MKBD[Strategy] vs RUB Inflation[Benchmark]

28 Jul, 2021 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	1.84%	20.85%
CAGR﹪	0.85%	9.19%
Sharpe	0.2	3.15
Prob. Sharpe Ratio	60.73%	100.0%
Smart Sharpe	0.16	2.58
Sortino	0.25	81.35
Smart Sortino	0.21	66.54
Sortino/√2	0.18	57.53
Smart Sortino/√2	0.14	47.05
Omega	1.04	1.04
Max Drawdown	-45.18%	-1.25%
Longest DD Days	683	209
Volatility (ann.)	32.23%	3.03%
R^2	0.01	0.01
Information Ratio	-0.01	-0.01
Calmar	0.02	7.33
Skew	-2.78	12.51
Kurtosis	34.37	158.03
Expected Daily	0.0%	0.04%
Expected Monthly	0.07%	0.7%
Expected Yearly	0.61%	6.52%
Kelly Criterion	2.82%	83.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.31%	-0.28%
Expected Shortfall (cVaR)	-3.31%	-0.28%
Max Consecutive Wins	7	262
Max Consecutive Losses	6	60
Gain/Pain Ratio	0.04	15.07
Gain/Pain (1M)	0.19	15.07
Payoff Ratio	1.02	2.43
Profit Factor	1.04	16.07
Common Sense Ratio	0.99	53.5
CPC Index	0.54	34.41
Tail Ratio	0.95	3.33
Outlier Win Ratio	1.86	47.78
Outlier Loss Ratio	2.09	125.24
MTD	-4.93%	0.19%
3M	7.7%	1.23%
6M	30.23%	2.32%
YTD	44.82%	3.9%
1Y	48.51%	5.3%
3Y (ann.)	0.85%	9.19%
5Y (ann.)	0.85%	9.19%
10Y (ann.)	0.85%	9.19%
All-time (ann.)	0.85%	9.19%
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	44.82%	11.92%
Worst Year	-29.89%	3.9%
Avg. Drawdown	-7.38%	-1.25%
Avg. Drawdown Days	96	209
Recovery Factor	0.04	16.62
Ulcer Index	0.25	0.0
Serenity Index	0.0	10.36
Avg. Up Month	4.72%	0.94%
Avg. Down Month	-3.04%	-0.37%
Win Days	51.03%	88.02%
Win Month	62.96%	88.89%
Win Quarter	55.56%	88.89%
Win Year	66.67%	100.0%
Beta	0.82	-
Alpha	-0.02	-
Correlation	7.72%	-
Treynor Ratio	2.23%	-