OPNR[Strategy] vs RUB Inflation[Benchmark]

6 Sep, 2021 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	3.48%	27.35%
CAGR﹪	1.3%	9.6%
Sharpe	0.21	2.88
Prob. Sharpe Ratio	62.87%	100.0%
Smart Sharpe	0.14	2.01
Sortino	0.27	96.01
Smart Sortino	0.19	67.26
Sortino/√2	0.19	67.89
Smart Sortino/√2	0.13	47.56
Omega	1.05	1.05
Max Drawdown	-51.95%	-1.25%
Longest DD Days	918	209
Volatility (ann.)	32.34%	3.29%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.03	7.65
Skew	-1.32	17.64
Kurtosis	40.91	314.02
Expected Daily	0.01%	0.04%
Expected Monthly	0.11%	0.76%
Expected Yearly	0.86%	6.23%
Kelly Criterion	4.45%	85.31%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.32%	-0.3%
Expected Shortfall (cVaR)	-3.32%	-0.3%
Max Consecutive Wins	9	421
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.05	19.26
Gain/Pain (1M)	0.24	19.26
Payoff Ratio	0.92	2.16
Profit Factor	1.05	20.26
Common Sense Ratio	1.04	70.38
CPC Index	0.52	39.43
Tail Ratio	0.99	3.47
Outlier Win Ratio	2.21	52.76
Outlier Loss Ratio	2.17	134.96
MTD	2.38%	0.39%
3M	4.48%	1.63%
6M	0.95%	4.39%
YTD	7.44%	2.34%
1Y	31.49%	7.77%
3Y (ann.)	1.3%	9.6%
5Y (ann.)	1.3%	9.6%
10Y (ann.)	1.3%	9.6%
All-time (ann.)	1.3%	9.6%
Best Day	20.38%	3.74%
Worst Day	-21.92%	-0.02%
Best Month	13.61%	7.61%
Worst Month	-18.68%	-0.52%
Best Year	57.86%	11.92%
Worst Year	-37.05%	2.34%
Avg. Drawdown	-8.48%	-1.25%
Avg. Drawdown Days	136	209
Recovery Factor	0.07	21.79
Ulcer Index	0.28	0.0
Serenity Index	0.0	17.7
Avg. Up Month	4.6%	0.55%
Avg. Down Month	-5.17%	-0.35%
Win Days	54.29%	89.95%
Win Month	62.5%	90.62%
Win Quarter	66.67%	91.67%
Win Year	50.0%	100.0%
Beta	-0.64	-
Alpha	0.13	-
Correlation	-6.47%	-
Treynor Ratio	-5.47%	-