PSMM[Strategy] vs RUB Inflation[Benchmark]

27 May, 2024 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	94.0%	100.0%
Cumulative Return	45.67%	18.57%
CAGR﹪	18.16%	7.85%
Sharpe	11.71	18.62
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.2	13.04
Sortino	35.63	136.59
Smart Sortino	24.95	95.65
Sortino/√2	25.19	96.58
Smart Sortino/√2	17.64	67.63
Omega	9.26	9.26
Max Drawdown	-0.24%	-0.4%
Longest DD Days	3	64
Volatility (ann.)	1.23%	0.35%
R^2	0.0	0.0
Information Ratio	0.39	0.39
Calmar	74.67	19.62
Skew	0.8	1.48
Kurtosis	4.86	4.85
Expected Daily	0.06%	0.03%
Expected Monthly	1.35%	0.61%
Expected Yearly	13.36%	5.84%
Kelly Criterion	70.47%	93.8%
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	324
Max Consecutive Losses	3	27
Gain/Pain Ratio	8.26	42.51
Gain/Pain (1M)	-	42.51
Payoff Ratio	1.7	1.96
Profit Factor	9.26	43.51
Common Sense Ratio	40.25	631.0
CPC Index	12.79	81.8
Tail Ratio	4.35	14.5
Outlier Win Ratio	2.18	6.13
Outlier Loss Ratio	1.49	3.98
MTD	1.0%	0.42%
3M	3.65%	1.86%
6M	7.13%	2.8%
YTD	9.52%	5.19%
1Y	15.95%	6.8%
3Y (ann.)	18.16%	7.85%
5Y (ann.)	18.16%	7.85%
10Y (ann.)	18.16%	7.85%
All-time (ann.)	18.16%	7.85%
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	9.52%	5.19%
Avg. Drawdown	-0.05%	-0.4%
Avg. Drawdown Days	1	64
Recovery Factor	187.84	46.42
Ulcer Index	0.0	0.0
Serenity Index	2470.48	45.43
Avg. Up Month	1.35%	0.65%
Avg. Down Month	-	-
Win Days	81.42%	95.9%
Win Month	100.0%	96.43%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.17	-
Alpha	0.13	-
Correlation	4.7%	-
Treynor Ratio	276.45%	-