OBLG[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 22 Sep, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	6.38%	4.45%
CAGR﹪	5.43%	3.79%
Sharpe	1.32	12.71
Prob. Sharpe Ratio	89.3%	100.0%
Smart Sharpe	1.2	11.52
Sortino	1.66	22.01
Smart Sortino	1.51	19.95
Sortino/√2	1.17	15.56
Smart Sortino/√2	1.06	14.11
Omega	1.35	1.35
Max Drawdown	-4.56%	-0.84%
Longest DD Days	57	140
Volatility (ann.)	4.01%	0.29%
R^2	0.0	0.0
Information Ratio	0.03	0.03
Calmar	1.19	4.5
Skew	-3.34	-1.76
Kurtosis	34.18	5.11
Expected Daily	0.02%	0.01%
Expected Monthly	0.41%	0.29%
Expected Yearly	3.14%	2.2%
Kelly Criterion	45.57%	76.82%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.39%	-0.02%
Expected Shortfall (cVaR)	-0.39%	-0.02%
Max Consecutive Wins	5	270
Max Consecutive Losses	5	28
Gain/Pain Ratio	0.35	5.14
Gain/Pain (1M)	1.36	5.14
Payoff Ratio	2.61	0.68
Profit Factor	1.35	6.14
Common Sense Ratio	1.32	10.8
CPC Index	2.14	3.79
Tail Ratio	0.98	1.76
Outlier Win Ratio	1.89	12.59
Outlier Loss Ratio	1.9	10.06
MTD	-1.27%	0.19%
3M	-2.38%	1.23%
6M	0.72%	2.32%
YTD	1.99%	3.9%
1Y	6.08%	5.3%
3Y (ann.)	5.43%	3.79%
5Y (ann.)	5.43%	3.79%
10Y (ann.)	5.43%	3.79%
All-time (ann.)	5.43%	3.79%
Best Day	1.43%	0.04%
Worst Day	-2.21%	-0.07%
Best Month	3.13%	0.84%
Worst Month	-2.04%	-0.52%
Best Year	4.31%	3.9%
Worst Year	1.99%	0.53%
Avg. Drawdown	-0.34%	-0.84%
Avg. Drawdown Days	8	140
Recovery Factor	1.4	5.28
Ulcer Index	0.01	0.0
Serenity Index	1.17	0.33
Avg. Up Month	1.03%	0.47%
Avg. Down Month	-	-
Win Days	60.64%	90.6%
Win Month	73.33%	86.67%
Win Quarter	60.0%	80.0%
Win Year	100.0%	100.0%
Beta	-0.36	-
Alpha	0.07	-
Correlation	-2.6%	-
Treynor Ratio	-17.68%	-