OPNB[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2021 - 7 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-17.35%	22.01%
CAGR﹪	-5.98%	6.65%
Sharpe	-0.34	19.09
Prob. Sharpe Ratio	28.75%	100.0%
Smart Sharpe	-0.32	17.88
Sortino	-0.5	72.65
Smart Sortino	-0.47	68.05
Sortino/√2	-0.35	51.37
Smart Sortino/√2	-0.33	48.12
Omega	0.9	0.9
Max Drawdown	-25.49%	-1.25%
Longest DD Days	789	209
Volatility (ann.)	15.35%	0.35%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.23	5.3
Skew	3.18	-0.17
Kurtosis	159.43	0.27
Expected Daily	-0.03%	0.03%
Expected Monthly	-0.51%	0.54%
Expected Yearly	-4.65%	5.1%
Kelly Criterion	6.56%	85.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.61%	-0.01%
Expected Shortfall (cVaR)	-1.61%	-0.01%
Max Consecutive Wins	13	535
Max Consecutive Losses	10	65
Gain/Pain Ratio	-0.1	15.76
Gain/Pain (1M)	-0.24	15.76
Payoff Ratio	1.35	1.56
Profit Factor	0.9	16.76
Common Sense Ratio	0.85	47.36
CPC Index	0.56	23.85
Tail Ratio	0.94	2.83
Outlier Win Ratio	2.12	27.34
Outlier Loss Ratio	1.81	37.51
MTD	-2.32%	0.05%
3M	-4.06%	1.33%
6M	-10.36%	3.39%
YTD	-14.95%	5.51%
1Y	-10.88%	8.15%
3Y (ann.)	-5.92%	6.38%
5Y (ann.)	-5.98%	6.65%
10Y (ann.)	-5.98%	6.65%
All-time (ann.)	-5.98%	6.65%
Best Day	16.67%	0.08%
Worst Day	-12.11%	-0.02%
Best Month	24.19%	1.56%
Worst Month	-22.9%	-0.52%
Best Year	-0.33%	7.42%
Worst Year	-14.95%	3.5%
Avg. Drawdown	-6.88%	-1.25%
Avg. Drawdown Days	159	209
Recovery Factor	-0.68	17.54
Ulcer Index	0.08	0.0
Serenity Index	-0.15	1.76
Avg. Up Month	3.65%	0.63%
Avg. Down Month	-0.78%	-0.52%
Win Days	46.4%	91.41%
Win Month	37.84%	91.89%
Win Quarter	28.57%	92.86%
Win Year	0.0%	100.0%
Beta	0.31	-
Alpha	-0.07	-
Correlation	0.69%	-
Treynor Ratio	-56.43%	-