. Drawdown Days	2	102
Recovery Factor	601.77	35.28
Ulcer Index	0.0	0.0
Serenity Index	49120.46	8.22
Avg. Up Month	1.16%	0.65%
Avg. Down Month	-	-
Win Days	97.82%	94.34%
Win Month	100.0%	93.33%
Win Quarter	100.0%	93.33%
Win Year	100.0%	100.0%
Beta	0.27	-
Alpha	0.11	-
Correlation	14.23%	-
Treynor Ratio	239.9%	-