OPNU RUB[Strategy] vs USD000UTSTOM RUB[Benchmark]

14 Sep, 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	-11.94%	13.85%
CAGR﹪	-24.65%	33.48%
Sharpe	-0.48	1.6
Prob. Sharpe Ratio	36.28%	89.37%
Smart Sharpe	-0.3	1.02
Sortino	-0.55	3.37
Smart Sortino	-0.35	2.14
Sortino/√2	-0.39	2.38
Smart Sortino/√2	-0.25	1.51
Omega	0.85	0.85
Max Drawdown	-24.65%	-5.89%
Longest DD Days	68	59
Volatility (ann.)	39.8%	18.84%
R^2	0.19	0.19
Information Ratio	-0.06	-0.06
Calmar	-1.0	5.68
Skew	-5.59	2.94
Kurtosis	60.62	18.24
Expected Daily	-0.11%	0.11%
Expected Monthly	-2.1%	2.19%
Expected Yearly	-6.16%	6.7%
Kelly Criterion	6.29%	12.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.2%	-1.83%
Expected Shortfall (cVaR)	-4.2%	-1.83%
Max Consecutive Wins	4	3
Max Consecutive Losses	4	5
Gain/Pain Ratio	-0.15	0.38
Gain/Pain (1M)	-0.57	5.2
Payoff Ratio	1.26	1.62
Profit Factor	0.85	1.38
Common Sense Ratio	1.09	2.22
CPC Index	0.51	1.02
Tail Ratio	1.29	1.61
Outlier Win Ratio	3.25	3.03
Outlier Loss Ratio	2.08	3.5
MTD	-13.53%	7.35%
3M	-12.16%	10.68%
6M	-11.94%	13.85%
YTD	-12.86%	11.14%
1Y	-11.94%	13.85%
3Y (ann.)	-24.65%	33.48%
5Y (ann.)	-24.65%	33.48%
10Y (ann.)	-24.65%	33.48%
All-time (ann.)	-24.65%	33.48%
Best Day	11.26%	8.19%
Worst Day	-22.56%	-2.64%
Best Month	3.83%	7.35%
Worst Month	-13.53%	-2.45%
Best Year	1.05%	11.14%
Worst Year	-12.86%	2.44%
Avg. Drawdown	-5.51%	-2.21%
Avg. Drawdown Days	22	13
Recovery Factor	-0.48	2.35
Ulcer Index	0.04	0.03
Serenity Index	-1.04	1.42
Avg. Up Month	2.09%	2.91%
Avg. Down Month	-2.14%	-1.34%
Win Days	47.79%	45.61%
Win Month	50.0%	66.67%
Win Quarter	33.33%	66.67%
Win Year	50.0%	100.0%
Beta	-0.92	-
Alpha	0.09	-
Correlation	-43.51%	-
Treynor Ratio	12.99%	-