OBLG[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	12.45%	13.94%
CAGR﹪	5.44%	6.07%
Sharpe	1.47	20.08
Prob. Sharpe Ratio	97.41%	100.0%
Smart Sharpe	1.34	18.31
Sortino	1.97	48.02
Smart Sortino	1.8	43.79
Sortino/√2	1.4	33.96
Smart Sortino/√2	1.27	30.96
Omega	1.34	1.34
Max Drawdown	-4.56%	-0.84%
Longest DD Days	184	140
Volatility (ann.)	3.61%	0.29%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	1.19	7.2
Skew	-2.36	-1.37
Kurtosis	27.49	4.09
Expected Daily	0.02%	0.02%
Expected Monthly	0.42%	0.47%
Expected Yearly	3.99%	4.45%
Kelly Criterion	43.93%	89.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.35%	-0.01%
Expected Shortfall (cVaR)	-0.35%	-0.01%
Max Consecutive Wins	7	535
Max Consecutive Losses	5	28
Gain/Pain Ratio	0.34	15.41
Gain/Pain (1M)	1.77	15.41
Payoff Ratio	2.76	0.94
Profit Factor	1.34	16.41
Common Sense Ratio	1.47	2374.08
CPC Index	2.17	14.65
Tail Ratio	1.1	144.64
Outlier Win Ratio	1.96	10.4
Outlier Loss Ratio	1.69	8.92
MTD	-0.12%	0.05%
3M	1.49%	1.33%
6M	1.72%	3.39%
YTD	3.98%	5.51%
1Y	7.17%	8.15%
3Y (ann.)	5.44%	6.07%
5Y (ann.)	5.44%	6.07%
10Y (ann.)	5.44%	6.07%
All-time (ann.)	5.44%	6.07%
Best Day	1.43%	0.05%
Worst Day	-2.21%	-0.07%
Best Month	3.13%	1.14%
Worst Month	-2.04%	-0.52%
Best Year	4.31%	7.42%
Worst Year	3.68%	0.53%
Avg. Drawdown	-0.35%	-0.84%
Avg. Drawdown Days	11	140
Recovery Factor	2.73	16.53
Ulcer Index	0.01	0.0
Serenity Index	1.09	1.98
Avg. Up Month	0.89%	0.56%
Avg. Down Month	-	-
Win Days	58.85%	95.03%
Win Month	75.0%	92.86%
Win Quarter	70.0%	90.0%
Win Year	100.0%	100.0%
Beta	-0.41	-
Alpha	0.08	-
Correlation	-3.3%	-
Treynor Ratio	-30.3%	-