MTEK[Strategy] vs RUB Inflation[Benchmark]

22 Oct, 2019 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	121.56%	23.31%
CAGR﹪	22.5%	5.49%
Sharpe	0.74	28.29
Prob. Sharpe Ratio	89.68%	-
Smart Sharpe	0.55	20.96
Sortino	1.03	670.58
Smart Sortino	0.76	496.79
Sortino/√2	0.73	474.17
Smart Sortino/√2	0.54	351.28
Omega	1.23	1.23
Max Drawdown	-60.1%	-0.11%
Longest DD Days	650	66
Volatility (ann.)	60.16%	0.23%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.37	49.92
Skew	-1.86	0.35
Kurtosis	72.68	0.02
Expected Daily	0.1%	0.03%
Expected Monthly	1.91%	0.5%
Expected Yearly	17.25%	4.28%
Kelly Criterion	9.31%	94.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.06%	-0.0%
Expected Shortfall (cVaR)	-6.06%	-0.0%
Max Consecutive Wins	8	603
Max Consecutive Losses	6	43
Gain/Pain Ratio	0.23	190.48
Gain/Pain (1M)	1.64	190.48
Payoff Ratio	1.06	9.94
Profit Factor	1.23	191.48
Common Sense Ratio	1.51	4951.79
CPC Index	0.69	1802.92
Tail Ratio	1.23	25.86
Outlier Win Ratio	1.73	112.99
Outlier Loss Ratio	1.81	1221.06
MTD	-6.8%	0.19%
3M	10.45%	1.23%
6M	49.19%	2.32%
YTD	104.04%	3.9%
1Y	6.32%	5.34%
3Y (ann.)	5.44%	6.03%
5Y (ann.)	22.5%	5.49%
10Y (ann.)	22.5%	5.49%
All-time (ann.)	22.5%	5.49%
Best Day	32.07%	0.06%
Worst Day	-53.07%	-0.0%
Best Month	22.61%	1.17%
Worst Month	-52.11%	-0.07%
Best Year	104.04%	8.39%
Worst Year	-53.26%	0.75%
Avg. Drawdown	-5.66%	-0.11%
Avg. Drawdown Days	34	66
Recovery Factor	2.02	211.98
Ulcer Index	0.23	0.0
Serenity Index	0.47	903.79
Avg. Up Month	6.82%	0.51%
Avg. Down Month	-0.53%	-0.07%
Win Days	53.42%	94.77%
Win Month	69.05%	95.24%
Win Quarter	80.0%	100.0%
Win Year	80.0%	100.0%
Beta	-3.84	-
Alpha	0.69	-
Correlation	-1.45%	-
Treynor Ratio	-31.64%	-