MKBD[Strategy] vs RUB Inflation[Benchmark]

28 Jul, 2021 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	19.69%	27.87%
CAGR﹪	6.76%	9.36%
Sharpe	0.39	3.59
Prob. Sharpe Ratio	72.73%	100.0%
Smart Sharpe	0.32	2.95
Sortino	0.5	92.55
Smart Sortino	0.41	76.2
Sortino/√2	0.35	65.44
Smart Sortino/√2	0.29	53.88
Omega	1.09	1.09
Max Drawdown	-45.18%	-1.25%
Longest DD Days	683	209
Volatility (ann.)	28.93%	2.66%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	0.15	7.46
Skew	-2.99	14.24
Kurtosis	41.33	205.53
Expected Daily	0.03%	0.04%
Expected Monthly	0.53%	0.73%
Expected Yearly	4.6%	6.34%
Kelly Criterion	0.31%	86.68%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.95%	-0.24%
Expected Shortfall (cVaR)	-2.95%	-0.24%
Max Consecutive Wins	7	412
Max Consecutive Losses	6	60
Gain/Pain Ratio	0.09	19.54
Gain/Pain (1M)	0.46	19.54
Payoff Ratio	0.86	2.25
Profit Factor	1.09	20.54
Common Sense Ratio	1.12	68.38
CPC Index	0.5	41.89
Tail Ratio	1.03	3.33
Outlier Win Ratio	2.05	47.2
Outlier Loss Ratio	1.89	105.11
MTD	1.52%	0.39%
3M	9.09%	1.63%
6M	9.39%	4.39%
YTD	13.21%	2.34%
1Y	40.85%	7.77%
3Y (ann.)	6.76%	9.36%
5Y (ann.)	6.76%	9.36%
10Y (ann.)	6.76%	9.36%
All-time (ann.)	6.76%	9.36%
Best Day	12.19%	2.47%
Worst Day	-22.27%	-0.03%
Best Month	18.05%	7.61%
Worst Month	-21.38%	-0.52%
Best Year	50.35%	11.92%
Worst Year	-29.89%	2.34%
Avg. Drawdown	-3.39%	-1.25%
Avg. Drawdown Days	39	209
Recovery Factor	0.44	22.21
Ulcer Index	0.22	0.0
Serenity Index	0.04	15.88
Avg. Up Month	4.06%	0.86%
Avg. Down Month	-3.04%	-0.37%
Win Days	53.92%	90.78%
Win Month	67.65%	91.18%
Win Quarter	66.67%	91.67%
Win Year	75.0%	100.0%
Beta	0.81	-
Alpha	0.04	-
Correlation	7.42%	-
Treynor Ratio	24.38%	-