OPNE RUB[Strategy] vs Deposit RUB[Benchmark]

6 Sep, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-9.68%	3.71%
CAGR﹪	-19.43%	8.05%
Sharpe	-0.86	95.44
Prob. Sharpe Ratio	27.09%	100.0%
Smart Sharpe	-0.75	82.58
Sortino	-1.11	-
Smart Sortino	-0.96	-
Sortino/√2	-0.79	-
Smart Sortino/√2	-0.68	-
Omega	0.86	0.86
Max Drawdown	-11.5%	-
Longest DD Days	-	-
Volatility (ann.)	21.8%	0.08%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	-1.69	-
Skew	-0.9	-0.97
Kurtosis	4.41	10.29
Expected Daily	-0.08%	0.03%
Expected Monthly	-1.68%	0.61%
Expected Yearly	-4.96%	1.84%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.33%	-0.02%
Expected Shortfall (cVaR)	-2.33%	-0.02%
Max Consecutive Wins	8	120
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.14	-
Gain/Pain (1M)	-0.56	-
Payoff Ratio	-	-
Profit Factor	0.86	-
Common Sense Ratio	0.79	-
CPC Index	-	-
Tail Ratio	0.92	1.49
Outlier Win Ratio	1.52	48.77
Outlier Loss Ratio	1.46	-
MTD	-6.91%	0.71%
3M	-6.76%	2.13%
6M	-9.68%	3.71%
YTD	-6.95%	1.36%
1Y	-9.68%	3.71%
3Y (ann.)	-19.43%	8.05%
5Y (ann.)	-19.43%	8.05%
10Y (ann.)	-19.43%	8.05%
All-time (ann.)	-19.43%	8.05%
Best Day	2.97%	0.04%
Worst Day	-6.92%	0.0%
Best Month	4.86%	0.71%
Worst Month	-7.2%	0.5%
Best Year	-2.93%	2.32%
Worst Year	-6.95%	1.36%
Avg. Drawdown	-10.2%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.84	-
Ulcer Index	0.05	0.0
Serenity Index	-0.29	-
Avg. Up Month	3.42%	0.6%
Avg. Down Month	-	-
Win Days	47.5%	100.0%
Win Month	33.33%	100.0%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	-18.25	-
Alpha	1.2	-
Correlation	-6.67%	-
Treynor Ratio	0.53%	-