PSMM[Strategy] vs RUB Inflation[Benchmark]

21 Feb, 2017 - 3 Jul, 2023

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	82.0%	100.0%
Cumulative Return	9.51%	44.03%
CAGR﹪	1.44%	5.9%
Sharpe	0.19	8.41
Prob. Sharpe Ratio	68.37%	100.0%
Smart Sharpe	0.17	7.56
Sortino	0.25	69.51
Smart Sortino	0.23	62.42
Sortino/√2	0.18	49.15
Smart Sortino/√2	0.16	44.14
Omega	1.04	1.04
Max Drawdown	-24.96%	-1.25%
Longest DD Days	600	209
Volatility (ann.)	10.15%	0.68%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.06	4.7
Skew	-1.94	6.44
Kurtosis	31.93	54.7
Expected Daily	0.01%	0.02%
Expected Monthly	0.12%	0.47%
Expected Yearly	1.31%	5.35%
Kelly Criterion	2.77%	82.85%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-0.05%
Expected Shortfall (cVaR)	-1.04%	-0.05%
Max Consecutive Wins	11	460
Max Consecutive Losses	10	64
Gain/Pain Ratio	0.04	14.81
Gain/Pain (1M)	0.18	14.81
Payoff Ratio	0.86	2.28
Profit Factor	1.04	15.81
Common Sense Ratio	0.98	49.8
CPC Index	0.5	31.8
Tail Ratio	0.93	3.15
Outlier Win Ratio	3.25	33.48
Outlier Loss Ratio	1.71	62.22
MTD	0.0%	0.63%
3M	-0.53%	1.7%
6M	2.0%	3.41%
YTD	2.0%	3.41%
1Y	-0.08%	3.91%
3Y (ann.)	0.44%	8.78%
5Y (ann.)	0.76%	6.79%
10Y (ann.)	1.44%	5.9%
All-time (ann.)	1.44%	5.9%
Best Day	5.43%	0.63%
Worst Day	-7.04%	-0.02%
Best Month	7.05%	7.61%
Worst Month	-11.1%	-0.54%
Best Year	11.19%	11.92%
Worst Year	-15.19%	1.85%
Avg. Drawdown	-1.61%	-0.61%
Avg. Drawdown Days	38	134
Recovery Factor	0.38	35.09
Ulcer Index	0.07	0.0
Serenity Index	0.07	11.99
Avg. Up Month	1.69%	0.43%
Avg. Down Month	-3.3%	-0.31%
Win Days	54.94%	88.07%
Win Month	64.47%	88.46%
Win Quarter	69.23%	88.89%
Win Year	71.43%	100.0%
Beta	-0.12	-
Alpha	0.03	-
Correlation	-0.83%	-
Treynor Ratio	-77.38%	-