OPNB RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

17 Sep, 2021 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-7.7%	28.73%
CAGR﹪	-3.05%	10.26%
Sharpe	-0.12	0.56
Prob. Sharpe Ratio	42.83%	81.69%
Smart Sharpe	-0.11	0.52
Sortino	-0.17	0.86
Smart Sortino	-0.16	0.79
Sortino/√2	-0.12	0.61
Smart Sortino/√2	-0.11	0.56
Omega	0.96	0.96
Max Drawdown	-25.42%	-39.65%
Longest DD Days	617	488
Volatility (ann.)	16.36%	22.41%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	-0.12	0.26
Skew	3.13	1.06
Kurtosis	148.84	13.03
Expected Daily	-0.01%	0.04%
Expected Monthly	-0.26%	0.82%
Expected Yearly	-1.98%	6.52%
Kelly Criterion	6.14%	9.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.7%	-2.27%
Expected Shortfall (cVaR)	-1.7%	-2.27%
Max Consecutive Wins	13	9
Max Consecutive Losses	10	7
Gain/Pain Ratio	-0.04	0.12
Gain/Pain (1M)	-0.09	0.5
Payoff Ratio	1.27	1.14
Profit Factor	0.96	1.12
Common Sense Ratio	0.87	1.02
CPC Index	0.58	0.67
Tail Ratio	0.91	0.91
Outlier Win Ratio	7.32	3.24
Outlier Loss Ratio	6.71	3.02
MTD	-0.9%	1.41%
3M	-4.41%	5.43%
6M	-1.13%	-4.01%
YTD	-5.11%	3.78%
1Y	-5.31%	15.21%
3Y (ann.)	-3.05%	10.26%
5Y (ann.)	-3.05%	10.26%
10Y (ann.)	-3.05%	10.26%
All-time (ann.)	-3.05%	10.26%
Best Day	16.67%	10.7%
Worst Day	-12.11%	-6.67%
Best Month	24.19%	19.77%
Worst Month	-22.9%	-16.34%
Best Year	-0.33%	29.27%
Worst Year	-5.11%	-6.4%
Avg. Drawdown	-5.62%	-5.19%
Avg. Drawdown Days	132	56
Recovery Factor	-0.3	0.72
Ulcer Index	0.06	0.16
Serenity Index	-0.15	0.08
Avg. Up Month	1.4%	6.17%
Avg. Down Month	-2.17%	-2.1%
Win Days	47.55%	51.92%
Win Month	45.16%	61.29%
Win Quarter	33.33%	75.0%
Win Year	0.0%	75.0%
Beta	-0.08	-
Alpha	-0.01	-
Correlation	-11.42%	-
Treynor Ratio	92.32%	-