OPNS RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

5 Aug, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	-1.9%	13.59%
CAGR﹪	-3.38%	25.61%
Sharpe	0.1	1.39
Prob. Sharpe Ratio	52.91%	88.46%
Smart Sharpe	0.05	0.76
Sortino	0.16	2.86
Smart Sortino	0.09	1.56
Sortino/√2	0.12	2.02
Smart Sortino/√2	0.06	1.1
Omega	1.03	1.03
Max Drawdown	-24.29%	-6.41%
Longest DD Days	94	91
Volatility (ann.)	38.71%	17.15%
R^2	0.14	0.14
Information Ratio	-0.03	-0.03
Calmar	-0.14	4.0
Skew	3.53	3.17
Kurtosis	45.59	21.91
Expected Daily	-0.01%	0.09%
Expected Monthly	-0.27%	1.84%
Expected Yearly	-0.96%	6.58%
Kelly Criterion	-6.29%	7.66%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.0%	-1.68%
Expected Shortfall (cVaR)	-4.0%	-1.68%
Max Consecutive Wins	8	5
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.03	0.33
Gain/Pain (1M)	0.19	4.41
Payoff Ratio	0.88	1.34
Profit Factor	1.03	1.33
Common Sense Ratio	0.92	2.3
CPC Index	0.45	0.84
Tail Ratio	0.89	1.73
Outlier Win Ratio	2.78	4.08
Outlier Loss Ratio	2.39	5.23
MTD	2.74%	7.35%
3M	-7.95%	10.68%
6M	-3.41%	12.57%
YTD	-4.47%	11.14%
1Y	-1.9%	13.59%
3Y (ann.)	-3.38%	25.61%
5Y (ann.)	-3.38%	25.61%
10Y (ann.)	-3.38%	25.61%
All-time (ann.)	-3.38%	25.61%
Best Day	21.23%	8.19%
Worst Day	-13.17%	-2.64%
Best Month	4.99%	7.35%
Worst Month	-7.02%	-2.45%
Best Year	2.69%	11.14%
Worst Year	-4.47%	2.2%
Avg. Drawdown	-9.73%	-2.32%
Avg. Drawdown Days	48	16
Recovery Factor	-0.08	2.12
Ulcer Index	0.07	0.03
Serenity Index	-0.06	1.11
Avg. Up Month	1.57%	3.98%
Avg. Down Month	-4.05%	-0.66%
Win Days	50.35%	47.18%
Win Month	57.14%	71.43%
Win Quarter	33.33%	66.67%
Win Year	50.0%	100.0%
Beta	-0.83	-
Alpha	0.24	-
Correlation	-36.96%	-
Treynor Ratio	2.28%	-