PSMM[Strategy] vs RUB Inflation[Benchmark]

27 May, 2024 - 21 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	7.68%	4.37%
CAGR﹪	16.39%	9.16%
Sharpe	17.63	21.9
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	12.81	15.91
Sortino	84.83	-
Smart Sortino	61.64	-
Sortino/√2	59.99	-
Smart Sortino/√2	43.59	-
Omega	26.04	26.04
Max Drawdown	-0.07%	-
Longest DD Days	-	-
Volatility (ann.)	0.83%	0.38%
R^2	0.02	0.02
Information Ratio	0.41	0.41
Calmar	235.94	-
Skew	0.56	3.19
Kurtosis	0.55	13.5
Expected Daily	0.06%	0.03%
Expected Monthly	1.06%	0.61%
Expected Yearly	7.68%	4.37%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.01%
Expected Shortfall (cVaR)	-0.03%	-0.01%
Max Consecutive Wins	48	127
Max Consecutive Losses	1	0
Gain/Pain Ratio	25.04	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	26.04	-
Common Sense Ratio	629.25	-
CPC Index	-	-
Tail Ratio	24.16	5.43
Outlier Win Ratio	2.54	4.84
Outlier Loss Ratio	0.56	-
MTD	1.07%	0.49%
3M	4.6%	1.8%
6M	7.68%	4.37%
YTD	7.68%	4.37%
1Y	7.68%	4.37%
3Y (ann.)	16.39%	9.16%
5Y (ann.)	16.39%	9.16%
10Y (ann.)	16.39%	9.16%
All-time (ann.)	16.39%	9.16%
Best Day	0.22%	0.15%
Worst Day	-0.07%	0.0%
Best Month	1.46%	1.14%
Worst Month	0.1%	0.2%
Best Year	7.68%	4.37%
Worst Year	7.68%	4.37%
Avg. Drawdown	-0.04%	-
Avg. Drawdown Days	-	-
Recovery Factor	110.59	-
Ulcer Index	0.0	0.0
Serenity Index	1846.03	-
Avg. Up Month	1.06%	0.61%
Avg. Down Month	-	-
Win Days	94.17%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.29	-
Alpha	0.17	-
Correlation	-13.44%	-
Treynor Ratio	-26.57%	-