PSMM[Strategy] vs RUB Inflation[Benchmark]

27 May, 2024 - 14 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	43.21%	17.95%
CAGR﹪	18.35%	8.05%
Sharpe	11.79	18.76
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.24	13.11
Sortino	35.67	136.72
Smart Sortino	24.94	95.58
Sortino/√2	25.23	96.67
Smart Sortino/√2	17.64	67.59
Omega	9.41	9.41
Max Drawdown	-0.24%	-0.4%
Longest DD Days	3	64
Volatility (ann.)	1.24%	0.36%
R^2	0.0	0.0
Information Ratio	0.39	0.39
Calmar	75.47	20.13
Skew	0.8	1.35
Kurtosis	4.92	4.33
Expected Daily	0.06%	0.03%
Expected Monthly	1.34%	0.61%
Expected Yearly	12.72%	5.66%
Kelly Criterion	71.62%	93.46%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.07%	-0.01%
Expected Shortfall (cVaR)	-0.07%	-0.01%
Max Consecutive Wins	78	307
Max Consecutive Losses	3	27
Gain/Pain Ratio	8.41	41.2
Gain/Pain (1M)	-	41.2
Payoff Ratio	1.71	2.02
Profit Factor	9.41	42.2
Common Sense Ratio	42.2	612.09
CPC Index	13.18	81.71
Tail Ratio	4.49	14.5
Outlier Win Ratio	2.2	6.0
Outlier Loss Ratio	1.46	4.05
MTD	0.53%	0.43%
3M	3.51%	1.56%
6M	7.33%	4.19%
YTD	7.66%	4.65%
1Y	16.38%	6.25%
3Y (ann.)	18.35%	8.05%
5Y (ann.)	18.35%	8.05%
10Y (ann.)	18.35%	8.05%
All-time (ann.)	18.35%	8.05%
Best Day	0.58%	0.15%
Worst Day	-0.24%	-0.01%
Best Month	2.41%	1.62%
Worst Month	0.1%	-0.4%
Best Year	20.77%	6.74%
Worst Year	7.66%	4.65%
Avg. Drawdown	-0.05%	-0.4%
Avg. Drawdown Days	1	64
Recovery Factor	177.7	44.88
Ulcer Index	0.0	0.0
Serenity Index	2282.18	42.15
Avg. Up Month	1.34%	0.65%
Avg. Down Month	-	-
Win Days	82.1%	95.62%
Win Month	100.0%	96.3%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.14	-
Alpha	0.14	-
Correlation	3.95%	-
Treynor Ratio	315.91%	-