MBEQ[Strategy] vs RUB Inflation[Benchmark]

25 Jan, 2022 - 26 May, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-9.69%	6.14%
CAGR﹪	-7.37%	4.57%
Sharpe	0.0	9.34
Prob. Sharpe Ratio	50.14%	100.0%
Smart Sharpe	0.0	8.15
Sortino	0.01	30.79
Smart Sortino	0.01	26.86
Sortino/√2	0.0	21.77
Smart Sortino/√2	0.0	19.0
Omega	1.0	1.0
Max Drawdown	-45.88%	-1.25%
Longest DD Days	473	210
Volatility (ann.)	58.05%	1.05%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.16	3.65
Skew	-0.57	1.32
Kurtosis	5.46	3.6
Expected Daily	-0.07%	0.04%
Expected Monthly	-0.64%	0.37%
Expected Yearly	-4.97%	3.02%
Kelly Criterion	0.58%	66.99%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.01%	-0.07%
Expected Shortfall (cVaR)	-6.01%	-0.07%
Max Consecutive Wins	6	96
Max Consecutive Losses	7	27
Gain/Pain Ratio	0.0	4.72
Gain/Pain (1M)	0.0	4.72
Payoff Ratio	1.03	1.17
Profit Factor	1.0	5.72
Common Sense Ratio	0.94	19.0
CPC Index	0.51	5.48
Tail Ratio	0.93	3.32
Outlier Win Ratio	1.79	76.09
Outlier Loss Ratio	2.12	114.93
MTD	12.19%	0.31%
3M	29.81%	1.14%
6M	33.63%	3.18%
YTD	29.92%	2.38%
1Y	33.69%	2.54%
3Y (ann.)	-7.37%	4.57%
5Y (ann.)	-7.37%	4.57%
10Y (ann.)	-7.37%	4.57%
All-time (ann.)	-7.37%	4.57%
Best Day	15.03%	0.33%
Worst Day	-17.74%	-0.07%
Best Month	17.42%	1.56%
Worst Month	-30.16%	-0.52%
Best Year	29.92%	3.67%
Worst Year	-30.49%	2.38%
Avg. Drawdown	-23.93%	-1.25%
Avg. Drawdown Days	238	210
Recovery Factor	-0.21	4.89
Ulcer Index	0.33	0.01
Serenity Index	-0.02	0.59
Avg. Up Month	7.56%	0.5%
Avg. Down Month	-2.57%	-0.37%
Win Days	49.66%	82.24%
Win Month	50.0%	81.25%
Win Quarter	50.0%	83.33%
Win Year	50.0%	100.0%
Beta	-2.31	-
Alpha	0.23	-
Correlation	-4.19%	-
Treynor Ratio	4.19%	-